Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v2.4.0.8
Fair Value Measurements
3 Months Ended
Mar. 31, 2014
Fair Value Measurements

6.  Fair Value Measurements

We measure the fair value of our 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 and published commodity futures prices.  The fair value of our 8.50% Senior Notes is based on quoted prices and the market is not an active market; therefore, the fair value is classified within Level 2.  The carrying amount of debt under our revolving bank credit facility approximates fair value because the interest rates are variable and reflective of market rates.

The following table presents the fair value of our derivative financial instruments, 8.50% Senior Notes and revolving bank credit facility (in thousands).

 

 

 

 

March 31, 2014

 

 

December 31, 2013

 

 

Hierarchy

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

Derivatives

Level 2

 

$

 

 

$

12,104

 

 

$

141

 

 

$

9,423

 

8.50% Senior Notes

Level 2

 

 

 

 

 

974,250

 

 

 

 

 

 

962,460

 

Revolving bank credit facility

Level 2

 

 

 

 

 

279,000

 

 

 

 

 

 

290,000

 

 

As described in Note 4, our derivative financial instruments are reported in the balance sheet at fair value and changes in fair value are recognized currently in earnings.  The 8.50% Senior Notes and revolving bank credit facility are reported in the balance sheet at their carrying value as described in Note 5.