Quarterly report pursuant to Section 13 or 15(d)

Fair Value of Financial Instruments (Tables)

v3.10.0.1
Fair Value of Financial Instruments (Tables)
6 Months Ended
Aug. 31, 2018
Fair Value Disclosures [Abstract]  
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