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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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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 |
____________________
(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.

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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