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Fair Value Measurements | 9 Months Ended
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Sep. 30, 2011
Fair Value Measurements |
Fair Value Measurements |
7. Fair Value Measurements The following table presents information about our assets and liabilities that are measured at fair value on a recurring basis (in thousands):
As of September 30, 2011 |  |  | Level 1 |  | Level 2 |  | Level 3 |  | Sub-Total |  | Netting and Collateral |  | Total |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | 28,889 |  | $ | 81,682 |  | $ | — |  | $ | 110,571 |  | $ | (89,894 | ) | $ | 20,677 |
Foreign currency contracts |  | — |  | 4,096 |  | — |  | 4,096 |  | (920 | ) | 3,176 |
Hedged item inventories |  | — |  | (3,864 | ) | — |  | (3,864 | ) | — |  | (3,864 | )
Hedged item commitments |  | — |  | 3,490 |  | — |  | 3,490 |  | (304 | ) | 3,186 |
Total |  | $ | 28,889 |  | $ | 85,404 |  | $ | — |  | $ | 114,293 |  | $ | (91,118 | ) | $ | 23,175 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | 30,144 |  | $ | 70,796 |  | $ | — |  | $ | 100,940 |  | $ | (95,064 | ) | $ | 5,876 |
Foreign currency contracts |  | — |  | 1,191 |  | — |  | 1,191 |  | (920 | ) | 271 |
Hedged item commitments |  | — |  | 988 |  | — |  | 988 |  | (304 | ) | 684 |
Earn-out |  | — |  | — |  | 5,007 |  | 5,007 |  | — |  | 5,007 |
Total |  | $ | 30,144 |  | $ | 72,975 |  | $ | 5,007 |  | $ | 108,126 |  | $ | (96,288 | ) | $ | 11,838 |
As of December 31, 2010 |  |  |  |  |  |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 32 |  | $ | — |  | $ | — |  | $ | 32 |  | $ | — |  | $ | 32 |
Commodity contracts |  | 753 |  | 14,139 |  | 123 |  | 15,015 |  | (7,000 | ) | 8,015 |
Foreign currency contracts |  | — |  | 461 |  | — |  | 461 |  | (277 | ) | 184 |
Hedged item inventories |  | — |  | 2,518 |  | — |  | 2,518 |  | — |  | 2,518 |
Hedged item commitments |  | — |  | 797 |  | — |  | 797 |  | (265 | ) | 532 |
Total |  | $ | 785 |  | $ | 17,915 |  | $ | 123 |  | $ | 18,823 |  | $ | (7,542 | ) | $ | 11,281 |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | 2,226 |  | $ | 14,926 |  | $ | 33 |  | $ | 17,185 |  | $ | (8,391 | ) | $ | 8,794 |
Foreign currency contracts |  | — |  | 574 |  | — |  | 574 |  | (277 | ) | 297 |
Hedged item inventories |  | — |  | 361 |  | — |  | 361 |  | (265 | ) | 96 |
Earn-out |  | — |  | — |  | 5,012 |  | 5,012 |  | — |  | 5,012 |
Total |  | $ | 2,226 |  | $ | 15,861 |  | $ | 5,045 |  | $ | 23,132 |  | $ | (8,933 | ) | $ | 14,199 |
Fair value of commodity contracts and hedged item commitments is derived using forward prices that take into account commodity prices, basis differentials, interest rates, credit risk ratings, option volatility and currency rates. Fair value of hedged item inventories is derived using spot commodity prices and basis differentials. Fair value of foreign currency forwards is derived using forward prices that take into account interest rates, credit risk ratings and currency rates. For our derivative contracts, we may enter into master netting, collateral and offset agreements with counterparties. These agreements provide us the ability to offset a counterparty’s rights and obligations, request additional collateral when necessary or liquidate the collateral in the event of counterparty default. We net fair value of cash collateral paid or received against fair value amounts recognized for net derivative positions executed with the same counterparty under the same master netting or offset agreement. There were no amounts recognized for the obligation to return or reclaim cash collateral that have been offset against fair value assets included within netting and collateral in the above table as of December 31, 2010. The amounts recognized for the obligation to return and reclaim cash collateral that have been offset against fair value assets and liabilities included within netting and collateral in the above table were $1.0 million and $6.1 million, respectively, as of September 30, 2011. The following table presents information about our assets and liabilities that are measured at fair value on a recurring basis that utilized Level 3 inputs for the periods presented (in thousands):
|  | Balance, Beginning of Period, Assets (Liabilities) |  | Realized and Unrealized Gains Included in Earnings |  | Settlements |  | Balance, End of Period |  | Change in Unrealized Gains Relating to Instruments Still Held at end of Period |
Three months ended September 30, 2011 |  |  |  |  |  |  |  |  |  |  |
Earn-out |  | $ | (5,156 | ) | $ | 149 |  | $ | — |  | $ | (5,007 | ) | $ | 149 |
Total |  | $ | (5,156 | ) | $ | 149 |  | $ | — |  | $ | (5,007 | ) | $ | 149 |
Three months ended September 30, 2010 |  |  |  |  |  |  |  |  |  |  |
Earn-out |  | $ | (6,225 | ) | $ | 252 |  | $ | — |  | $ | (5,973 | ) | $ | 252 |
Total |  | $ | (6,225 | ) | $ | 252 |  | $ | — |  | $ | (5,973 | ) | $ | 252 |
Nine months ended September 30, 2011 |  |  |  |  |  |  |  |  |  |  |
Commodity contracts, net |  | $ | 90 |  | $ | — |  | $ | (90 | ) | $ | — |  | $ | — |
Earn-out |  | (5,012 | ) | 5 |  | — |  | (5,007 | ) | 5 |
Total |  | $ | (4,922 | ) | $ | 5 |  | $ | (90 | ) | $ | (5,007 | ) | $ | 5 |
Nine months ended September 30, 2010 |  |  |  |  |  |  |  |  |  |  |
Commodity contracts, net |  | $ | (2 | ) | $ | — |  | $ | 2 |  | $ | — |  | $ | — |
Foreign currency contracts, net |  | (152 | ) | — |  | 152 |  | — |  | — |
Earn-out |  | (6,728 | ) | 755 |  | — |  | (5,973 | ) | 755 |
Total |  | $ | (6,882 | ) | $ | 755 |  | $ | 154 |  | $ | (5,973 | ) | $ | 755 |
Our policy is to recognize transfers between Level 1, 2 or 3 as of the beginning of the reporting period in which the event or change in circumstances caused the transfer to occur. There were no transfers between Level 1, 2 or 3 during the periods presented. In addition, there were no Level 3 purchases, sales or issuances for the periods presented. The unrealized gains on the Earn-out shown in the above table represent foreign currency gains recorded during the three and nine months ended September 30, 2011.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=6925170&loc=d3e19296-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Statement of Financial Accounting Standard (FAS) -Number 159 -Paragraph 17-22, 27, 28 -LegacyDoc This reference is SUPERSEDED by the Accounting Standards Codification effective for interim and annual periods ending after September 15, 2009. 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