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Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2023

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


	September 30, 2023
			Fair Value
	Carrying Amount		Significant Unobservable Inputs (Level 3)
Financial liabilities:
Senior convertible notes(1)	$	226,487	$	237,293
MidCap credit facility(2)		37,921		40,032
Mann Group convertible note(3)		8,829		15,857
Milestone rights(4)		3,914		11,700
Contingent milestone liability(4)		610		610
Financing liability(5)		104,122		99,940

_________________________

(1)

Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 11%, volatility of 61.8% 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 $229.4 million and $245.7 million, respectively.

(2)

Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 12.5%. A change in yield of + or – 2% would result in a fair value of $39.4 million and $40.7 million, respectively.

(3)

The fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 13.5% and volatility of 60.9% 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 $15.6 million and $16.1 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 10.5%.


	December 31, 2022
			Fair Value
	Carrying Value		Significant Unobservable Inputs (Level 3)
Financial liabilities:
Senior convertible notes(1)	$	225,397	$	253,864
MidCap credit facility(2)		39,264		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%.