Fair Value Measurement

3 Months Ended

Jun. 30, 2013

Fair Value Measurement

Fair Value Measurement

Note 16 — Fair Value Measurement

US GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The standards establish a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from independent sources (observable inputs) and (2) an entity’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). The fair value hierarchy consists of three broad levels, which gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1) and the lowest priority to unobservable inputs (Level 3). The three levels of the fair value hierarchy are described below:

·      Level 1—Quoted prices in active markets for identical assets and liabilities.

·      Level 2—Quoted prices in active markets for similar assets and liabilities, quoted prices for identical or similar instruments in markets that are not active, and model-derived valuations whose inputs are observable or whose significant value drivers are observable.

·      Level 3—Significant inputs to the valuation model are unobservable.

The following tables present information about financial instruments recognized at fair value as of June 30, 2013 and March 31, 2013 and indicate the fair value hierarchy:

	June 30, 2013								March 31, 2013
(in thousands)	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Liabilities:
Buffalo liability	$	—	$	—	$	9,200	$	9,200	$	—	$	—	$	—	$	—
Grandhaven option	—		—		4,060		4,060		—		—		4,060		4,060
Derivative warrant liability*	—		—		4,505		4,505		—		—		—		—
Total liabilities	$	—	$	—	$	17,765	$	17,765	$	—	$	—	$	4,060	$	4,060

* Measured on a recurring basis (at least annually).

The estimated fair values of the Company’s debt (all non-recurring) are as follows:

	Carrying Value		Fair Value
	(In thousands)
June 30, 2013 (Level 3)	$	127,532	$	94,203

The following table sets forth a summary of the qualitative information related to the unobservable inputs used in the calculation of the Company’s Level 3 financial liabilities for the three months ended June 30, 2013:

Description	Valuation Technique	Unobservable Inputs
Buffalo liability	Discounted cash flow	Discount rate, preferred stock redemption scenarios and warrant valuations
Grandhaven option	Discounted cash flow	Discount rate, future potash prices and mine life
Derivative warrant liability	Binomial-Lattice valuation model	Underlying price, exercise price, term, volatility and risk free interest rate
Indebtedness	Discounted cash flow	Discount rate

The following table sets forth a summary of changes in the fair value of the Company’s Level 3 financial liabilities for the three months ended June 30, 2013:

	Derivative Warrant Liability		Very Hungry Embedded Derivative
Balance at March 31, 2013	$	—	$	—
Mark-to-market adjustment	4,505		—
Extinguishment — debt (net of amortization)	—		—
New instrument — initial valuation	—		2,900
Extinguishment — embedded derivative	—		(2,900		)
Balance at June 30, 2013	$	4,505	$	—