Fair Value Measurements (Notes)

3 Months Ended

Sep. 30, 2013

Fair Value Disclosures [Abstract]

Fair Value Measurements

Fair Value Measurements

The Company groups its assets and liabilities at fair value in three levels, based on the markets in which the assets and liabilities are traded and the reliability of the assumptions used to determine fair value. These levels are:

•Level 1—Valuation is based upon quoted prices for identical instruments traded in active markets.

•Level 2—Valuation is based upon quoted prices for similar instruments in active markets, quoted prices for identical or similar instruments in markets that are not active, and model-based valuation techniques for which all significant assumptions are observable in the market.

•Level 3—Valuation is generated from model-based techniques that use significant assumptions not observable in the market. These unobservable assumptions reflect estimates of assumptions that market participants would use in pricing the asset or liability. Valuation techniques include use of option pricing models, discounted cash flow models and similar techniques.

Assets and liabilities measured and recorded at fair value on a recurring basis were as follows (in thousands): 

September 30, 2013 (Unaudited)	Total		Level 1		Level 2		Level 3
Preferred stock(1)	$	20,425	$	15,744	$	4,681	$	—
Futures, options and other derivative assets	$	—	$	—	$	—	$	—
Derivatives designated as cash flow hedges:
Coffee-related derivative liabilities	$	9,405	$	9,405	$	—	$	—
Derivatives not designated as accounting hedges:
Coffee-related derivative liabilities	$	632	$	632	$	—	$	—
Derivative liabilities — interest rate swap	$	32	$	—	$	32	$	—
June 30, 2013	Total		Level 1		Level 2		Level 3
Preferred stock(1)	$	20,542	$	15,738	$	4,804	$	—
Futures, options and other derivative assets(1)	$	4	$	—	$	4	$	—
Derivatives designated as cash flow hedges:
Coffee-related derivative liabilities	$	10,460	$	10,460	$	—	$	—
Derivatives not designated as accounting hedges:
Coffee-related derivative liabilities	$	565	$	565	$	—	$	—
Derivative liabilities — interest rate swap	$	25	$	—	$	25	$	—

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(1) Included in "Short-term investments" on the consolidated balance sheets.

There were no significant transfers of securities between Level 1 and Level 2. 

Effective December 1, 2012, the Company entered into an interest rate swap transaction utilizing a notional amount of $10.0 million and a maturity date of March 1, 2015. The Company entered into the swap transaction to effectively fix the future interest rate during the applicable period on a portion of its borrowings under the revolving credit facility. The swap transaction is intended to manage the Company's interest rate risk related to its revolving credit facility and requires the Company to pay a fixed rate of 0.48% per annum in exchange for a variable interest rate based on 1-month USD LIBOR-BBA.

The Company values its interest rate swap using widely accepted valuation techniques, including discounted cash flow analysis on the expected cash flows of the interest rate swap. This analysis reflects the contractual terms of the interest rate swap, including the period to maturity, and uses observable market-based inputs, including interest rate curves and implied volatilities.

Valuation of the interest rate swap transaction is based on proprietary curves that take into account both Level 1 and Level 2 inputs. The fair value of the interest rate swap is determined using the market standard methodology of netting the discounted future fixed cash payments and the discounted expected variable cash receipts. The variable cash receipts are based on an expectation of future interest rates (forward curves). These forward curves are market-based, utilizing observable market data. Discount curves for present value purposes are constructed using rates representing estimated costs of funding swap positions for early terminations based on an appropriate observable discount rate.