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Financial Instruments (Tables)

9 Months Ended

Dec. 31, 2019

Cash Equivalents and Marketable Securities by Balance Sheet Classification

Cash Equivalents, Marketable Securities

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

	December 31, 2019		March 31, 2019
	(in $000's)
Cash equivalents	$	56,674	$	80,089
Short-term marketable securities		309,569		370,677
Long-term marketable securities		167,981		21,718
	$	534,224	$	472,484

Cash Equivalents and Marketable Securities

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

Schedule of Cross-Currency Rate Swap Derivatives Agreement

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

				December 31, 2019
	Effective Date	Maturity	Fixed Rate	Aggregate Notional Amount
Pay EUR	October 15,	October 15,	2.75%		EUR 85,000
Receive U.S.$	2019	2024	4.64%		USD 93,457

Schedule of Fair Value of Company's Derivative Instrument

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

		December 31, 2019
Derivatives designated as hedging instruments under ASC 815	Balance Sheet classification	Fair Value
Cross-currency swap	Other assets (long term liabilities)	$	(3,278	)

Financial Instruments Measured at Fair Value

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

Valuation Method Used to Calculate Level 3 Liabilities Measured at Estimated Fair Value of Contingent Consideration Related to Acquisition

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

Change in Fair Value of Contingent Consideration as Determined by Level 3 Inputs

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