Fair Value Measurements (Tables)
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3 Months Ended |
Mar. 31, 2023 |
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| Fair Value Disclosures [Abstract] |
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| Fair Value Measurements on a Recurring Basis |
The following tables provide information by level for assets and liabilities that are measured at fair value on a recurring basis (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of March 31, 2023 | | Fair Value Measurements Using Inputs Considered as: | | | | Level 1 | | Level 2 | | Level 3 | | Assets: | | | | | | | | | | | | | | | | | | | Derivative assets - designated as cash flow hedges (interest rate swaps) | | $ | 900 | | | $ | — | | | $ | 900 | | | $ | — | | | | | | | | | | | | Derivative assets - capped call derivatives | | 31,014 | | | — | | | — | | | 31,014 | | | Convertible notes receivable | | 275 | | | — | | | — | | | 275 | | | | $ | 32,189 | | | $ | — | | | $ | 900 | | | $ | 31,289 | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | | | | | | | | Derivative liabilities - freestanding instruments (FX) | | $ | 1,236 | | | $ | — | | | $ | 1,236 | | | $ | — | | | Derivative liabilities - embedded exchange feature | | 41,285 | | | — | | | — | | | 41,285 | | | Contingent consideration arrangements | | 90,119 | | | — | | | — | | | 90,119 | | | | $ | 132,640 | | | $ | — | | | $ | 1,236 | | | $ | 131,404 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Fair Value as of December 31, 2022 | | Fair Value Measurements Using Inputs Considered as: | | | | Level 1 | | Level 2 | | Level 3 | | Assets: | | | | | | | | | Derivative assets - designated as cash flow hedges (interest rate swap) | | $ | 1,333 | | | $ | — | | | $ | 1,333 | | | $ | — | | | Derivative assets - capped call derivatives | | 54,393 | | | — | | | — | | | 54,393 | | | Convertible notes receivable | | 285 | | | — | | | — | | | 285 | | | | $ | 56,011 | | | $ | — | | | $ | 1,333 | | | $ | 54,678 | | | | | | | | | | | | Liabilities: | | | | | | | | | | Derivative liabilities - freestanding instruments (FX) | | $ | 5,886 | | | $ | — | | | $ | 5,886 | | | $ | — | | | | | | | | | | | | Derivative liabilities - embedded exchange feature | | 85,675 | | | — | | | — | | | 85,675 | | | Contingent consideration arrangements | | 85,292 | | | — | | | — | | | 85,292 | | | | $ | 176,853 | | | $ | — | | | $ | 5,886 | | | $ | 170,967 | |
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| Reconciliation of Beginning and Ending Balances of Recurring Fair Value Measurements |
The following table provides a reconciliation of the beginning and ending balances of recurring fair value measurements, using significant unobservable inputs (Level 3) (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Capped Call Derivative Asset | | Convertible Notes Receivable | | Embedded Exchange Feature Derivative Liability | | Contingent Consideration Liability Arrangements | As of December 31, 2022 - long-term | | $ | 54,393 | | | $ | 285 | | | $ | 85,675 | | | $ | 85,292 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Changes in fair value | | (23,379) | | | (10) | | | (44,390) | | | 4,827 | | | Total at March 31, 2023 - long-term | | $ | 31,014 | | | $ | 275 | | | $ | 41,285 | | | $ | 90,119 | | | | | | | | | | | | | | | | | | | |
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| Schedule of Fair Value of Contingent Consideration Arrangements by Acquisition |
The following table provides the fair value of Level 3 contingent consideration arrangements by acquisition (in thousands): | | | | | | | | | | | | | | | | | March 31, 2023 | | December 31, 2022 | | ImThera | | $ | 73,056 | | | $ | 69,389 | | | ALung | | 17,063 | | | 15,903 | | | | $ | 90,119 | | | $ | 85,292 | |
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| Significant Unobservable Inputs Related to Contingent Consideration |
The sales-based earnout was valued using projected sales from the Company’s internal strategic plan and is a Level 3 fair value measurement, which includes the following significant unobservable inputs (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | ALung Acquisition | | Fair value at May 2, 2022 | | Valuation Technique | | Unobservable Input | | Ranges | | Sales-based earnout | | $ | 16,791 | | | Monte Carlo simulation | | Risk-adjusted discount rate | | 7.0% | - | 8.4% | | | | | | | Credit risk discount rate | | 6.4% | - | 8.0% | | | | | | | Revenue volatility | | 25.7% | | | | | | | Projected years of earnout | | 2023 | - | 2027 |
These arrangements are Level 3 fair value measurements and include the following significant unobservable inputs as of March 31, 2023: | | | | | | | | | | | | | | | | | | | | | | ImThera Acquisition | | Valuation Technique | | Unobservable Input | | Inputs | | Regulatory milestone-based payment | | Discounted cash flow | | Discount rate | | 9.7% | | | | | Probability of payment | | 85% | | | | | Projected payment year | | 2025 | | | | | | | | | Sales-based earnout | | Monte Carlo simulation | | Risk-adjusted discount rate | | 13.8% - 14.1% | | | | | Credit risk discount rate | | 10.0% - 10.6% | | | | | Revenue volatility | | 32.5% | | | | | Probability of payment | | 85% | | | | | Projected years of earnout | | 2026 - 2029 |
The ALung business combination involved a contingent consideration arrangement composed of potential cash payments upon the achievement of certain sales-based thresholds associated with sales of products. The arrangement is a Level 3 fair value measurement and includes the following significant unobservable inputs as of March 31, 2023: | | | | | | | | | | | | | | | | | | | | | | ALung Acquisition | | Valuation Technique | | Unobservable Input | | Inputs | | Sales-based earnout | | Monte Carlo simulation | | Risk-adjusted discount rate | | 9.3% - 10.4% | | | | | Credit risk discount rate | | 9.1% - 10.2% | | | | | Revenue volatility | | 30.7% | | | | | Projected years of earnout | | 2023 - 2027 |
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