| FAIR VALUE MEASUREMENTS |
FAIR VALUE MEASUREMENTS The tables below present information about the Company's financial assets and liabilities measured and recorded at fair value on a recurring basis and indicate the fair value hierarchy of the inputs utilized to determine the fair values as of September 30, 2016 and December 31, 2015. We have elected to offset the fair value amounts recognized for multiple derivative contracts executed with the same counterparty; however, fair value amounts by hierarchy level are presented on a gross basis in the tables below. We have posted cash margin with various counterparties to support hedging and trading activities. The cash margin posted is required by counterparties as collateral deposits and cannot be offset against the fair value of open contracts except in the event of default. We have no derivative contracts that are subject to master netting arrangements that are reflected gross on the balance sheet. | | | | | | | | | | | | | | | | | | | | | | | | | As of September 30, 2016 | | Fair Value Hierarchy | | Total Gross Fair Value | | Effect of Counter-party Netting | | Net Carrying Value on Balance Sheet | | Level 1 | | Level 2 | | Level 3 | | | Assets: | | | | | | | | | | | | Money market funds | $ | 307,508 |
| | $ | — |
| | $ | — |
| | $ | 307,508 |
| | N/A |
| | $ | 307,508 |
| Marketable securities | 59,991 |
| | — |
| | — |
| | 59,991 |
| | N/A |
| | 59,991 |
| Commodity contracts | 24,086 |
| | 10,440 |
| | 382 |
| | 34,908 |
| | (30,065 | ) | | 4,843 |
| Derivatives included with inventory intermediation agreement obligations | — |
| | 6,194 |
| | — |
| | 6,194 |
| | — |
| | 6,194 |
| Liabilities: | | | | | | | | | | | | Commodity contracts | 26,618 |
| | 3,447 |
| | — |
| | 30,065 |
| | (30,065 | ) | | — |
| Catalyst lease obligations | — |
| | 44,286 |
| | — |
| | 44,286 |
| | — |
| | 44,286 |
|
| | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2015 | | Fair Value Hierarchy | | Total Gross Fair Value | | Effect of Counter-party Netting | | Net Carrying Value on Balance Sheet | | Level 1 | | Level 2 | | Level 3 | | Assets: | | | | | | | | | | | | Money market funds | $ | 631,280 |
| | $ | — |
| | $ | — |
| | $ | 631,280 |
| | N/A |
| | $ | 631,280 |
| Marketable securities | 234,258 |
| | — |
| | — |
| | 234,258 |
| | N/A |
| | 234,258 |
| Commodity contracts | 63,810 |
| | 31,256 |
| | 3,543 |
| | 98,609 |
| | (52,482 | ) | | 46,127 |
| Derivatives included with inventory intermediation agreement obligations | — |
| | 35,511 |
| | — |
| | 35,511 |
| | — |
| | 35,511 |
| Derivatives included with inventory supply arrangement obligations | — |
| | — |
| | — |
| | — |
| | — |
| | — |
| Liabilities: | | | | | | | | | | | | Commodity contracts | 49,960 |
| | 2,522 |
| | — |
| | 52,482 |
| | (52,482 | ) | | — |
| Catalyst lease obligations | — |
| | 31,802 |
| | — |
| | 31,802 |
| | — |
| | 31,802 |
|
The valuation methods used to measure financial instruments at fair value are as follows: | | • | Money market funds categorized in Level 1 of the fair value hierarchy are measured at fair value based on quoted market prices and included within Cash and cash equivalents. |
| | • | Marketable securities, consisting primarily of US Treasury securities, categorized in Level 1 of the fair value hierarchy are measured at fair value based on quoted market prices. |
| | • | The commodity contracts categorized in Level 1 of the fair value hierarchy are measured at fair value based on quoted prices in an active market. The commodity contracts categorized in Level 2 of the fair value hierarchy are measured at fair value using a market approach based upon future commodity prices for similar instruments quoted in active markets. |
| | • | The commodity contracts categorized in Level 3 of the fair value hierarchy consist of commodity price swap contracts that relate to forecasted purchases of crude oil for which quoted forward market prices are not readily available due to market illiquidity. The forward prices used to value these swaps were derived using broker quotes, prices from other third party sources and other available market based data. |
| | • | The derivatives included with inventory supply arrangement obligations, derivatives included with inventory intermediation agreement obligations and the catalyst lease obligations are categorized in Level 2 of the fair value hierarchy and are measured at fair value using a market approach based upon commodity prices for similar instruments quoted in active markets. |
Non-qualified pension plan assets are measured at fair value using a market approach based on published net asset values of mutual funds as a practical expedient. As of September 30, 2016 and December 31, 2015, $9,773 and $9,325, respectively, were included within Deferred charges and other assets, net for these non-qualified pension plan assets.
The table below summarizes the changes in fair value measurements categorized in Level 3 of the fair value hierarchy: | | | | | | | | | | | | | | | | | | | | Three Months Ended
September 30, | | Nine Months Ended
September 30, | | | 2016 | | 2015 | | 2016 | | 2015 | Balance at beginning of period | | $ | 493 |
| | $ | 1,905 |
| | $ | 3,543 |
| | $ | 1,521 |
| Purchases | | — |
| | — |
| | — |
| | — |
| Settlements | | (90 | ) | | (1,238 | ) | | (1,093 | ) | | (12,549 | ) | Unrealized (loss) gain included in earnings | | (21 | ) | | (852 | ) | | (2,068 | ) | | 10,843 |
| Transfers into Level 3 | | — |
| | — |
| | — |
| | — |
| Transfers out of Level 3 | | — |
| | — |
| | — |
| | — |
| Balance at end of period | | $ | 382 |
| | $ | (185 | ) | | $ | 382 |
| | $ | (185 | ) |
There were no transfers between levels during the three and nine months ended September 30, 2016 and 2015, respectively. Fair value of debt The table below summarizes the fair value and carrying value of debt as of September 30, 2016 and December 31, 2015. | | | | | | | | | | | | | | | | | | September 30, 2016 | | December 31, 2015 | | Carrying value | | Fair value | | Carrying value | | Fair value | Senior Secured Notes due 2020 (a) | $ | 670,551 |
| | $ | 697,649 |
| | $ | 669,644 |
| | $ | 706,246 |
| Revolving Loan (b) | 550,000 |
| | 550,000 |
| | — |
| | — |
| Senior Secured Notes due 2023 (a) | 500,000 |
| | 475,031 |
| | 500,000 |
| | 492,452 |
| PBFX Senior Notes (a) | 350,000 |
| | 339,989 |
| | 350,000 |
| | 321,722 |
| PBFX Term Loan (b) | 59,664 |
| | 59,664 |
| | 234,200 |
| | 234,200 |
| PBFX Revolving Credit Facility (b) | 169,200 |
| | 169,200 |
| | 24,500 |
| | 24,500 |
| Rail Facility (b) | 56,035 |
| | 56,035 |
| | 67,491 |
| | 67,491 |
| Catalyst leases (c) | 44,286 |
| | 44,286 |
| | 31,802 |
| | 31,802 |
| | 2,399,736 |
| | 2,391,854 |
| | 1,877,637 |
| | 1,878,413 |
| Less - Current maturities | 59,664 |
| | 59,664 |
| | — |
| | — |
| Less - Unamortized deferred financing costs | 34,111 |
| | n/a |
| | 41,282 |
| | n/a |
| Long-term debt | $ | 2,305,961 |
| | $ | 2,332,190 |
| | $ | 1,836,355 |
| | $ | 1,878,413 |
|
(a) The estimated fair value, categorized as a Level 2 measurement, was calculated based on the present value of future expected payments utilizing implied current market interest rates based on quoted prices of the Senior Secured Notes and the PBFX Senior Notes. (b) The estimated fair value approximates carrying value, categorized as a Level 2 measurement, as these borrowings bear interest based upon short-term floating market interest rates. (c) Catalyst leases are valued using a market approach based upon commodity prices for similar instruments quoted in active markets and are categorized as a Level 2 measurement. The Company has elected the fair value option for accounting for its catalyst lease repurchase obligations as the Company's liability is directly impacted by the change in fair value of the underlying catalyst. |