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

Fair Value of Financial Instruments (Tables)

3 Months Ended

May 31, 2019

The inputs used to estimate the fair value of the Canopy Debt Securities are as follows:


⁽¹⁾	Based on the rate which the Canopy Debt Securities may be converted into equity shares, or the equivalent amount of cash, at the option of the issuer.


⁽²⁾	Based on the closing market price for Canopy common stock on the TSX as of the applicable date.


⁽³⁾	Based on the contractual maturity date of the notes.


⁽⁴⁾	Based on historical volatility levels of the underlying equity security reduced to account for certain risks not incorporated into the option-pricing model.


⁽⁵⁾	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.

⁽⁶⁾

Based on historical dividend levels.

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


⁽¹⁾	Based on the closing market price for Canopy common stock on the Toronto Stock Exchange (“TSX”) as of the applicable date.


⁽²⁾	Based on the expiration date of the warrants.


⁽³⁾	Based on historical volatility levels of the underlying equity security.


⁽⁴⁾	Based on the implied yield currently available on Canadian Treasury zero coupon issues with a remaining term equal to the expected life.

⁽⁵⁾

Based on historical dividend levels.

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)
May 31, 2019
Assets:
Foreign currency contracts	$	—	$	36.5	$	—	$	36.5
Commodity derivative contracts	$	—	$	4.0	$	—	$	4.0
Equity securities ⁽¹⁾	$	—	$	2,228.3	$	—	$	2,228.3
Canopy Debt Securities ⁽¹⁾	$	—	$	181.2	$	—	$	181.2
Liabilities:
Foreign currency contracts	$	—	$	22.6	$	—	$	22.6
Commodity derivative contracts	$	—	$	21.3	$	—	$	21.3

February 28, 2019
Assets:
Foreign currency contracts	$	—	$	38.2	$	—	$	38.2
Commodity derivative contracts	$	—	$	8.7	$	—	$	8.7
Equity securities ⁽¹⁾	$	—	$	3,023.2	$	—	$	3,023.2
Canopy Debt Securities ⁽¹⁾	$	—	$	211.5	$	—	$	211.5
Liabilities:
Foreign currency contracts	$	—	$	15.7	$	—	$	15.7
Commodity derivative contracts	$	—	$	11.6	$	—	$	11.6



⁽¹⁾	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 Three Months Ended
			May 31, 2019			May 31, 2018
	(in millions)
	November 2017 Canopy Investment ⁽ⁱ⁾		$	—		$	132.9
	November 2017 Canopy Warrants		(134.1		)	125.4
	November 2018 Canopy Warrants		(660.8		)	—
	Canopy Debt Securities		(32.6		)	—
			$	(827.5	)	$	258.3
	⁽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. For additional information on the November 2017 Canopy Investment, refer to Note 9.