Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.5.0.2
Fair Value Measurements
9 Months Ended
Sep. 30, 2016
Fair Value Disclosures [Abstract]  
Fair Value Measurements

6.  Fair Value Measurements  

We measure the fair value of our open derivative financial instruments by applying the income approach, using models with inputs that are classified within Level 2 of the valuation hierarchy.  The inputs used for the fair value measurement of our derivative financial instruments are the exercise price, the expiration date, the settlement date, notional quantities, the implied volatility, the discount curve with spreads, credit risk and published commodity futures prices.  The fair value of the 1.5 Lien Term Loan was estimated using the carrying value of the principal as no market has initially developed and the loan was recently consummated.  The fair values of our Second Lien Term Loan, Second Lien PIK Toggle Notes, Third Lien PIK Toggle Notes and Unsecured Senior Notes were based on quoted prices, although the market is not an active market; therefore, the fair value is classified within Level 2.  

The following table presents the fair value of our open derivatives and long-term debt, all of which are classified as Level 2 within the valuation hierarchy (in thousands):

 

 

September 30, 2016

 

 

December 31, 2015

 

 

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

$

112

 

 

$

47

 

 

$

7,672

 

 

$

 

11.00% 1.5 Term Loan, due November 2019 (1)

 

 

 

 

 

75,000

 

 

 

 

 

 

 

9.00% Second Lien Term Loan, due May 2020 (1)

 

 

 

 

 

192,000

 

 

 

 

 

 

217,500

 

9.00%/10.75% Second Lien PIK Toggle Notes, due May 2020 (1)

 

 

 

 

 

87,870

 

 

 

 

 

 

 

8.50%/10.00% Third Lien PIK Toggle Notes, due June 2021 (1)

 

 

 

 

 

49,711

 

 

 

 

 

 

 

8.50% Unsecured Senior Notes, due June 2019  (1)

 

 

 

 

 

74,033

 

 

 

 

 

 

324,000

 

 

(1)

The long-term debt items are reported on the Condensed Consolidated Balance Sheets at their carrying value as described in Note 5.