Rayovac 2015 Annual Report Download - page 139

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SPECTRUM BRANDS HOLDINGS, INC.
SB/RH HOLDINGS, LLC
NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS—(CONTINUED)
Fair Value of Derivative Instruments
The fair value of the Company’s outstanding derivative instruments in the Consolidated Statements of
Financial Position are as follows:
Line Item 2015 2014
Derivative Assets (in millions)
Interest rate swaps—designated as hedge .................. Deferred charges and other $— $ 0.6
Commodity swaps—designated as hedge ................. Receivables—Other — 1.3
Foreign exchange contracts—designated as hedge .......... Receivables—Other 5.2 12.0
Foreign exchange contracts—designated as hedge .......... Deferred charges and other 0.4 0.3
Foreign exchange contracts—not designated as hedge ....... Receivables—Other 0.4 0.5
Total Derivative Assets ............................ $6.0 $14.7
Derivative Liabilities
Interest rate swaps—designated as hedge .................. Other current liabilities $ 1.4 $ 1.3
Interest rate swaps—designated as hedge .................. Accrued interest 0.4 0.4
Interest rate swaps—designated as hedge .................. Other long-term liabilities 0.8 —
Commodity swaps—designated as hedge ................. Accounts payable 4.7 0.2
Commodity swaps—designated as hedge ................. Other long-term liabilities 0.8 —
Commodity swaps—not designated as hedge .............. Accounts payable 0.1 0.1
Foreign exchange contracts—designated as hedge .......... Accounts payable 1.5 —
Foreign exchange contracts—not designated as hedge ....... Accounts payable 0.1 0.1
Total Derivative Liabilities ......................... $9.8 $ 2.1
The Company is exposed to the risk of default by the counterparties with which it transacts and generally
does not require collateral or other security to support financial instruments subject to credit risk. The Company
monitors counterparty credit risk on an individual basis by periodically assessing each such counterparty’s credit
rating exposure. The maximum loss due to credit risk equals the fair value of the gross asset derivatives that are
concentrated with certain domestic and foreign financial institution counterparties. The Company considers these
exposures when measuring its credit reserve on its derivative assets, which was less than $0.1 million for the
years ended September 30, 2015 and 2014.
The Company’s standard contracts do not contain credit risk related contingent features whereby the
Company would be required to post additional cash collateral as a result of a credit event. However, the
Company is typically required to post collateral in the normal course of business to offset its liability positions.
As of September 30, 2015 and 2014, there was $3.5 million and less than $0.1 million, respectively, of posted
cash collateral related to such liability positions. In addition, as of September 30, 2015 and 2014, the Company
had no posted standby letters of credit related to such liability positions. The cash collateral is included in Other
Receivables within the Consolidated Statements of Financial Position.
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