HollyFrontier 2013 Annual Report Download - page 77

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69
The carrying amounts and estimated fair values of our investments in marketable securities, derivative instruments and senior
notes at December 31, 2013 and December 31, 2012 were as follows:
Fair Value by Input Level
Financial Instrument Carrying
Amount Fair Value Level 1 Level 2 Level 3
(In thousands)
December 31, 2013
Assets:
Marketable securities $ 725,160 $ 725,160 $ — $ 725,160 $ —
Commodity price swaps 43,284 43,284 — 36,312 6,972
HEP interest rate swaps 1,670 1,670 — 1,670 —
Total assets $ 770,114 $ 770,114 $ — $ 763,142 $ 6,972
Liabilities:
NYMEX futures contracts $ 3,569 $ 3,569 $ 3,569 $ — $ —
Commodity price swaps 83,349 83,349 — 41,059 42,290
HollyFrontier senior notes 155,054 161,250 — 161,250 —
HEP senior notes 444,630 471,750 — 471,750 —
HEP interest rate swaps 1,814 1,814 — 1,814 —
Total liabilities $ 688,416 $ 721,732 $ 3,569 $ 675,873 $ 42,290
December 31, 2012
Assets:
Marketable securities $ 635,702 $ 635,702 $ — $ 635,702 $ —
Commodity price swaps 17,383 17,383 — 6,151 11,232
Total assets $ 653,085 $ 653,085 $ — $ 641,853 $ 11,232
Liabilities:
NYMEX futures contracts $ 5,563 $ 5,563 $ 5,563 $ — $ —
Commodity price swaps 83,982 83,982 — 39,092 44,890
HollyFrontier senior notes 435,254 470,990 — 470,990 —
HEP senior notes 443,673 484,125 — 484,125 —
HEP interest rate swaps 3,430 3,430 — 3,430 —
Total liabilities $ 971,902 $ 1,048,090 $ 5,563 $ 997,637 $ 44,890
Level 1 Financial Instruments
Our NYMEX futures contracts are exchange traded and are measured and recorded at fair value using quoted market prices, a
Level 1 input.
Level 2 Financial Instruments
Investments in marketable securities and derivative instruments consisting of commodity price swaps and HEP's interest rate swaps
are measured and recorded at fair value using Level 2 inputs. The fair values of the commodity price and interest rate swap contracts
are based on the net present value of expected future cash flows related to both variable and fixed rate legs of the respective swap
agreements. The measurements are computed using market-based observable inputs, quoted forward commodity prices with respect
to our commodity price swaps and the forward London Interbank Offered Rate (“LIBOR”) yield curve with respect to HEP's
interest rate swaps. The fair value of the marketable securities and senior notes is based on values provided by a third party, which
were derived using market quotes for similar type instruments, a Level 2 input.
Table of Contents HOLLYFRONTIER CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
Continued