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FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Oct. 31, 2020

Schedule of Financial Assets and Liabilities Measured on Recurring Basis

The fair value of our financial assets and liabilities measured on a recurring basis is as follows:


	As of July 31, 2020
	Level I		Level II		Level III		Total

	(in thousands)
Financial Assets:
Cash equivalents:
Money market funds	$	142,936	$	—	$	—	$	142,936
Commercial paper	—		8,999		—		8,999
Short-term investments:
Corporate bonds	—		345,265		—		345,265
Commercial paper	—		29,702		—		29,702
U.S. government securities	—		26,074		—		26,074
Total measured at fair value	$	142,936	$	410,040	$	—	$	552,976
Cash							166,802
Total cash, cash equivalents and short-term investments							$	719,778


	As of October 31, 2020
	Level I		Level II		Level III		Total

	(in thousands)
Financial Assets:
Cash equivalents:
Money market funds	$	260,398	$	—	$	—	$	260,398
Commercial paper	—		42,494		—		42,494


Short-term investments:
Corporate bonds	—		532,904		—		532,904
Commercial paper	—		151,267		—		151,267
U.S. government securities	—		129,432		—		129,432
Total measured at fair value	$	260,398	$	856,097	$	—	$	1,116,495
Cash							201,590
Total cash, cash equivalents and short-term investments							$	1,318,085

The carrying values and estimated fair values of financial instruments not recorded at fair value are as follows:


	As of July 31, 2020				As of October 31, 2020
	Carrying Value		Estimated Fair Value		Carrying Value		Estimated Fair Value

	(in thousands)
2023 Notes	$	490,222	$	529,385	$	498,378	$	558,894
2026 Notes	—		—		496,259		840,900
Total	$	490,222	$	529,385	$	994,637	$	1,399,794

Schedule of Derivative Liabilities at Fair Value

The following table shows the estimated fair value of the derivative liability as of the issuance of the 2026 Notes and the change in fair value from issuance through October 31, 2020:


	Three Months Ended October 31, 2020

	(in thousands)
Derivative liability at issuance of the 2026 Notes	$	230,910
Change in fair value	64,740
Derivative liability, end of period	$	295,650

Fair Value Measurement Inputs and Valuation Techniques

We estimated the fair value of the derivative liability using a Binomial model, with the following valuation inputs:


	As of
	September 24, 2020	October 31, 2020

Conversion ratio (1)	Conversion price of $26.63 with a 37.552 conversion rate per $1,000	Conversion price of $26.63 with a 37.552 conversion rate per $1,000
Risk-free rate	0.4%	0.5%
Discount rate (2)	9.00%	8.25%
Volatility	42.7%	42.7%
Stock price	$21.26	$24.34

(1)The conversion ratio was estimated based on the latest forecast of the associated financial performance metric.

(2)The discount rate was estimated based on the implied rate for the 2023 Notes as well as a credit analysis.