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

FASB ASC 820 defines fair value as the price that would be received to sell an asset or paid to transfer a liability in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. FASB ASC 820 establishes a fair value hierarchy that prioritizes the inputs used in measuring fair value into three broad levels as follows:

•
Level 1 — Quoted prices in active markets for identical assets or liabilities.
•
Level 2 — Inputs, other than the quoted prices in active markets, that are observable either directly or indirectly.
•
Level 3 — Unobservable inputs based on our own assumptions.

 
Fair Value at
 
Fair Value at
Asset / (Liability)
(dollars in thousands)
September 30, 2016
 
December 31, 2015
Level 1
 
Level 2
 
Level 3
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Total
Commodity futures natural gas contracts
$
—

 
$
103

 
$
—

 
$
103

 
$
—

 
$
(2,202
)
 
$
—

 
$
(2,202
)
Currency contracts
—

 
(36
)
 
—

 
(36
)
 
—

 
245

 
—

 
245

Interest rate swap
—

 
(5,416
)
 
—

 
(5,416
)
 
—

 
(2,378
)
 
—

 
(2,378
)
Net derivative asset (liability)
$
—

 
$
(5,349
)
 
$
—

 
$
(5,349
)
 
$
—

 
$
(4,335
)
 
$
—

 
$
(4,335
)


The fair values of our commodity futures natural gas contracts and currency contracts are determined using observable market inputs. The fair value of our interest rate swap is based on the market standard methodology of netting the discounted expected future variable cash receipts and the discounted future fixed cash payments. The variable cash receipts are based on an expectation of future interest rates derived from observed market interest rate forward curves. Since these inputs are observable in active markets over the terms that the instruments are held, the derivatives are classified as Level 2 in the hierarchy. We also evaluate Company and counterparty risk in determining fair values. The commodity futures natural gas contracts, interest rate swap and currency contracts are hedges of either recorded assets or liabilities or anticipated transactions. Changes in values of the underlying hedged assets and liabilities or anticipated transactions are not reflected in the above table.

The total derivative position is recorded on the Condensed Consolidated Balance Sheets as follows:
Asset / (Liability)
(dollars in thousands)
 
September 30, 2016
 
December 31, 2015
Prepaid and other current assets
 
$
135

 
$
245

Derivative liability
 
(2,293
)
 
(4,265
)
Other long-term liabilities
 
(3,191
)
 
(315
)
Net derivative asset (liability)
 
$
(5,349
)
 
$
(4,335
)


Financial instruments carried at cost on the Condensed Consolidated Balance Sheets, as well as the related fair values, are as follows:
 
 
 
 
September 30, 2016
 
December 31, 2015
(dollars in thousands)
 
Fair Value
Hierarchy Level
 
Carrying Amount
 
Fair Value
 
Carrying Amount
 
Fair Value
Term Loan B
 
Level 2
 
$
415,100

 
$
416,138

 
$
433,400

 
$
425,815



The fair value of our Term Loan B has been calculated based on quoted market prices for the same or similar issues. The fair value of our other immaterial debt approximates carrying value at September 30, 2016 and December 31, 2015. The fair value of our cash and cash equivalents, accounts receivable and accounts payable approximate their carrying value due to their short term nature.