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Fair Value of Financial Instruments | 12 Months Ended
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Dec. 31, 2021
Fair Value Disclosures [Abstract] |
Fair Value of Financial Instruments | 9. Fair Value of Financial Instruments The availability of observable inputs can vary among the various types of financial assets and liabilities. To the extent that the valuation is based on models or inputs that are less observable or unobservable in the market, the determination of fair value requires more judgment. In certain cases, the inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for financial statement disclosure purposes, the level in the fair value hierarchy within which the fair value measurement is categorized is based on the lowest level input that is significant to the overall fair value measurement. The Company uses the exit price method for estimating the fair value of loans for disclosure purposes. Inputs used in the valuation techniques to derive fair values are classified based on a three-level hierarchy, as follows: Level 1 — Quoted prices for identical instruments in active markets. Level 2 — Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. Level 3 — Significant inputs to the valuation model are unobservable. The carrying amounts reported in the accompanying consolidated financial statements for cash, accounts receivable, accounts payable, and accrued expenses and other current liabilities (excluding the Milestone Rights liability) approximate their fair value due to their relatively short maturities. 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 |
Cash Equivalents and Restricted Cash — Cash equivalents consist of highly liquid investments with original or remaining maturities of 90 days or less at the time of purchase that are readily convertible into cash. As of December 31, 2021 and 2020, the Company held $124.2 million and $67.0 million, respectively, of cash and cash equivalents. The Company held $0.2 million in restricted cash as of December 31, 2020, which was comprised of money market funds, corporate bonds and commercial paper for the collateralization of a letter of credit and treasury bills. There was no restricted cash as of December 31, 2021. Held-to-Maturity Investments — Investments consist of highly liquid investments that are intended to facilitate liquidity and capital preservation. As of December 31, 2021, the Company held $79.9 million of short-term investments and $56.6 million of long-term investments. As of December 31, 2020, the Company did not hold any investments. Available-for-Sale Investment — The Thirona convertible note is classified as an available-for-sale security and is included in other assets in the consolidated balance sheet. Available-for-sale investments are subsequently measured at fair value. Unrealized holding gains and losses are excluded from earnings and reported in other comprehensive income until realized. The Company determines fair value of its available-for-sale investments using level 3 inputs. As of December 31, 2021, the Company evaluated the fair value of its investment in Thirona and determined that the fair value approximates the carrying value of $3.0 million. Financial Liabilities — 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. Milestone Rights Liability — The fair value measurement of the Milestone Rights liability is sensitive to the discount rate and the timing of achievement of milestones. The Company utilized Monte-Carlo Simulation Method to simulate the Net Sales under a neutral framework to estimate the payment. The Company then discounted the future expected payments at cost of debt with a term equal to the simulated time to payout based on cumulative sales. Financing Liability — The failed Sale Leaseback Transaction in November 2021 resulted in a financing liability which is included in our consolidated balance sheets as a current financing liability of $7.0 million and a long-term financing liability of $93.5 million. The Company determined the fair value of the financing liability using level 3 inputs. As of December 31, 2021, the Company evaluated the fair value of its financing liability and determined that the fair value approximates the carrying value.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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