Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements

v3.4.0.3
Fair Value Measurements
3 Months Ended
Mar. 31, 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 values of our 8.50% Senior Notes and 9.00% Term Loan were based on quoted prices, although 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 open derivatives and long-term debt, as reported in the Condensed Consolidated Balance Sheets (in thousands):

 

 

 

 

March 31, 2016

 

 

December 31, 2015

 

 

Hierarchy

 

Assets

 

 

Liabilities

 

 

Assets

 

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

Level 2

 

$

6,060

 

 

$

 

 

$

7,672

 

 

$

 

8.50% Senior Notes (1)

Level 2

 

 

 

 

 

108,000

 

 

 

 

 

 

324,000

 

9.00% Term Loan (1)

Level 2

 

 

 

 

 

144,000

 

 

 

 

 

 

217,500

 

Revolving bank credit facility (1)

Level 2

 

 

 

 

 

288,000

 

 

 

 

 

 

 

 

 

(1)

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