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Fair Value of Financial Instruments (Tables)

12 Months Ended

Dec. 31, 2021

Schedule of Fair Value of Assets and Financing Liability on Total Investments

The fair value of the cash equivalents, long- and short-term investments, MidCap credit facility, Mann Group promissory notes, 2024 convertible notes, Senior convertible notes, Milestone Rights liabilities and Financing liability are disclosed below (amounts in millions).

	December 31, 2021
	Investment Level	Amortized Cost (Carrying Value)			Gross Unrealized Holding Losses		Estimated Fair Value
Commercial bonds and paper	Level 2	$	115.2		$	0.2	$	115.0
Money market funds	Level 1		21.3			—		21.3
U.S. Treasuries	Level 2		23.9			0.1		23.8
Total cash equivalents and investments		$	160.4		$	0.3	$	160.1
Less cash equivalents			(23.8	)		—		(23.8	)
Total Investments		$	136.6		$	0.3	$	136.3

December 31, 2020

Investment Level

Amortized Cost

(Carrying Value)

Gross Unrealized

Holding Losses

Estimated

Fair Value

Cash equivalents - U.S. Treasuries

Level 2

59.5

—

59.5

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):

	December 31, 2021
			Fair Value
	Carrying Amount		Significant Unobservable Inputs (Level 3)		Total Fair Value
Financial liabilities:
Senior convertible notes⁽¹⁾	$	223.9	$	237.5	$	237.5
MidCap credit facility⁽²⁾		38.8		40.8		40.8
Mann Group convertible notes⁽³⁾		18.4		37.8		37.8
Milestone rights⁽⁴⁾		5.9		18.1		18.1

(1)

Fair value determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 12%, volatility of 90% 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 $226.6 million and $249.4 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 $39.1 million and $42.7 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 consolidated balance sheet as of December 31, 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 December 31, 2021 was determined by applying a discounted cash flow analysis with a hypothetical yield of 12% and volatility of 85% 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 $36.9 million and $38.8 million, respectively.

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

	December 31, 2020
			Fair Value
	Carrying Value		Significant Unobservable Inputs (Level 3)		Total 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

(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.