The Company’s cash equivalents and marketable securities at December 31, 2021 and March 31, 2021 are invested in the following:

	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
December 31, 2021	(in thousands)
Money market funds	$	61,245	$	—	$	(2	)	$	61,243
Repurchase agreements		10,000		—		—			10,000
Total cash equivalents		71,245		—		(2	)		71,243
Short-term U.S. Treasury mutual fund securities		143,488		1		(101	)		143,388
Short-term government-backed securities		126,586		1		(88	)		126,499
Short-term corporate debt securities		63,549		233		(21	)		63,761
Short-term commercial paper		191,373		4		(59	)		191,318
Total short-term marketable securities		524,996		239		(269	)		524,966
Long-term U.S. Treasury mutual fund securities		128,705		—		(357	)		128,348
Long-term government-backed securities		114,681		1		(725	)		113,957
Long-term corporate debt securities		20,435		—		(105	)		20,330
Total long-term marketable securities		263,821		1		(1,187	)		262,635
Total cash equivalents and marketable securities	$	860,062	$	240	$	(1,458	)	$	858,844

	Amortized		Gross Unrealized		Gross Unrealized			Fair Market
	Cost		Gains		Losses			Value
March 31, 2021:	(in thousands)
Money market funds	$	124,297	$	—	$	—		$	124,297
Repurchase agreements		33,000		—		—			33,000
Total cash equivalents		157,297		—		—			157,297
Short-term U.S. Treasury mutual fund securities		72,221		28		—			72,249
Short-term government-backed securities		128,668		13		(12	)		128,669
Short-term corporate debt securities		104,253		581		(2	)		104,832
Short-term commercial paper		45,237		1		(3	)		45,235
Total short-term marketable securities		350,379		623		(17	)		350,985
Long-term government-backed securities		225,231		190		(37	)		225,384
Long-term corporate debt securities		38,091		630		(20	)		38,701
Total long-term marketable securities		263,322		820		(57	)		264,085
Total cash equivalents and marketable securities		770,998		1,443		(74	)		772,367

Gross realized gains and losses on sales of marketable securities were not material for the three and nine months ended December 31, 2021 and 2020.

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 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.

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, 2021 (amounts in thousands):

The following table presents the fair value of the Company’s derivative instrument (in thousands):

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 are designated as a hedging instrument that effectively offsets the variability of cash flows and are reported in accumulated other comprehensive income. These amounts subsequently are reclassified into the consolidated statements of operations in the same period in which the related hedged item affects earnings. The change in fair value of the cross-currency swap during the three and nine months ended December 31, 2021 was mainly due to fluctuations in the Euro to the U.S. dollar exchange rates.

For the three and nine months ended December 31, 2021, the Company recorded income related to the interest rate differential of the cross-currency swap of $0.4 million and $1.2 million, respectively in other (loss) income, net, within the condensed consolidated statements of operations. For the three and nine months ended December 31, 2020, the Company recorded income related to the interest rate differential of the cross-currency swap of $0.5 million and $1.2 million, respectively in other (loss) 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
December 31, 2021	(in thousands)
Assets
Money market funds	$	61,243	$	—	$	—	$	61,243
Repurchase agreements		—		10,000		—		10,000
Short-term U.S. Treasury mutual fund securities		—		143,388		—		143,388
Short-term government-backed securities		—		126,499		—		126,499
Short-term corporate debt securities		—		63,761		—		63,761
Short-term commercial paper		—		191,318		—		191,318
Long-term U.S. Treasury mutual fund securities		—		128,348		—		128,348
Long-term government-backed securities		—		113,957		—		113,957
Long-term corporate debt securities		—		20,330		—		20,330
Investment in Shockwave Medical		52,920		—		—		52,920
Liabilities
Cross-currency swap agreement		—		2,131		—		2,131
Contingent consideration		—		—		21,539		21,539

	Level 1		Level 2		Level 3		Total
March 31, 2021	(in thousands)
Assets
Money market funds	$	124,297	$	—	$	—	$	124,297
Repurchase agreements		—		33,000		—		33,000
Short-term U.S. Treasury mutual fund securities		—		72,249		—		72,249
Short-term government-backed securities		—		128,669		—		128,669
Short-term corporate debt securities		—		104,832		—		104,832
Short-term commercial paper		—		45,235		—		45,235
Long-term government-backed securities		—		225,384		—		225,384
Long-term corporate debt securities		—		38,701		—		38,701
Investment in Shockwave Medical		38,655		—		—		38,655
Liabilities
Cross-currency swap agreement		—		4,298		—		4,298
Contingent consideration		—		—		24,706		24,706

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 repurchase agreements, U.S. Treasury mutual fund securities, government-backed securities, corporate debt securities and commercial paper 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 nine months ended December 31, 2021.

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 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. The carrying value of the Company’s portfolio of other investments and the change in the balance for the nine months ended December 31, 2021 are as follows:

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 ECP^TM 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 applies a probability to each outcome and a Monte-Carlo valuation model, both of which consider significant unobservable inputs. Probabilities are applied to the clinical and regulatory milestones, for each potential scenario and the resulting values are 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 1.8% to 2.2%), the probability of achieving the various technical, regulatory and commercial milestones (estimated to range from 15% to 80%) and projected revenues, 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 applies a probability to each outcome and a Monte-Carlo valuation model, both of which consider significant unobservable inputs. For the regulatory milestones, probabilities are applied to each potential scenario and the resulting values are 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 1.7% to 2.3%), the probability of achieving the various technical, regulatory and commercial milestones (estimated to range from 15% to 75%) and projected revenues, which are based on the Company’s most recent internal operational budgets 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 following table summarizes the change in fair value, as determined by Level 3 inputs of the contingent consideration for the nine months ended December 31, 2021:

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. 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 December 31, 2021 and March 31, 2021, the present value of expected payments related to the Company’s contingent consideration was $21.5 million and $24.7 million, respectively. The undiscounted value of the payments, assuming that all contingencies are met, would be $67.5 million as of December 31, 2021.