Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2017

Fair value amounts by hierarchy level as of June 30, 2017 and December 31, 2016 are presented gross in the tables below (in thousands):



	June 30, 2017
	Level 1			Level 2			Level 3			Gross Fair Value			Effect of Counter-Party Netting			Net Carrying Value on Balance Sheet (1)
Assets
Commodity derivatives	$	421		$	1,061		$	—		$	1,482		$	(1,026	)	$	456
Interest rate derivatives	—			2,899			—			2,899			—			2,899
Total	$	421		$	3,960		$	—		$	4,381		$	(1,026	)	$	3,355

Liabilities
Common stock warrants	$	—		$	—		$	(6,370	)	$	(6,370	)	$	—		$	(6,370	)
Commodity derivatives	(45		)	(2,395		)	—			(2,440		)	1,026			(1,414		)
J. Aron repurchase obligation derivative	—			—			(954		)	(954		)	—			(954		)
Total	$	(45	)	$	(2,395	)	$	(7,324	)	$	(9,764	)	$	1,026		$	(8,738	)



	December 31, 2016
	Level 1			Level 2			Level 3			Gross Fair Value			Effect of Counter-Party Netting			Net Carrying Value on Balance Sheet (1)
Assets
Commodity derivatives	$	190		$	26,095		$	—		$	26,285		$	(23,537	)	$	2,748
Interest rate derivatives	—			3,602			—			3,602			(64		)	3,538
Total	$	190		$	29,697		$	—		$	29,887		$	(23,601	)	$	6,286

Liabilities
Common stock warrants	$	—		$	—		$	(5,134	)	$	(5,134	)	$	—		$	(5,134	)
Commodity derivatives	(54		)	(24,078		)	—			(24,132		)	23,537			(595		)
J. Aron repurchase obligation derivative	—			—			(20,000		)	(20,000		)	—			(20,000		)
Interest rate derivatives	—			(158		)	—			(158		)	64			(94		)
Total	$	(54	)	$	(24,236	)	$	(25,134	)	$	(49,424	)	$	23,601		$	(25,823	)

_________________________________________________________


(1)	Does not include cash collateral of $11.0 million and $9.7 million as of June 30, 2017 and December 31, 2016, respectively, included within Prepaid and other current assets and Other long-term assets on our condensed consolidated balance sheets.

Roll Forward of Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis

A roll forward of Level 3 financial instruments measured at fair value on a recurring basis is as follows (in thousands):



	Three Months Ended June 30,						Six Months Ended June 30,
	2017			2016			2017			2016
Balance, at beginning of period	$	(15,215	)	$	(39,938	)	$	(25,134	)	$	(25,867	)
Settlements	—			15,726			—			16,810
Total unrealized income (loss) included in earnings	7,891			15,648			17,810			493
Balance, at end of period	$	(7,324	)	$	(8,564	)	$	(7,324	)	$	(8,564	)

Carrying Value and Fair Value of Long-term Debt and Other Financial Instruments

The carrying value and fair value of long-term debt and other financial instruments as of June 30, 2017 and December 31, 2016 are as follows (in thousands):



	June 30, 2017
	Carrying Value		Fair Value (1)
Hawaii Retail Credit Agreement (2)	$	86,451	$	86,451
5.00% Convertible Senior Notes due 2021 (3)	93,200		140,315
J. Aron Forward Sale	29,512		29,476
Par Wyoming Holdings Term Loan (2)	66,062		66,062
Wyoming Refining Senior Secured Term Loan (2)	50,928		50,928
Wyoming Refining Senior Secured Revolver (2)	14,403		14,403
Common stock warrants	6,370		6,370



	December 31, 2016
	Carrying Value		Fair Value (1)
Hawaii Retail Credit Agreement (2)	$	93,853	$	93,853
5.00% Convertible Senior Notes due 2021 (3)	91,029		122,229
Term Loan	57,426		62,367
Par Wyoming Holdings Term Loan (2)	65,908		65,908
Wyoming Refining Senior Secured Term Loan (2)	55,480		55,480
Wyoming Refining Senior Secured Revolver (2)	6,700		6,700
Common stock warrants	5,134		5,134

_________________________________________________________


(1)	The fair values of these instruments are considered Level 3 measurements in the fair value hierarchy with the exception of the fair value measurement of the 5.00% Convertible Senior Notes which is considered a Level 2 measurement as discussed below.


(2)	Fair value approximates carrying value due to the debt’s floating rate interest which approximates current market value.


(3)	The carrying value of the 5.00% Convertible Senior Notes excludes the fair value of the equity component, which was classified as equity upon issuance.