Constellation Brands, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

Fair Value of Financial Instruments (Tables)

6 Months Ended

Aug. 31, 2018

Assumptions used to estimate the fair value of warrants

As of August 31, 2018, the assumptions used to estimate the fair value of the Canopy Debt Securities are as follows:



Remaining term⁽¹⁾	4.9 years
Expected volatility ⁽²⁾	43.0	%
Risk-free interest rate ⁽³⁾	2.2	%
Expected dividend yield ⁽⁴⁾	0.0	%


⁽¹⁾	Based on the contractual maturity date of the notes.


⁽²⁾	Based on historical volatility levels of the underlying equity security reduced to account for certain risks not incorporated into the option-pricing model.


⁽³⁾	Based on the implied yield currently available on Canadian Treasury zero coupon issues with a term equal to the remaining contractual term of the debt securities.


⁽⁴⁾	Based on historical dividend levels.

As of August 31, 2018, the assumptions used to estimate the fair value of the Original Canopy Warrants are as follows:



Expected life⁽¹⁾	1.7 years
Expected volatility ⁽²⁾	73.6	%
Risk-free interest rate ⁽³⁾	2.0	%
Expected dividend yield ⁽⁴⁾	0.0	%


⁽¹⁾	Based on the expiration date of the warrants.


⁽²⁾	Based on historical volatility levels of the underlying equity security.


⁽³⁾	Based on the implied yield currently available on Canadian Treasury zero coupon issues with a remaining term equal to the expected life.


⁽⁴⁾	Based on historical dividend levels.

Financial assets and liabilities measured at estimated fair value on a recurring basis

The following table presents our financial assets and liabilities measured at estimated fair value on a recurring basis:



	Fair Value Measurements Using
	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
(in millions)
August 31, 2018
Assets:
Foreign currency contracts	$	—	$	36.9	$	—	$	36.9
Commodity derivative contracts	$	—	$	12.8	$	—	$	12.8
Interest rate swap contracts	$	—	$	2.7	$	—	$	2.7
Equity securities	$	863.3	$	689.1	$	—	$	1,552.4
Canopy Debt Securities	$	—	$	206.8	$	—	$	206.8
Liabilities:
Foreign currency contracts	$	—	$	34.1	$	—	$	34.1
Commodity derivative contracts	$	—	$	4.7	$	—	$	4.7

February 28, 2018
Assets:
Foreign currency contracts	$	—	$	40.3	$	—	$	40.3
Commodity derivative contracts	$	—	$	9.1	$	—	$	9.1
Equity securities	$	402.4	$	253.2	$	—	$	655.6
Debt securities, AFS	$	—	$	—	$	16.6	$	16.6
Liabilities:
Foreign currency contracts	$	—	$	19.9	$	—	$	19.9
Commodity derivative contracts	$	—	$	5.6	$	—	$	5.6

Assets and liabilities measured at estimated fair value on a nonrecurring basis

The following table presents our assets and liabilities measured at estimated fair value on a nonrecurring basis for which an impairment assessment was performed for the period presented:



	Fair Value Measurements Using
	Quoted Prices in Active Markets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total Losses
(in millions)
For the Six Months Ended August 31, 2017
Trademarks	$	—	$	—	$	136.0	$	86.8