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Fair Value of Financial Instruments (Tables)
 9 Months Ended
Sep. 30, 2025
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, 2025

 

 

 

 

 

 

Fair Value

 

 

 

Carrying Value

 

 

Significant
Unobservable
Inputs (Level 3)

 

Financial liabilities:

 

 

 

 

 

 

Senior convertible notes(1)

 

$

36.2

 

 

$

41.0

 

Milestone rights(2)

 

 

2.5

 

 

 

17.6

 

Financing liability(3)

 

 

103.6

 

 

 

116.5

 

Liability for sale of future royalties(4)

 

 

150.8

 

 

 

160.3

 

_________________________

(1)
Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 7.0%, volatility of 59.4% 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 $40.7 million and $41.3 million, respectively.
(2)
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%, volatility of 45.0%, period of 6.25 years and credit risk of 11.0%.
(3)
Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 8.0%. A change in yield of + or – 2% would result in a fair value of $102.7 million and $133.3 million, respectively.
(4)
Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 9.0%. A change in yield of + or – 2% would result in a fair value of $142.4 million and $182.2 million, respectively.

 

 

 

December 31, 2024

 

 

 

 

 

 

Fair Value

 

 

 

Carrying Value

 

 

Significant
Unobservable
Inputs (Level 3)

 

Financial liabilities:

 

 

 

 

 

 

Senior convertible notes(1)

 

$

36.1

 

 

$

46.9

 

Milestone rights(2)

 

 

3.2

 

 

 

19.2

 

Financing liability(3)

 

 

103.9

 

 

 

117.4

 

Liability for sale of future royalties(4)

 

 

149.6

 

 

 

156.7

 

_________________________

(1)
Fair value was determined by applying a discounted cash flow analysis to the straight note with a hypothetical yield of 7.5%, volatility of 49.5% 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 $46.2 million and $47.6 million, respectively.
(2)
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 4.5%, dividend yield of 0%, volatility of 45.0%, period of 7 years and credit risk of 11.0%.
(3)
Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 8.0%. A change in yield of + or – 2% would result in a fair value of $103.1 million and $135.2 million, respectively.
(4)
Fair value was determined by applying a discounted cash flow analysis with a hypothetical yield of 9.0%. A change in yield of + or – 2% would result in a fair value of $137.9 million and $180.0 million, respectively.