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

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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 https://asc.fasb.org/extlink&oid=126976982&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 https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
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