Fair Value Measurements

6 Months Ended

Jun. 30, 2016

(6) Fair Value Measurements

The Company’s short-term financial instruments include cash and cash equivalents, accounts receivable and accounts payable. The carrying amounts reported on the consolidated balance sheets for these items approximate fair market value due to their relative short-term nature.

The table below sets forth by level, within the fair value hierarchy, the fair value of the Company's derivative financial instruments that are measured on a recurring basis. The Company estimates the fair value of its derivative instruments using present value measurements based on the spot rate, forward option spreads and other relevant market conditions.



		June 30, 2016
		Level 1		Level 2		Level 3
Derivatives Designated	Balance Sheet Classification
Cross-currency swaps	Current derivative assets	$	—	$	—	$	—
Cross-currency swap	Other current liabilities	—		—		—
Foreign currency forward contract	Other current liabilities	—		127		—



		December 31, 2015
		Level 1		Level 2		Level 3
Derivatives Designated	Balance Sheet Classification
Cross-currency swaps	Non-current derivative assets	$	—	$	47,519	$	—
Cross-currency swap	Other non-current liabilities	—		208		—
Foreign currency forward contract	Other current liabilities	—		—		—

The carrying amounts and estimated fair values of the Company’s outstanding debt at June 30, 2016 were as follows:



	Carrying amount		Estimated fair value
Revolving Loan Facility	$	53,005	$	53,005
Term Loan due 2017	298,413		297,856
9.00% Senior Notes due 2017	56,000		55,300
9.50% Senior Notes due 2017	425,170		420,750

As the Revolving Loan Facility is a revolving credit agreement, the carrying amount approximates fair value. The estimated fair value of the Term Loan due 2017 is based on rates currently available for obligations with similar terms and maturities (Level 2 inputs). The estimated fair value of the 9.00% Senior Notes is based on a model that incorporates assumptions a market participant would use in pricing the liability (Level 3 inputs) and the estimated fair value of the 9.50% Senior Notes is based on current market rates in inactive markets (Level 2 inputs).

- 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 + Details

WireCo WorldGroup Inc. 10-Q