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Derivatives

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

Derivatives

Commodity Derivatives

    Our condensed consolidated balance sheets present derivative assets and liabilities on a net basis. Please read Note 11—Fair Value Measurements for the gross fair value and net carrying value of our derivative instruments. Our cash margin that is required as collateral deposits cannot be offset against the fair value of open contracts except in the event of default.

    Our open futures and over-the-counter (“OTC”) swaps at September 30, 2022, will settle by October 2023. At September 30, 2022, our open commodity derivative contracts represented (in thousands of barrels):

Contract type						Purchases						Sales						Net
Futures						36,086						(35,126)						960
Swaps						1,025						(1,025)						—
Total						37,111						(36,151)						960

At September 30, 2022, we also had option collars that economically hedge a portion of our internally consumed fuel at our refineries. The following table provides information on these option collars at our refineries as of September 30, 2022:

						2022						2023
Average barrels per month						85,000						40,000
Weighted-average strike price - floor (in dollars)						$	61.12					$	64.78
Weighted-average strike price - ceiling (in dollars)						$	86.55					$	102.96
Earliest commencement date						October 2022						January 2023
Furthest expiry date						December 2022						June 2023

Interest Rate Derivatives

    We are exposed to interest rate volatility in our ABL Revolver, Term Loan B Facility, Supply and Offtake Agreement, and Washington Refinery Intermediation Agreement. We may utilize interest rate swaps to manage our interest rate risk. In May 2019, we entered into an interest rate swap at an average fixed rate of 3.91% in exchange for the floating interest rate on the notional amounts due under the term loan agreement entered into by Par Pacific Hawaii Property Company, LLC, our wholly owned subsidiary, and Bank of Hawaii on March 29, 2019 (the “Retail Property Term Loan”). This swap was set to expire on April 1, 2024, the maturity date of the Retail Property Term Loan. On February 23, 2021, we terminated and repaid all amounts outstanding under the Retail Property Term Loan and the related interest rate swap. At September 30, 2022, and December 31, 2021, we did not hold any interest rate derivative instruments.

    The following table provides information on the fair value amounts (in thousands) of these derivatives as of September 30, 2022, and December 31, 2021, and their placement within our condensed consolidated balance sheets.

			Balance Sheet Location						September 30, 2022						December 31, 2021
									Asset (Liability)
Commodity derivatives (1)			Prepaid and other current assets						$	17,064					$	1,260
Commodity derivatives			Other accrued liabilities						(356)						(1,431)
J. Aron repurchase obligation derivative			Obligations under inventory financing agreements						13,660						(15,151)
MLC terminal obligation derivative			Obligations under inventory financing agreements						(326)						(22,170)

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(1)Does not include cash collateral of $23.3 million and $6.1 million recorded in Prepaid and other current assets as of September 30, 2022, and December 31, 2021, respectively, and $9.5 million in Other long-term assets as of both September 30, 2022, and December 31, 2021.

    The following table summarizes the pre-tax gains (losses) recognized in Net income (loss) on our condensed consolidated statements of operations resulting from changes in fair value of derivative instruments not designated as hedges charged directly to earnings (in thousands):

									Three Months Ended September 30,												Nine Months Ended September 30,
			Statement of Operations Location						2022						2021						2022						2021
Commodity derivatives			Cost of revenues (excluding depreciation)						$	20,728					$	(6,578)					$	(36,750)					$	(16,170)
J. Aron repurchase obligation derivative			Cost of revenues (excluding depreciation)						58,851						(3,470)						28,811						(8,787)
MLC terminal obligation derivative			Cost of revenues (excluding depreciation)						18,423						(11,171)						(71,769)						(66,772)
Interest rate derivatives			Interest expense and financing costs, net						—						—						—						104

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- References

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- Definition

The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-URI https://asc.fasb.org/topic&trid=2229140

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 815
-SubTopic 40
-Section 50
-Paragraph 5
-Subparagraph (f)
-URI https://asc.fasb.org/extlink&oid=126731327&loc=d3e90205-114008

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