Fair Value Measurements

12 Months Ended

Mar. 31, 2013

Fair Value Measurements [Abstract]

Fair Value Measurements

Note 3: 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 uses 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 valuation models that use, where possible, market-based parameters such as interest rates, yield curves or currency rates. These measurements are classified within Level 3.

Trading securities: Trading securities held by the Company, which are included within other noncurrent assets on the balance sheet, are investments maintained in a deferred compensation trust to fund future obligations under Modine's non-qualified deferred compensation plan. The securities' fair values are determined based on quoted prices from active markets and are classified within Level 1 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 foreign currency exchange contracts and 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 value assuming that the unit of account is an individual derivative transaction and those derivatives are sold or transferred on a stand-alone basis. The Company estimates the fair value of these derivative instruments based on dealer quotes. These derivative instruments are classified within Level 2 of the valuation hierarchy.

Deferred compensation obligations: The fair value of the Company's deferred compensation obligations are recorded at the fair value of the investments held by the deferred compensation trust. As described above, the fair values of the related trading securities are determined based on quoted prices from active markets and are classified within Level 1 of the valuation hierarchy.

The carrying values of cash and cash equivalents, trade accounts receivable and accounts payable approximate fair value due to the short-term nature of these instruments. The fair value of the Company's debt is disclosed in Note 15.

At March 31, 2013, assets and liabilities recorded at fair value on a recurring basis were as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Trading securities	$	2.3	$	-	$	-	$	2.3
Total assets	$	2.3	$	-	$	-	$	2.3
Liabilities:
Derivative financial instruments	$	-	$	1.4	$	-	$	1.4
Deferred compensation obligations		2.3		-		-		2.3
Total liabilities	$	2.3	$	1.4	$	-	$	3.7

At March 31, 2012, assets and liabilities recorded at fair value on a recurring basis were as follows:

	Level 1		Level 2		Level 3		Total
Assets:
Trading securities	$	1.8	$	-	$	-	$	1.8
Derivative financial instruments		-		0.4		-		0.4
Total assets	$	1.8	$	0.4	$	-	$	2.2
Liabilities:
Derivative financial instruments	$	-	$	3.5	$	-	$	3.5
Deferred compensation obligations		1.8		-		-		1.8
Total liabilities	$	1.8	$	3.5	$	-	$	5.3

At March 31, 2013, the U.S. pension plan assets were classified as follows:

	Level 1		Level 2		Level 3		Total
Money market investments	$	-	$	7.3	$	-	$	7.3
Common stocks		35.9		0.1		-		36.0
Corporate bonds		-		19.1		-		19.1
Pooled equity funds		68.8		14.1		-		82.9
Pooled fixed income funds		17.6		-		-		17.6
U.S. government and agency securities		-		32.1		-		32.1
Other		1.0		4.6		-		5.6
Total	$	123.3	$	77.3	$	-	$	200.6

At March 31, 2012, the U.S. pension plan assets were classified as follows:

	Level 1		Level 2		Level 3		Total
Money market investments	$	-	$	11.7	$	-	$	11.7
Common stocks		26.7		0.1		-		26.8
Corporate bonds		-		18.2		-		18.2
Pooled equity funds		67.5		12.1		-		79.6
Pooled fixed income funds		16.2		-		-		16.2
U.S. government and agency securities		-		29.3		-		29.3
Other		1.2		3.6		-		4.8
Total	$	111.6	$	75.0	$	-	$	186.6

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, pooled equity funds and pooled fixed-income funds are determined based on quoted prices from active markets and are classified within Level 1 of the valuation hierarchy. The fair value of certain common stocks, corporate 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.

Assets held for sale: In addition to items that are recorded at fair value on a recurring basis, assets held for sale and certain other long-lived assets may be measured at fair value on a nonrecurring basis. These assets have been written down to fair value based on Level 3 market-based valuation inputs. Asset impairment charges of $25.9 million were recorded in fiscal 2013 based on fair values determined from estimated market values of similar commercial real estate properties and estimated salvage values. Asset impairment charges of $2.5 million were recorded in fiscal 2012 based on fair values determined from estimated salvage values. Asset impairment charges of $3.5 million were recorded in fiscal 2011 based on fair values determined from estimated salvage values and estimated market values of similar commercial real estate properties. The carrying value of assets held for sale totaled $11.4 million and $2.5 million at March 31, 2013 and March 31, 2012, respectively. See Note 5 for further discussion.