Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

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, 2022
	Carrying Value		Significant Unobservable Inputs (Level 3)		Fair Value
Financial liabilities:
Senior convertible notes(1)	$	225.0	$	206.1	$	206.1
MidCap credit facility(2)		39.2		40.7		40.7
Mann Group convertible note(3)		8.8		13.3		13.3
Milestone rights(4)		4.8		13.0		13.0
Contingent milestone liability(4)		0.6		0.8		0.8

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(1) Fair value determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 13%, volatility of 74.7% 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 $196.8 million and $216.2 million, respectively.

(2) Fair value 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 $39.5 million and $42.1 million, respectively.

(3) The fair value assessed as of September 30, 2022 was determined by applying a discounted cash flow analysis with a hypothetical yield of 13% and volatility of 75.8% 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 $12.9 million and $13.7 million, respectively.

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

	December 31, 2021
	Carrying Value		Significant Unobservable Inputs (Level 3)		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 note(3)		18.4		37.8		37.8
Milestone rights(4)		5.9		18.1		18.1

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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 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 condensed 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.