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Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Fair Value Measurements on a Recurring Basis

The following tables provide information by level for assets and liabilities that are measured at fair value on a recurring basis (in thousands):

						Fair Value as of March 31, 2021						Fair Value Measurements Using Inputs Considered as:
												Level 1						Level 2						Level 3
Assets:
Derivative assets - designated as cash flow hedges (foreign currency exchange rate “FX”)						$	1,379					$	—					$	1,379					$	—
Derivative assets - freestanding instruments (FX)						863						—						863						—
Derivative assets - capped call derivatives						84,852						—						—						84,852
Convertible notes receivable						2,758						—						—						2,758
						$	89,852					$	—					$	2,242					$	87,610
Liabilities:
Derivative liabilities - designated as cash flow hedges (FX)						$	724					$	—					$	724					$	—
Derivative liabilities - freestanding instruments (interest rate swaps)						36						—						36						—
Derivative liabilities - freestanding instruments (FX)						705						—						705						—
Derivative liabilities - embedded exchange feature						148,091						—						—						148,091
Derivative liabilities - other						1,123						—						—						1,123
Contingent consideration arrangements						99,271						—						—						99,271
						$	249,950					$	—					$	1,465					$	248,485

						Fair Value as of December 31, 2020						Fair Value Measurements Using Inputs Considered as:
												Level 1						Level 2						Level 3
Assets:
Derivative assets - designated as cash flow hedges (FX)						$	2,893					$	—					$	2,893					$	—
Derivative assets - freestanding instruments (FX)						55						—						55						—
Derivative assets - capped call derivatives						72,302						—						—						72,302
Convertible notes receivable						2,775						—						—						2,775
						$	78,025					$	—					$	2,948					$	75,077
Liabilities:
Derivative liabilities - designated as cash flow hedges (FX)						$	14					$	—					$	14					$	—
Derivative liabilities - freestanding instruments (interest rate swaps)						74						—						74						—
Derivative liabilities - freestanding instruments (FX)						4,073						—						4,073						—
Derivative liabilities - embedded exchange feature						121,756						—						—						121,756
Derivative liabilities - other						4,290						—						—						4,290
Contingent consideration arrangements						103,818						—						—						103,818
						$	234,025					$	—					$	4,161					$	229,864

Reconciliation of Beginning and Ending Balances of Contingent Consideration

The following table provides a reconciliation of the beginning and ending balances of our recurring fair value measurements, using significant unobservable inputs (Level 3) (in thousands):

						Capped Call Derivative Asset						Convertible Notes Receivable						Embedded Exchange Feature Derivative Liability						Other Derivative Liabilities						Contingent Consideration Liability Arrangements
As of December 31, 2020						$	72,302					$	2,775					$	121,756					$	4,290					$	103,818
Payments (1)						—						—						—						—						(5,000)
Changes in fair value						12,550						(17)						26,335						(3,167)						453
Total at March 31, 2021						84,852						2,758						148,091						1,123						99,271
Less current portion at March 31, 2021						—						2,495						—						931						9,424
Long-term portion at March 31, 2021						$	84,852					$	263					$	148,091					$	192					$	89,847

(1)During the three months ended March 31, 2021, we paid $5.0 million under the contingent consideration arrangement for the acquisition of Miami Instruments, LLC (“Miami Instruments”).

Schedule of Business Acquisitions by Acquisition, Contingent Consideration

The following table provides the fair value of our Level 3 contingent consideration arrangements by acquisition (in thousands):

						March 31, 2021						December 31, 2020
ImThera Medical, Inc. (“ImThera”)						$	89,426					$	89,436
CardiacAssist, Inc., doing business as TandemLife (“TandemLife”)						8,942						8,809
Miami Instruments						903						5,573
						$	99,271					$	103,818

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

Both arrangements are Level 3 fair value measurements and include the following significant unobservable inputs as of March 31, 2021:

ImThera Acquisition						Valuation Technique						Unobservable Input						Inputs
Regulatory milestone-based payment						Discounted cash flow						Discount rate						6.7%
												Probability of payment						85%
												Projected payment year						2024
Sales-based earnout						Monte Carlo simulation						Risk-adjusted discount rate						12.0%			-			12.7%
												Credit risk discount rate						7.0%			-			7.8%
												Revenue volatility						32.5%
												Probability of payment						85%
												Projected years of earnout						2025			-			2028

The TandemLife business combination involved a contingent consideration arrangement composed of potential cash payments upon the achievement of certain regulatory milestones. The arrangement is a Level 3 fair value measurement and includes the following significant unobservable inputs as of March 31, 2021:

TandemLife Acquisition

Valuation Technique

Unobservable Input

Inputs

Regulatory milestone-based payment

Discounted cash flow

Discount rate

4.9%

Probability of payment

70%

Projected payment year

2021

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Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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Tabular disclosure of the fair value measurement of liabilities using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets), and gains or losses recognized in other comprehensive income (loss) and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs) by class of liability.

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