Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2021

Fair Value Disclosures [Abstract]

Fair Value of Financial Instruments

The following tables set forth the fair value of the Company’s financial instruments (Level 3 in the fair value hierarchy) (in millions):

	September 30, 2021
	Carrying Value		Significant Unobservable Inputs (Level 3)		Fair Value
Financial liabilities:
Senior convertible notes(1)	$	223.6	$	234.7	$	234.7
MidCap credit facility(2)		38.7		39.6		39.6
Mann Group convertible notes(3)		18.4		38.1		38.1
Milestone rights(4)		5.9		19.9		19.9

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(1) Fair value determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 12%, volatility of 95% 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 $223.4 million and $247.1 million, respectively.

(2) Fair value determined by applying a discounted cash flow analysis with a hypothetical yield of 10%. A change in yield of + or – 2% would result in a fair value of $37.6 million and $41.7 million, respectively.

(3) The April 2021 amendment to the Mann Group convertible note resulted in a substantial premium of $22.1 million based on the fair value post modification which was recognized as additional paid-in capital in the condensed consolidated balance sheet as of September 30, 2021. The accounting for the $22.1 million loss on extinguishment did not result in a change in the financial position of the Company. The fair value assessed as of September 30, 2021 was determined by applying a discounted cash flow analysis with a hypothetical yield of 12% and volatility of 95% 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 $37.1 million and $39.1 million, respectively.

(4) Fair value determined by applying a Monte Carlo simulation.

	December 31, 2020
	Carrying Value		Significant Unobservable Inputs (Level 3)		Fair Value
Financial liabilities:(1)
MidCap credit facility	$	49.3	$	55.4	$	55.4
Mann Group promissory notes(2)		63.0		78.9		78.9
2024 convertible notes		5.0		7.0		7.0
PPP loan		4.9		4.7		4.7
Milestone rights		7.3		19.8		19.8

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(1) Fair value measurements were based on a discounted cash flow model, except for the Milestone rights for which a Monte Carlo simulation was applied.

(2) Mann Group promissory notes consisted of the following carrying values and fair values:

Mann Group convertible notes carrying value of $28.0 million and fair value of $52.2 million.

Mann Group non-convertible notes carrying value of $35.1 million and fair value of $26.7 million.