Fair Value Measurements (Tables)

3 Months Ended

Mar. 28, 2020

Fair Value, Assets Measured on Recurring and Nonrecurring Basis

The table below summarizes the valuation of our financial instruments carried at fair value by the applicable pricing categories (in millions):



	March 28, 2020						December 31, 2019
	Level 1		Level 2		Level 3		Level 1		Level 2		Level 3
Measured at fair value on a recurring basis:
Assets:
Investment securities	$	3.7	$	—	$	—	$	6.6	$	—	$	—
Foreign currency forward contracts	—		11.1		—		—		4.3		—
Cross-currency swap	—		11.4		—		—		26.3		—
Funds associated with Israeli severance liability	—		13.6		—		—		14.6		—
Royalty Pharma contingent milestone	—		—		96.9		—		—		95.3
Total assets	$	3.7	$	36.1	$	96.9	$	6.6	$	45.2	$	95.3

Liabilities:
Foreign currency forward contracts	$	—	$	13.7	$	—	$	—	$	8.4	$	—
Contingent consideration payments	—		—		13.0		—		—		11.9
Total liabilities	$	—	$	13.7	$	13.0	$	—	$	8.4	$	11.9

Measured at fair value on a non-recurring basis:
Assets:
Goodwill⁽¹⁾	$	—	$	—	$	—	$	—	$	—	$	1,013.1
Definite-lived intangible assets⁽²⁾	—		—		—		—		—		23.3
Total assets	$	—	$	—	$	—	$	—	$	—	$	1,036.4


(1)	During the year ended December 31, 2019, goodwill with a carrying amount of $1,122.3 million was written down to a fair value of $1,013.1 million.

(2)

During the year ended December 31, 2019, definite-lived intangible assets with a carrying amount of $55.3 million were written down to a fair value of $23.3 million.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The table below summarizes the change in fair value of the Royalty Pharma contingent milestone (in millions):



	Three Months Ended
	March 28, 2020		March 30, 2019
Beginning balance	$	95.3	$	323.2
Payments received	—		(250.0		)
Change in fair value	1.6		10.4
Ending balance	$	96.9	$	83.6

Schedule of Fair Value Assumptions

The table below represents the volatility and rate of return:



	Three Months Ended
	March 28, 2020		March 30, 2019
Volatility	35.0	%	30.0	%
Rate of return	7.29	%	8.02	%

Reconciliation of Level 3 Liabilities

The table below summarizes the change in fair value of contingent consideration payments (in millions):



	Three Months Ended
	March 28, 2020		March 30, 2019
Beginning balance	$	11.9	$	15.3
Changes in value	1.1		1.2
Settlements and other adjustments	—		(4.1		)
Ending balance	$	13.0	$	12.4

Schedule of Carrying Values and Estimated Fair Values of Debt Instruments

Our fixed rate long-term debt consisted of the following (in millions):



	March 28, 2020				December 31, 2019
	Level 1		Level 2		Level 1		Level 2
Public Bonds
Carrying Value (excluding discount)	$	2,600.0	—		$	2,600.0	—
Fair value	$	2,482.5	—		$	2,618.4	—

Private placement note
Carrying value (excluding premium)	—		$	150.5	—		$	151.4
Fair value	—		$	153.6	—		$	168.4

Fair Value of Contingent Consideration

The fair value of our contingent consideration sales-based milestones as of March 28, 2020, was calculated using the following significant unobservable inputs:



			Three Months Ended
			March 28, 2020
	Valuation Technique	Unobservable Input	Range (Weighted Average)⁽¹⁾
Contingent consideration payments: sales-based milestones	Discounted cash flow	Projected royalties	$	105.0
		Projected year of payment of sales-based milestones	2020 - 2035 (2028)
		Discount rate	52.5		%

(1)

Unobservable inputs were weighted based on the relative estimated milestone payments.