The Company’s cash equivalents and marketable securities at December 31, 2019 and March 31, 2019 are classified on the balance sheet as follows:

The Company’s cash equivalents and marketable securities at December 31, 2019 and March 31, 2019 are invested in the following:

	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
December 31, 2019:	(in $000's)
Money market funds	$	36,674	$	—	$	—		$	36,674
Repurchase agreements		20,000		—		—			20,000
Short-term U.S. Treasury mutual fund securities		37,158		23		—			37,181
Short-term government-backed securities		108,117		121		(11	)		108,227
Short-term corporate debt securities		124,113		149		(4	)		124,258
Short-term commercial paper		39,903		9		(9	)		39,903
Long-term U.S. Treasury mutual fund securities		10,086		2		—			10,088
Long-term government-backed securities		71,963		46		(26	)		71,983
Long-term corporate debt securities		85,348		562		—			85,910
	$	533,362	$	912	$	(50	)	$	534,224

	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
March 31, 2019:	(in $000's)
Money market funds	$	60,089	$	—	$	—		$	60,089
Repurchase agreements		20,000		—		—			20,000
Short-term U.S. Treasury mutual fund securities		58,786		13		(12	)		58,787
Short-term government-backed securities		126,336		60		(15	)		126,381
Short-term corporate debt securities		128,626		97		(9	)		128,714
Short-term commercial paper		56,780		16		(1	)		56,795
Long-term corporate debt securities		21,529		189		—			21,718
	$	472,146	$	375	$	(37	)	$	472,484

In October 2019, the Company entered into an intercompany agreement in which it loaned 85.0 million Euro to its Abiomed Europe GMBH, its German subsidiary. In conjunction with this intercompany loan agreement, the Company entered into a cross-currency swap agreement to convert a notional amount of 85.0 million Euro equivalent to $93.5 million denominated intercompany loan into U.S. dollars. 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 loan against changes in the exchange rate between the U.S. dollar and the Euro. Under the terms of this cross-currency swap contract, which has been designated as a cash flow hedge, the Company will make interest payments in Euro and receive interest in U.S. dollars. Upon the maturity of this contract, the Company will pay the principal amount of the loan in Euro and receive U.S. dollars from the counterparty. The cross-currency swap is carried on the consolidated balance sheet at fair value, and changes in the fair values are recorded as unrealized gains or losses in Accumulated Other Comprehensive Income (“AOCI”).

The Company uses a foreign-exchange-related derivative instrument to manage its exposure related to changes in the exchange rate on its intercompany loan. The Company does not enter into derivative instruments for any purpose other than cash flow hedging.

The following table summarizes the terms of the cross-currency swap agreement as of December 31, 2019 (dollar amounts in thousands):

The following table presents the notional amount and fair value of the Company’s derivative instrument as of December 31, 2019:

The Company has structured its cross-currency swap agreement to be 100% effective and, as a result, there was no net impact to earnings resulting from hedge ineffectiveness. Changes in the fair value of the cross-currency swap designated as a hedging instrument that effectively offsets the variability of cash flows are reported in AOCI. These amounts subsequently are reclassified into the consolidated income statement in the same period in which the related hedged item affects earnings.

For the three and nine months ended December 31, 2019, the Company recorded a $0.4 million in other income, net, included in the consolidated statements of operations related to the interest rate differential of the cross-currency swaps.

The Company’s contingent consideration consists of potentially payable amount related to the acquisition of ECP Entwicklungsgesellschaft mbH, or ECP, and AIS GmbH Aachen Innovative Solutions, or AIS, in July 2014. The Company acquired ECP and 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 ECP^TM expandable catheter pump technology. These potential milestone payments may be made, at the Company’s option, by a combination of cash or Company common stock. As of December 31, 2019, the Company used a combination of an income approach, based on various revenue and cost assumptions and applying a probability to each outcome and a Monte-Carlo valuation model. For the clinical and regulatory milestone, probabilities were applied to each potential scenario and the resulting values were discounted using a rate that considers the 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. Projected revenues are based on the Company’s most recent internal operational budgets and long-range strategic plans.

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: Quoted market prices in active markets for identical assets or liabilities.

Level 2: Observable market-based inputs or unobservable inputs that are corroborated by market data.

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 presents the Company’s fair value hierarchy for its financial instruments measured at fair value as of December 31, 2019 and March 31, 2019:

	Level 1		Level 2		Level 3		Total
December 31, 2019:	(in $000's)
Assets
Money market funds	$	36,674	$	—	$	—	$	36,674
Repurchase agreements		—		20,000		—		20,000
Short-term U.S. Treasury mutual fund securities		—		37,181		—		37,181
Short-term government-backed securities		—		108,227		—		108,227
Short-term corporate debt securities		—		124,258		—		124,258
Short-term commercial paper		—		39,903		—		39,903
Long-term U.S. Treasury mutual fund securities				10,088		—		10,088
Long-term government-backed securities		—		71,983		—		71,983
Long-term corporate debt securities		—		85,910		—		85,910
Investment in Shockwave Medical		73,735		—		—		73,735
Liabilities
Cross-currency swap agreement		—		3,278		—		3,278
Contingent consideration		—		—		10,440		10,440

	Level 1		Level 2		Level 3		Total
March 31, 2019:	(in $000's)
Assets
Money market funds	$	60,089	$	—	$	—	$	60,089
Repurchase agreements		—		20,000		—		20,000
Short-term U.S. Treasury mutual fund securities		—		58,787		—		58,787
Short-term government-backed securities		—		126,381		—		126,381
Short-term corporate debt securities		—		128,714		—		128,714
Short-term commercial paper		—		56,795		—		56,795
Long-term corporate debt securities		—		21,718		—		21,718
Investment in Shockwave Medical		56,195		—		—		56,195
Liabilities
Contingent consideration		—		—		9,575		9,575

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 consolidated balance sheet.

The Company has determined that the estimated fair value of its repurchase agreements, U.S. Treasury mutual fund securities, government-backed securities, corporate debt securities, commercial paper and cross-currency rate swap are reported as Level 2 financial assets 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.

The Company’s contingent consideration liability is reported as Level 3 as the estimated fair value of the contingent consideration related to the acquisition of ECP requires significant management judgment or estimation and is calculated using the following valuation methods:

Milestone Payment

Fair Value at December 31, 2019

Valuation Methodology

Significant Unobservable Input

Weighted Average (range, if applicable)

(in $000's)

Clinical and regulatory milestone

7,000

5,617

Probability weighted income approach

Projected fiscal year of milestone payments

2021 to 2023

Discount rate

2.84% to 2.86%

Probability of occurrence

Probability adjusted level of 45% for the base case scenario and 15% to 40% for various downside and upside scenarios

Revenue-based milestone

8,000

4,823

Monte Carlo simulation model

Projected fiscal year of milestone payments

2025 to 2035

Discount rate

18%

Expected volatility for forecasted revenues

50%

Probability of payment (risk-neutral)

73.8%

15,000

10,440

The following table summarizes the change in fair value, as determined by Level 3 inputs, of the contingent consideration for the three and nine months ended December 31, 2019 and 2018:

	For the Three Months Ended December 31,				For the Nine Months Ended December 31,
		2019		2018		2019		2018
	(in $000's)
Beginning balance	$	10,236	$	10,331	$	9,575	$	10,490
Additions		—		—		—		—
Payments		—		—		—		—
Change in fair value		204		252		865		93
Ending balance	$	10,440	$	10,583	$	10,440	$	10,583

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. Adjustments associated with the change in fair value of contingent consideration are included in research and development expenses in the Company’s consolidated statements of operations. Significant increases or decreases in any of the probabilities of success or changes in expected timelines for achievement of any of these milestones could result in a significantly higher or lower fair value of the liability. The fair value of the contingent consideration at each reporting date is updated by reflecting the changes in fair value reflected in the Company’s consolidated statement of operations. There is no assurance that any of the conditions for the milestone payments will be met.