Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value, Liabilities Measured on Recurring Basis
The following table sets forth the Company’s financial instruments that were measured at fair value on a recurring basis by level within the fair value hierarchy at period end:
 Fair Value Measurements at March 31, 2021
 TotalLevel 1Level 2Level 3
(in thousands)
Liabilities
Madryn put option liability$1,210 $— $— $1,210 
 Fair Value Measurements at December 31, 2020
 TotalLevel 1Level 2Level 3
(in thousands)
Liabilities
Madryn put option liability$1,440 $— $— $1,440 
Fair Value Measurement Inputs and Valuation Techniques
The Company used the following assumptions to value Madryn derivatives:
Put Option Liability
March 31, 2021December 31, 2020
Interest rate volatility20.9%19.7%
Market yield rate7.3%7.9%
Term (in years)4.574.82
Dividend yield——
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following table sets forth a summary of the changes in the fair value of the Company’s Level 3 financial instruments as follows:
Put Option Liability
Balance at December 31, 2019$3,072 
Change in fair value1,929 
Balance at March 31, 2020$5,001 
Balance at December 31, 2020$1,440 
Change in fair value(230)
Balance at March 31, 2021$1,210