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)

9 Months Ended

Nov. 30, 2018

Assumptions used to estimate securities measured at fair value

As of November 30, 2018, the assumptions used to estimate the fair value of the Canopy Debt Securities are as follows:



Remaining term⁽¹⁾	4.6 years
Expected volatility ⁽²⁾	44.2	%
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.

The assumptions used to estimate the fair value of the warrants are as follows:



	November 30, 2018				February 28, 2018
	November 2018 Canopy Warrants		November 2017 Canopy Warrants		November 2017 Canopy Warrants
Expected life⁽¹⁾	2.9 years		1.4 years		2.2 years
Expected volatility ⁽²⁾	75.2	%	83.2	%	70.9	%
Risk-free interest rate ⁽³⁾	2.2	%	2.1	%	1.8	%
Expected dividend yield ⁽⁴⁾	0.0	%	0.0	%	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)
November 30, 2018
Assets:
Foreign currency contracts	$	—	$	11.3	$	—	$	11.3
Commodity derivative contracts	$	—	$	8.3	$	—	$	8.3
Equity securities ^{(1) (2)}	$	—	$	1,881.2	$	—	$	1,881.2
Canopy Debt Securities ⁽²⁾	$	—	$	166.9	$	—	$	166.9
Liabilities:
Foreign currency contracts	$	—	$	67.5	$	—	$	67.5
Commodity derivative contracts	$	—	$	17.2	$	—	$	17.2

February 28, 2018
Assets:
Foreign currency contracts	$	—	$	40.3	$	—	$	40.3
Commodity derivative contracts	$	—	$	9.1	$	—	$	9.1
Equity securities ⁽¹⁾	$	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



⁽¹⁾	Equity securities consist of:	November 30, 2018		February 28, 2018
	(in millions)
	November 2017 Canopy Investment	$	—	$	402.4
	November 2017 Canopy Warrants	476.8		253.2
	November 2018 Canopy Warrants	1,404.4		—
		$	1,881.2	$	655.6



⁽²⁾	Unrealized net gain (loss) from the changes in fair value of our securities measured at fair value recognized in income (loss) from unconsolidated investments, are as follows:
			For the Nine Months Ended				For the Three Months Ended
			November 30, 2018		November 30, 2017		November 30, 2018			November 30, 2017
	(in millions)
	November 2017 Canopy Investment ⁽ⁱ⁾		$	292.5	$	139.7	$	(168.5	)	$	139.7
	November 2017 Canopy Warrants		223.5		77.1		(212.4		)	77.1
	November 2018 Canopy Warrants		257.6		—		257.6			—
	Canopy Debt Securities		12.9		—		(40.6		)	—
			$	786.5	$	216.8	$	(163.9	)	$	216.8
	⁽ⁱ⁾	Accounted for at fair value from the date of investment in November 2017 through October 31, 2018. Accounted for under the equity method from November 1, 2018.

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 Nine Months Ended November 30, 2017
Trademarks	$	—	$	—	$	136.0	$	86.8