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Fair value measurements
 12 Months Ended
Mar. 31, 2012
Fair value measurements [Abstract]  
Fair value measurements
Note 19:  Fair value measurements

Fair value is defined as the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants. Fair value measurements are classified under the following hierarchy:

·
Level 1 - Quoted prices for identical instruments in active markets.
·
Level 2 - Quoted prices for similar instruments in active markets; quoted prices for identical or similar instruments in markets that are not active; and model-derived valuations in which all significant inputs or significant value-drivers are observable in active markets.
·
Level 3 - Model-derived valuations in which one or more significant inputs or significant value-drivers are unobservable.
 
When available, the Company uses quoted market prices to determine fair value and classifies such measurements within Level 1. In some cases, where market prices are not available, the Company makes use of observable market-based inputs to calculate fair value, in which case the measurements are classified within Level 2. If quoted or observable market prices are not available, fair value is based upon internally developed models that use, where possible, current market-based parameters such as interest rates, yield curves, currency rates, etc. These measurements are classified within Level 3.

Fair value measurements are classified according to the lowest level input or value-driver that is significant to the valuation. A measurement may therefore be classified within Level 3 even though there may be significant inputs that are readily observable.

Trading securities
The Company's trading securities are a mix of various investments maintained in a deferred compensation trust to fund future obligations under Modine's non-qualified deferred compensation plan. The securities' fair values are the market values from active markets (such as the New York Stock Exchange (NYSE)) and are classified within Level 1 of the valuation hierarchy. The fair values of money market investments have been determined to approximate their net asset values, with no discounts for credit quality or liquidity restrictions and are classified within Level 2 of the valuation hierarchy.
 
Derivative financial instruments
As part of the Company's risk management strategy, Modine enters into derivative transactions to mitigate certain identified exposures. The derivative instruments include commodity derivatives. These are not exchange traded and are customized over-the-counter derivative transactions. These derivative exposures are with counterparties that have long-term credit ratings of BBB- or better.

The Company measures fair values assuming that the unit of account is an individual derivative transaction and those derivatives are sold or transferred on a stand-alone basis. Therefore, derivative assets and liabilities are presented on a gross basis without consideration of master netting arrangements. The Company estimates the fair value of these derivative instruments based on dealer quotes as the dealer is willing to settle at the quoted prices. These derivative instruments are classified within Level 2 of the valuation hierarchy.

Deferred compensation obligation
The fair value of the deferred compensation obligation is recorded at the fair value of the investments held by the deferred compensation trust. As noted above, the fair values are the market values directly from active markets (such as the NYSE) and are classified within Level 1 of the valuation hierarchy. The fair values of money market investments have been determined to approximate their net asset values, with no discounts for credit quality or liquidity restrictions and are classified with Level 2 of the valuation hierarchy.

At March 31, 2012, the assets and liabilities that are measured at fair value on a recurring basis are classified as follows:

Level 1
Level 2
Level 3
Total Assets /
Liabilities at
Fair Value
Assets:
Trading securities
$1,784$12$-$1,796
Derivative financial instruments
-361-361
Total assets
$1,784$373$-$2,157
Liabilities:
Derivative financial instruments
$-$3,530$-$3,530
Deferred compensation obligation
1,82312-1,835
Total liabilities
$1,823$3,542$-$5,365

At March 31, 2011, the assets and liabilities that are measured at fair value on a recurring basis were classified as follows:

Level 1
Level 2
Level 3
Total Assets /
Liabilities at
Fair Value
Assets:
Trading securities
$2,707$13$-$2,720
Derivative financial instruments
-929-929
Total assets
$2,707$942$-$3,649
Liabilities:
Derivative financial instruments
$-$650$-$650
Deferred compensation obligation
2,723--2,723
Total liabilities
$2,723$650$-$3,373
 
U.S. pension plan assets
At March 31, 2012, the U.S. pension plan assets are classified as follows:

Level 1
Level 2
Level 3
Total Assets
Money market investments
$-$11,707$-$11,707
Common stocks
26,76561-26,826
Corporate bonds
-18,197-18,197
Exchanged traded funds
606--606
Foreign bonds
-3,405-3,405
Pooled equity funds
67,50012,091-79,591
Pooled fixed income funds
16,170--16,170
U.S. government and agency securities
-29,321-29,321
Other
186190-376
Total U.S. pension plan assets
$111,227$74,972$-$186,199
 
At March 31, 2011, the U.S. pension plan assets were classified as follows:

Level 1
Level 2
Level 3
Total Assets
Money market investments
$-$11,583$-$11,583
Common stocks
28,00576-28,081
Corporate bonds
-18,079-18,079
Exchanged traded funds
1,693--1,693
Foreign bonds
-3,234-3,234
Pooled equity funds
67,24511,414-78,659
Pooled fixed income funds
14,251--14,251
U.S. government and agency securities
-25,648-25,648
Other
23596-331
Total U.S. pension plan assets
$111,429$70,130$-$181,559
 
The fair value of money market investments have been determined to approximate their net asset values, with no discounts for credit quality or liquidity restrictions and are classified within Level 2 of the valuation hierarchy. The fair value of common stocks, exchange traded funds, pooled equity funds and pooled fixed income funds are the market values from active markets (such as the NYSE) and are classified within Level 1 of the valuation hierarchy. The fair value of certain common stocks, corporate bonds, foreign bonds, pooled equity funds and U.S. government and agency securities are valued based upon recent bid prices or the average of recent bid and asking prices when available and, if not available, they are valued through matrix pricing models developed by sources considered by management to be reliable. These are classified within Level 2 of the valuation hierarchy. In addition to the above-listed pension plan assets, there was $434 and $491 of accrued interest and dividends included in the total plan assets for the years ended March 31, 2012 and March 31, 2011, respectively.