XML 45 R35.htm IDEA: XBRL DOCUMENT

Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2023

The following tables set forth the fair value of the Company’s financial instruments (in thousands):


	March 31, 2023
			Fair Value
	Carrying Amount		Significant Unobservable Inputs (Level 3)
Financial liabilities:
Senior convertible notes(1)	$	225,761	$	239,283
MidCap credit facility(2)		39,371		41,394
Mann Group convertible note(3)		8,829		16,354
Milestone rights(4)		4,838		12,700
Contingent milestone liability(4)		610		1,010
Financing liability(5)		104,067		103,221

_________________________

(1)

Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 11%, volatility of 74.3% and a Monte Carlo simulation for the value of the conversion feature. A change in yield of + or – 2% would result in a fair value of $230.2 million and $249.0 million, respectively.

(2)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 12%. A change in yield of + or – 2% would result in a fair value of $40.3 million and $42.4 million, respectively.

(3)

The fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 13% and volatility of 73.6% to the straight note and a binomial option pricing model for the value of the conversion feature. A change in yield of + or – 2% would result in a fair value of $16.0 million and $16.7 million, respectively.

(4)

Fair value was determined by applying a Monte Carlo simulation.

(5)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 10%.


	December 31, 2022
			Fair Value
	Carrying Value		Significant Unobservable Inputs (Level 3)
Financial liabilities:
Senior convertible notes(1)	$	225,761	$	253,864
MidCap credit facility(2)		39,371		41,070
Mann Group convertible note(3)		8,829		20,836
Milestone rights(4)		4,838		12,600
Contingent milestone liability(4)		610		960
Financing liability(5)		104,077		103,239

_________________________

(1)

Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 13%, volatility of 75.8% and a Monte Carlo simulation for the value of the conversion feature. A change in yield of + or – 2% would result in a fair value of $245.0 million and $263.4 million, respectively.

(2)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 12%. A change in yield of + or – 2% would result in a fair value of $40.0 million and $42.4 million, respectively.

(3)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 13% and volatility of 77.8% to the straight note and a binomial option pricing model for the value of the conversion feature. A change in yield of + or – 2% would result in a fair value of $20.5 million and $21.2 million, respectively.

(4)

Fair value was determined by applying a Monte Carlo simulation.

(5)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 10%.