Fair value of financial instruments

3 Months Ended

Mar. 31, 2016

Investments, Debt and Equity Securities [Abstract]

Fair value of financial instruments

Fair value of financial instruments

Fixed-Rate Debt

The fair value and carrying value of our fixed-rate debt are as follows:

(In millions)	March 31, 2016		December 31, 2015
Unsecured notes issued in a private placement
Carrying value	$	85.7	92.9
Fair value	88.5		95.7

The fair value estimate of our unsecured private-placement notes is based on the present value of future cash flows, discounted at rates for similar instruments at the respective measurement dates, which we have categorized as a Level 3 valuation.

There were no transfers in or out of any of the levels of the valuation hierarchy in the first three months of 2016.

Other Financial Instruments

Other financial instruments include cash and cash equivalents, accounts receivable, floating rate debt, accounts payable and accrued liabilities.  The financial statement carrying amounts of these items approximate the fair value.

We have outstanding foreign currency forward and swap contracts to hedge transactional risks associated with foreign currencies.  At March 31, 2016, the notional value of our shorter term outstanding foreign currency forward and swap contracts was $54.6 million and generally have average maturities of approximately one month.  These shorter term foreign currency forward and swap contracts primarily offset exposures in the British pound, the euro and the Mexican peso and are not designated as hedges for accounting purposes. The fair values of these currency contracts are determined using Level 2 valuation techniques and are based on the present value of net future cash payments and receipts.  At March 31, 2016, the fair value of these shorter term foreign currency contracts was not significant.

In 2013, we entered into a longer term cross-currency swap to hedge against the change in value of a long-term intercompany loan denominated in Brazilian real.  This longer term contract is designated as a cash flow hedge for accounting purposes. At March 31, 2016, the notional value of this contract was $12.7 million with a weighted average maturity of 1.0 year. The fair value of the cross-currency swap is determined using Level 2 valuation techniques and is based on the present value of net future cash payments and receipts.  At March 31, 2016, the fair value of this longer term contract was a net asset of $5.7 million, of which $2.6 million is included in prepaid expenses and other and $3.1 million is included in other assets on the consolidated balances sheet.  

We entered into an interest rate swap contract in the first quarter of 2016 to hedge cash flow risk associated with changes in variable interest rates. The fair value of this interest rate swap at March 31, 2016 was a net liability of $0.4 million.

There were no transfers in or out of any of the levels of the valuation hierarchy in the first three months of 2016.