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Fair Value of Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2024
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, 2024 |
|  |  |  |  | Fair Value |
|  | Carrying Value |  |  | Significant Unobservable Inputs (Level 3) |
Financial liabilities: |  |  |  |  |  |
Senior convertible notes(1) |  | $ | 227.9 |  |  | $ | 284.7 |
Milestone rights(2) |  |  | 3.2 |  |  |  | 11.3 |
Contingent milestone liability(3) |  |  | 0.3 |  |  |  | 0.3 |
Financing liability(4) |  |  | 104.0 |  |  |  | 106.5 |
Liability for sale of future royalties(5) |  |  | 147.5 |  |  |  | 137.4 |
_________________________ (1) Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 11.0%, volatility of 52.0% 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 $279.6 million and $290.0 million, respectively. (2) Fair value was determined by applying a Monte Carlo simul ation method for the calculation of the potential payment and the Geometric Brownian Motion forecasting model to estimate the underlying revenue. Market based inputs and other level 3 inputs were used to forecast future revenue. The key inputs used included a risk-free rate of 3.7%, dividend yield of 0.0%, volatility of 50.0%, period of 7.3 years and credit risk of 15.0%. (3) Fair value was determined by using the Monte Carlo simulation method for the calculation of the potential payment and the Geometric Brownian Motion forecasting model to estimate the underlying revenue. Market based inputs and other level 3 inputs were used to forecast future revenue. The key inputs used included a risk-free rate of 3.9%, dividend yield of 0.0%, volatility of 43.0%, period of 13.3 years and credit risk of 15.0%. (4) Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 9.5%. A change in yield of + or – 2% would result in a fair value of $94.1 million and $121.8 million, respectively. (5) At September 30, 2024, fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 11.0%. A change in yield of + or – 2% would result in a fair value of $121.9 million and $156.4 million, respectively. At December 31, 2023, the carrying value approximated the fair value.
|  | December 31, 2023 |
|  |  |  |  | Fair Value |
|  | Carrying Value |  |  | Significant Unobservable Inputs (Level 3) |
Financial liabilities: |  |  |  |  |  |
Senior convertible notes(1) |  | $ | 226.9 |  |  | $ | 231.3 |
MidCap credit facility(2) |  |  | 33.0 |  |  |  | 35.5 |
Mann Group convertible note(3) |  |  | 8.8 |  |  |  | 14.4 |
Milestone rights(4) |  |  | 3.9 |  |  |  | 11.9 |
Contingent milestone liability(5) |  |  | 0.3 |  |  |  | 0.3 |
Financing liability(6) |  |  | 104.1 |  |  |  | 106.8 |
_________________________ (1) Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 11.0%, volatility of 62.7% 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 $224.1 million and $238.9 million, respectively. (2) Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 12.0%. A change in yield of + or – 2% would result in a fair value of $35.0 million and $36.0 million, respectively. (3) Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 13.0% and volatility of 62.7% 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 $14.2 million and $14.7 million, respectively. (4) Fair value was determined by applying a Monte Carlo simulation method for the calculation of the potential payment and the Geometric Brownian Motion forecasting model to estimate the underlying revenue. Market based inputs and other level 3 inputs were used to forecast future revenue. The key inputs used included a risk-free rate of 3.9%, dividend yield of 0.0%, volatility of 50.0%, period of 8 years and credit risk of 17.0%. (5) Fair value was determined by using the Monte Carlo simulation method for the calculation of the potential payment and the Geometric Brownian Motion forecasting model to estimate the underlying revenue. Market-based inputs and other level 3 inputs were used to forecast future revenue. The key inputs used included a risk-free rate of 4.0%, dividend yield of 0.0%, volatility of 43.0%, period of 15 years and credit risk of 17.0%. (6) Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 9.5%.

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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/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 Reference 2: http://www.xbrl.org/2009/role/commonPracticeRef -Topic 820 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 2 -Subparagraph (a) -Publisher FASB -URI https://asc.fasb.org/1943274/2147482106/820-10-50-2 + Details
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