Derivatives

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

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 March 31, 2021 will settle by October 2021. At March 31, 2021, our open commodity derivative contracts represented (in thousands of barrels):


Contract type	Purchases	Sales	Net
Futures	500	(250)	250
Swaps	2,525	(3,025)	(500)
Total	3,025	(3,275)	(250)

At March 31, 2021, we also had option collars of 25 thousand barrels of crude oil per month that economically hedge our internally consumed fuel at our Hawaii refineries. These option collars have a weighted-average strike price ranging from a floor of $36.50 per barrel to a ceiling of $60.00 per barrel and expire in December 2021.

Interest Rate Derivatives

We are exposed to interest rate volatility in our ABL Revolver, Term Loan B Facility, Supply and Offtake Agreements, and Washington Refinery Intermediation Agreement. We may utilize interest rate swaps to manage our interest rate risk. As of December 31, 2020, we had 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 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.

Our 5.00% Convertible Senior Notes include a redemption option and a related make-whole premium which represent an embedded derivative that is not clearly and closely related to the 5.00% Convertible Senior Notes. As such, we have accounted for this embedded derivative at fair value with changes in the fair value recorded in Interest expense and financing costs, net, on our condensed consolidated statements of operations. As of March 31, 2021, this embedded derivative was deemed to have a de minimis fair value.

The following table provides information on the fair value amounts (in thousands) of these derivatives as of March 31, 2021 and December 31, 2020 and their placement within our condensed consolidated balance sheets.


	Balance Sheet Location	March 31, 2021		December 31, 2020
		Asset (Liability)
Commodity derivatives (1)	Prepaid and other current assets	$	6,403	$	1,346


Commodity derivatives	Other accrued liabilities	(1,045)		—

J. Aron repurchase obligation derivative	Obligations under inventory financing agreements	(21,572)		(20,797)
MLC terminal obligation derivative	Obligations under inventory financing agreements	410		(10,161)



Interest rate derivatives	Other accrued liabilities	—		(966)
Interest rate derivatives	Other liabilities	—		(2,027)

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(1)Does not include cash collateral of $2.4 million and $1.5 million recorded in Prepaid and other current assets as of March 31, 2021 and December 31, 2020, respectively, and $9.5 million in Other long-term assets as of both March 31, 2021 and December 31, 2020.

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 March 31,
	Statement of Operations Location	2021		2020


Commodity derivatives	Cost of revenues (excluding depreciation)	$	631	$	(57,159)
J. Aron repurchase obligation derivative	Cost of revenues (excluding depreciation)	(775)		(46,645)
MLC terminal obligation derivative	Cost of revenues (excluding depreciation)	(24,372)		82,958
Interest rate derivatives	Interest expense and financing costs, net	104		(2,020)