The Company’s cash equivalents and marketable securities at September 30, 2022 and March 31, 2022 are invested in the following:


	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
September 30, 2022	(in thousands)
Money market funds	$	86,806	$	—	$	—		$	86,806
U.S. Treasury mutual fund securities		17,939		—		(3	)		17,936
Total cash equivalents		104,745		—		(3	)		104,742
Short-term U.S. Treasury mutual fund securities		335,024		6		(3,218	)		331,812
Short-term government-backed securities		146,747		—		(2,550	)		144,197
Short-term corporate debt securities		40,681		—		(519	)		40,162
Short-term commercial paper		122,353		—		(487	)		121,866
Total short-term marketable securities		644,805		6		(6,774	)		638,037
Long-term U.S. Treasury mutual fund securities		28,595		—		(1,229	)		27,366
Long-term government-backed securities		93,235		14		(3,744	)		89,505
Total long-term marketable securities		121,830		14		(4,973	)		116,871
Total cash equivalents and marketable securities	$	871,380	$	20	$	(11,750	)	$	859,650


	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
March 31, 2022:	(in thousands)
Money market funds	$	32,955	$	—	$	—		$	32,955
Commercial paper		28,961		—		(3	)		28,958
Total cash equivalents		61,916		—		(3	)		61,913
Short-term U.S. Treasury mutual fund securities		287,010		—		(1,384	)		285,626
Short-term government-backed securities		131,954		1		(554	)		131,401
Short-term corporate debt securities		61,108		36		(113	)		61,031
Short-term commercial paper		148,128		—		(397	)		147,731
Total short-term marketable securities		628,200		37		(2,448	)		625,789
Long-term U.S. Treasury mutual fund securities		89,168		—		(1,796	)		87,372
Long-term government-backed securities		126,150		—		(3,378	)		122,772
Long-term corporate debt securities		10,226		—		(281	)		9,945
Total long-term marketable securities		225,544		—		(5,455	)		220,089
Total cash equivalents and marketable securities	$	915,660	$	37	$	(7,906	)	$	907,791

Gross realized gains and losses on sales of marketable securities were not material for the three and six months ended September 30, 2022 and 2021.

The securities that the Company invests in are generally deemed to be low risk based on their credit ratings from the major rating agencies. The longer the duration of these securities, the more susceptible they are to changes in market interest rates and bond yields. As interest rates increase, those securities purchased at a lower yield show a mark-to-market unrealized loss. Unrealized losses as of September 30, 2022 are primarily due to changes in interest rates and credit spreads. Accordingly, the Company has not recorded an allowance for credit losses. No marketable securities have been in a continuous material unrealized loss position for greater than twelve months as of September 30, 2022.

In October 2019, the Company entered into an intercompany agreement in which it loaned 85.0 million Euro to Abiomed Europe GmbH, its German subsidiary. In conjunction with this intercompany loan agreement, the Company entered into a cross-currency swap agreement to convert the notional amount of the intercompany loan of 85.0 million Euro to its U.S. dollar equivalent, or $93.5 million. The objective of this cross-currency swap is to hedge the variability of cash flows related to the forecasted interest and principal payments on the Euro denominated fixed rate intercompany loan against changes in the exchange rate between the U.S. dollar and the Euro and has been designated as a cash flow hedge. The Company will make interest payments in Euro and receive interest in U.S. dollars from the counterparty. Upon maturity, the Company will pay the principal amount of the intercompany loan in Euro and receive the U.S. dollar equivalent from the counterparty. The cross-currency swap is carried on the consolidated balance sheets at fair value, and changes to the derivative instrument are recorded as unrealized gains or losses in accumulated other comprehensive income (loss). These amounts are reclassified into the consolidated statements of operations in the same period in which the related hedged item (intercompany loan agreement) affects earnings. The Company does not enter into derivative instruments for any purpose other than cash flow hedging.

In September 2022, Abiomed Europe GmbH made a one-time payment of 20.0 million Euro, reducing the outstanding principal balance on the intercompany loan to 65.0 million Euro. Concurrently, the Company partially terminated the cross-currency swap to adjust the notional amount to 65.0 million Euro. Accordingly, the terminated portion of the cross-currency swap of 20.0 million Euro was no longer effective, and therefore, the related net gains and losses recorded to accumulated other comprehensive income (loss) of $0.1 million were reclassified to earnings.

The change in fair value of the cross-currency swap during the three and six months ended September 30, 2022 was mainly due to fluctuations in the Euro to the U.S. dollar exchange rates.

For the three and six months ended September 30, 2022, the Company recorded income related to the interest rate differential of the cross-currency swap of $0.5 million and $1.0 million, respectively in interest and other income, net, within the condensed consolidated statements of operations. For the three and six months ended September 30, 2021, the Company recorded income related to the interest rate differential of the cross-currency swap of $0.4 million and $0.8 million, respectively, in interest and other income, net within the condensed consolidated statements of operations.

Fair value is defined as the price that would be received upon the sale of an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Financial assets and liabilities carried at fair value are to be classified and disclosed in one of the following three categories:

Level 1 primarily consists of financial instruments whose values are based on quoted market prices such as exchange-traded instruments and listed equities.

Level 2 includes financial instruments that are valued using models or other valuation methodologies. These models are primarily industry-standard models that consider various assumptions, including time value, yield curve, volatility factors, prepayment speeds, default rates, loss severity, current market and contractual prices for the underlying financial instruments, as well as other relevant economic measures. Substantially all of these assumptions are observable in the marketplace, can be derived from observable data or are supported by observable levels at which transactions are executed in the marketplace.

Level 3 is comprised of unobservable inputs that are supported by little or no market activity. Financial assets are considered Level 3 when their fair values are determined using pricing models, discounted cash flows or similar techniques and at least one significant model assumption or input is unobservable.

The following tables present the Company’s assets and liabilities measured at fair value on a recurring basis:


	Level 1		Level 2		Level 3		Total
September 30, 2022:	(in thousands)
Assets
Money market funds	$	86,806	$	—	$	—	$	86,806
U.S. Treasury mutual fund securities		—		17,936		—		17,936
Short-term U.S. Treasury mutual fund securities		—		331,812		—		331,812
Short-term government-backed securities		—		144,197		—		144,197
Short-term corporate debt securities		—		40,162		—		40,162
Short-term commercial paper		—		121,866		—		121,866
Long-term U.S. Treasury mutual fund securities		—		27,366		—		27,366
Long-term government-backed securities		—		89,505		—		89,505
Investment in Shockwave Medical		46,385		—		—		46,385
Cross-currency swap agreement		—		8,215		—		8,215
Liabilities
Contingent consideration		—		—		14,995		14,995


	Level 1		Level 2		Level 3		Total
March 31, 2022:	(in thousands)
Assets
Money market funds	$	32,955	$	—	$	—	$	32,955
Commercial paper		—		28,958		—		28,958
Short-term U.S. Treasury mutual fund securities		—		285,626		—		285,626
Short-term government-backed securities		—		131,401		—		131,401
Short-term corporate debt securities		—		61,031		—		61,031
Short-term commercial paper		—		147,731		—		147,731
Long-term U.S. Treasury mutual fund securities		—		87,372		—		87,372
Long-term government-backed securities		—		122,772		—		122,772
Long-term corporate debt securities		—		9,945		—		9,945
Investment in Shockwave Medical		61,535		—		—		61,535
Liabilities
Cross-currency swap agreement		—		489		—		489
Contingent consideration		—		—		21,510		21,510

The Company has determined that the estimated fair value of its money market funds and its investment in Shockwave Medical, a publicly traded medical device company, are reported as Level 1 financial assets as they are valued at quoted market prices in active markets. The investment in Shockwave Medical is classified within other assets in the condensed consolidated balance sheets.

The Company has determined that the estimated fair value of its commercial paper, U.S. Treasury mutual fund securities, government-backed securities, corporate debt securities and cross-currency swap agreement are reported as Level 2 financial assets and liabilities as they are based on model-driven valuations in which all significant inputs are observable, or can be derived from or corroborated by observable market data for substantially the full term of the asset or liability.

The Company evaluates transfers between fair value levels at the end of each reporting period. There were no transfers of assets or liabilities between fair value levels during the six months ended September 30, 2022.

The Company periodically makes investments in medical device companies that focus on heart failure and heart pumps and other medical device technologies. The Company measures these equity investments at cost minus impairment, if any, plus or minus changes resulting from observable price changes in orderly transactions for an identical or similar investment. The Company monitors any events or changes in circumstances that may have a significant effect on the fair value of investments, either due to impairment or based on observable price changes and records adjustments as needed.

The Company’s other investments are classified as a Level 3 assets and are not included in the fair value table above.

Change in fair value, net represents upward and downward adjustments due to observable price changes and related foreign currency fluctuations, which are reflected within interest and other income, net in the Company's condensed consolidated statements of operations for the three and six months ended September 30, 2022.

Contingent consideration represents potential milestones that the Company may pay as additional consideration related to the acquisition of ECP Entwicklungsgesellschaft mbH (“ECP”) in July 2014 and the acquisition of Breethe in April 2020. Changes in fair value of contingent consideration are reflected within research and development expenses in the Company’s condensed consolidated statements of operations. There is no assurance that any of the conditions for the milestone payments will be met.

In July 2014, the Company acquired ECP and AIS GmbH Aachen Innovative Solutions (“AIS”) for $13.0 million in cash, with additional potential payouts totaling $15.0 million based on the achievement of CE Mark approval in the European Union and a revenue-based milestone related to the development of the future Impella ECPTM expandable catheter pump technology. These potential milestone payments may be made, at the Company’s option, by a combination of cash or ABIOMED common stock.

The Company uses a combination of an income approach, based on various revenue and cost assumptions and the application of a probability to each outcome, and a Monte-Carlo valuation model, both of which consider significant unobservable inputs. As it relates to the CE Mark approval milestone, probabilities were applied to each potential scenario and the resulting values were discounted using a rate that considers weighted average cost of capital as well as a specific risk premium associated with the riskiness of the earn out itself, the related projections, and the overall business. The revenue-based milestone is valued using a Monte-Carlo valuation model, which simulates estimated future revenues during the earn out-period using management’s best estimates.

Key unobservable inputs include the discount rate used to present value the projected revenues and cash flows (ranging from 5.9% to 17.5%), the probability of achieving the various technical, regulatory and commercial milestones (estimated to range from 10% to 45%) and projected revenues based on a Monte-Carlo valuation (96%) which are based on the Company’s most recent internal operational budgets and long-range strategic plans.

In April 2020, the Company acquired Breethe for $55.0 million in cash, with additional potential payouts up to a maximum of $55.0 million payable based on the achievement of certain technical, regulatory and commercial milestones.

The Company uses a combination of an income approach, based on various revenue and cost assumptions and the application of a probability to each outcome, and a Monte-Carlo valuation model, both of which consider significant unobservable inputs. As it relates to the regulatory milestones, probabilities were applied to each potential scenario and the resulting values were discounted using a rate that considers weighted average cost of capital as well as a specific risk premium associated with the riskiness of the earn out itself, the related projections, and the overall business. The commercial milestones are valued using a Monte-Carlo valuation model, which simulates estimated future revenues during the earn out-period using management’s best estimates.

Key unobservable inputs include the discount rates used to present value the projected revenues and cash flows (ranging from 5.9% to 15.5%), the probability of achieving the various technical, regulatory and commercial milestones (estimated to range from 10% to 25%) and projected revenues based on a Monte-Carlo valuation (4%) which are based on the Company’s operational forecasts and long-range strategic plans.

Contingent consideration is classified as a Level 3 liability as the estimated fair value of the contingent consideration related to the acquisitions of ECP and Breethe require significant management judgment or estimation.

The change in fair value of the contingent consideration was primarily due to estimates related to development timelines and the passage of time on the fair value measurement of milestones.

The significant unobservable inputs used in the fair value of the Company’s contingent consideration are the discount rate and forecasted financial information, including the probability of achievement. Significant increases (decreases) in the discount rate would have resulted in a significantly lower (higher) fair value measurement. Significant increases (decreases) in the forecasted financial information would have resulted in a significantly higher (lower) fair value measurement. As of September 30, 2022 and March 31, 2022, the present value of expected payments related to the Company’s contingent consideration was $15.0 million and $21.5 million, respectively. The undiscounted value of the payments, assuming that all contingencies are met, would be $67.5 million as of both September 30, 2022 and March 31, 2022.