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Fair Value of Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

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

	March 31, 2021
	Carrying Value		Significant Unobservable Inputs (Level 3)		Fair Value
Financial liabilities:
Senior convertible notes⁽¹⁾	$	222.9	$	209.7	$	209.7
MidCap credit facility⁽²⁾		49.4		52.7		52.7
Mann Group convertible notes⁽³⁾		18.4		42.2		42.2
Mann Group non-convertible notes⁽⁴⁾		35.1		31.5		31.5
PPP loan⁽⁵⁾		4.9		4.8		4.8
Milestone rights⁽⁶⁾		7.3		12.6		12.6

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(1)

Fair value determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 14% 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 $199.0 million and $221.6 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 $50.7 million and $54.8 million, respectively.

(3)

Fair value determined by applying a discounted cash flow analysis with a hypothetical yield of 14% 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 $41.3 million and $43.2 million, respectively.

(4)

Fair value determined by applying a discounted cash flow analysis with a hypothetical yield of 14%. A change in yield of + or – 2% would result in a fair value of $29.6 million and $33.6 million, respectively.

(5)

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 $4.8 million and $4.8 million, respectively.

(6)

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

____________________

(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.