Estimated Fair Value of Financial Instruments

3 Months Ended

Sep. 30, 2018

Estimated Fair Value of Financial Instruments

Cash equivalents and marketable securities:



	($ in thousands)
September 30, 2018	Level 1 ^(a)		Level 2 ^(b)		Level 3 ^(c)		Total
Money Market Funds Note ^(d)	$	324,375	$	—	$	—	$	324,375
Marketable Securities:
U.S. Government Sponsored Agencies	4,941		—		—		4,941
Total	$	329,316	$	—	$	—	$	329,316



	($ in thousands)
June 30, 2018	Level 1 ^(a)		Level 2 ^(b)		Level 3 ^(c)		Total
Money Market Funds Note ^(d)	$	300,865	$	—	$	—	$	300,865
Marketable Securities:
U.S. Treasury Bonds	9,632		—		—		9,632
Certificate of Deposits	5,610		—		—		5,610
U.S. Government Sponsored Agencies	6,749		—		—		6,749
Corporate Debt Securities	4,505		—		—		4,505
Commercial Paper	249		—		—		249
Total	$	327,610	$	—	$	—	$	327,610

^(a) Level 1 - Financial instruments whose values are based on unadjusted quoted prices for identical assets or liabilities in an active market which the company has the ability to access at the measurement date.

^(b) Level 2 - Financial instruments whose value are based on quoted market prices in markets where trading occurs infrequently or whose values are based on quoted prices of instruments with similar attributes in active markets.

^(c) Level 3 - Financial instruments whose values are based on prices or valuation techniques that require inputs that are both unobservable and significant to the overall fair value measurement. These inputs reflect management's own assumptions about the assumptions a market participant would use in pricing the asset.

^(d) The money market funds noted above are included in cash and cash equivalents.

Convertible Senior Notes

The carrying amounts and estimated fair values (Level 2) of debt instruments are as follows (in thousands):



	As of September 30, 2018				As of June 30, 2018
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
	Carrying Amount		Estimated Fair Value		Carrying Amount		Estimated Fair Value
Convertible Senior Notes	$	19,799	$	79,424	$	19,763	$	89,436

The fair value of the Convertible Senior Notes, which differs from their carrying values, is influenced by interest rates, the Company’s stock price and stock price volatility and is determined by prices for the Convertible Senior Notes observed in market trading which are Level 2 inputs (see Note 4).

Warrant Liabilities

The Company has determined its warrant liabilities to be a Level 2 fair value measurement and used the Black Scholes valuation model to calculate the fair value. At the measurement dates, the Company estimated the fair value for the warrants based on a Black-Scholes valuation model and using the following assumptions:



	September 30, 2018 ⁽²⁾	June 30, 2018 ⁽²⁾	June 30, 2017 ⁽¹⁾	June 30, 2017 ⁽²⁾	February 10, 2017	October 11, 2016
Risk-free interest rate	2.12%	1.95%	1.14%	1.38%	1.47%	0.87%
Expected remaining term	0.03 years	0.3 years	0.5 years	1.3 years	3.0 years	2.0 years
Expected volatility	60.00%	60.00%	69.34%	73.85%	71.42%	75.00%
Dividend yield	—%	—%	—%	—%	—%	—%


⁽¹⁾	Represents the fair value assumptions for the warrants issued in connection with February 10, 2017 stock purchase agreement.


⁽²⁾	Represents the fair value assumptions for the warrants issued in connection with October 11, 2016 public offering.

The following table sets forth the warrant activity, including transfers of warrant liabilities to equity upon exercise, for the year ended September 30, 2018 (in thousands):



	Number of Warrants		Estimated Fair Value Level 2
(in thousands)	Number of Warrants		Estimated Fair Value Level 2
Fair value - June 30, 2018	450		$	8,973
Warrants exercised	(100	)	(1,776		)
Changes in fair market value of warrant liabilities	—		(1,218		)
Fair value - September 30, 2018	350		$	5,979

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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