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Note 3 - Fair Value of Financial Instruments
12 Months Ended
Dec. 31, 2015
Notes to Financial Statements  
Fair Value Disclosures [Text Block]
3
.            
FAIR VALUE OF FINANCIAL INSTRUMENTS
 
Fair value is defined as an exit price, representing the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants. Accordingly, fair value is a market-based measurement that is determined based on assumptions that market participants would use in pricing an asset or liability. The fair value of the hedge derivative liability was determined based on quotes from the counterparty which were verified by comparing them to the exchange on which the related futures are traded, adjusted for counterparty credit risk. The fair value of our interest rate swap agreement 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) derived from observable market interest rate curves. These analyses reflect the contractual terms of the swap, including the period to maturity, and use observable market-based inputs, including interest rate curves and implied volatilities. The fair value calculation also includes an amount for risk of non-performance of our counterparties using "significant unobservable inputs" such as estimates of current credit spreads to evaluate the likelihood of default, which we have determined to be insignificant to the overall fair value of our interest rate swap agreement.
A three-tier fair value hierarchy is used to prioritize the inputs in measuring fair value as follows:
 
Level 1. Observable inputs such as quoted prices in active markets;
Level 2. Inputs, other than the quoted prices in active markets, that are observable either directly or indirectly; and
Level 3. Unobservable inputs in which there is little or no market data, which require the reporting entity to develop its own assumptions.
 
Liabilities Measured at Fair Value on a Recurring Basis
(in thousands)
 
December 31,
 
Hedge derivative
liability
 
 
2015
(1)
 
 
2014
(1)
Fair Value of Derivative
  $ (28,434 )   $ (22,720 )
Quoted Prices in Active Markets (Level 1)
    -       -  
Significant Other Observable Inputs (Level 2)
  $ (28,434 )   $ (22,720 )
Significant Unobservable Inputs (Level 3)
    -       -  
 
 
(1)
No cash collateral was provided by the Company at December 31, 2015
. Excludes cash collateral of $5.0 million provided by the Company to the counterparty at December 31, 2014.