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Fair Value Measurements
 6 Months Ended
Sep. 30, 2012
Fair Value Measurements [Abstract]  
Fair Value Measurements
Note 15: Fair Value Measurements

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 or currency rates.  These measurements are classified within Level 3.

Trading securities:  The Company's trading securities, which are included within other current assets on the balance sheet, 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 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 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 currency options 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 obligation:  The fair value of the Company's deferred compensation obligation is 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 the market values from active markets 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 and are classified within Level 2 of the valuation hierarchy.

The carrying values of cash and cash equivalents, trade receivables and accounts payable approximate fair value due to the short-term nature of these instruments.

At September 30, 2012, 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:
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities (short-term investments)
 
$
2,072
 
 
$
-
 
 
$
-
 
 
$
2,072
 
Derivative financial instruments
 
 
-
 
 
 
205
 
 
 
-
 
 
 
205
 
Total assets
 
$
2,072
 
 
$
205
 
 
$
-
 
 
$
2,277
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative financial instruments
 
$
-
 
 
$
1,593
 
 
$
-
 
 
$
1,593
 
Deferred compensation obligation
 
 
2,072
 
 
 
-
 
 
 
-
 
 
 
2,072
 
Total liabilities
 
$
2,072
 
 
$
1,593
 
 
$
-
 
 
$
3,665
 

At March 31, 2012, 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:
 
 
 
 
 
 
 
 
 
 
 
 
Trading securities (short-term investments)
 
$
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
 
 
1,823
 
 
 
12
 
 
 
-
 
 
 
1,835
 
Total liabilities
 
$
1,823
 
 
$
3,542
 
 
$
-
 
 
$
5,365
 

Assets held for sale:  In addition to items that are measured 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.  The carrying value of assets held for sale totaled $6,646 at September 30, 2012.