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Derivatives | 3 Months Ended
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Mar. 31, 2024
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 13—Fair Value Measurements for the gross fair value and net carrying value of our derivative instruments. Our open futures and over-the-counter (“OTC”) swaps expire in March 2025. At March 31, 2024, our open commodity derivative contracts represented (in thousands of barrels):
Contract Type |  | Purchases |  | Sales |  | Net
Futures |  | 20,430 |  |  | (21,630) |  |  | (1,200) |
Swaps |  | 23,726 |  |  | (29,940) |  |  | (6,214) |
Total |  | 44,156 |  |  | (51,570) |  |  | (7,414) |
At March 31, 2024, 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 March 31, 2024:
Total open option collars |  | 1,175 |  |
Weighted-average strike price - floor (in dollars) |  | $61.59 |  |
Weighted-average strike price - ceiling (in dollars) |  | $82.65 |  |
Earliest commencement date |  | April 2024 |  |
Furthest expiry date |  | December 2024 |  |
Interest Rate Derivatives We are exposed to interest rate volatility in our ABL Credit Facility, LC Facility, Term Loan Credit Agreement, and the Supply and Offtake Agreement. We may utilize interest rate swaps to manage our interest rate risk. On April 12, 2023, we entered into an interest rate collar transaction to manage our interest rate risk related to the Term Loan Credit Agreement. The interest rate collar agreement reduces variable interest rate risk from May 31, 2023, through May 31, 2026, with a notional amount of $300.0 million as of March 31, 2024. The terms of the agreement provide for an interest rate cap of 5.50% and floor of 2.30%, based on the three month SOFR as of the fixing date. We pay variable interest quarterly until the three month SOFR reaches the floor. If the three month SOFR is between the floor and the cap, no payment is due to either party. If the three month SOFR is greater than the cap, the counterparty pays us. The interest rate collar transaction expires on May 31, 2026. The following table provides information on the fair value amounts (in thousands) of these derivatives as of March 31, 2024 and December 31, 2023, and their placement within our condensed consolidated balance sheets.
| Balance Sheet Location |  | March 31, 2024 |  | December 31, 2023
|  |  | Asset (Liability)
Commodity derivatives (1) | Prepaid and other current assets |  | $ | 16,048 |  |  | $ | 43,356 |
Commodity derivatives (2) | Other accrued liabilities |  | (22,015) |  |  | (530) |
J. Aron repurchase obligation derivative | Obligations under inventory financing agreements |  | (22,208) |  |  | (392) |
Interest rate derivatives | Other long-term assets |  | 23 |  |  | — |
Interest rate derivatives | Other liabilities |  | — |  |  | (821) |
_________________________________________________________ (1)Does not include cash collateral of $5.9 million and $21.8 million recorded in Prepaid and other current assets as of March 31, 2024 and December 31, 2023, respectively, and $9.5 million in Other long-term assets as of both March 31, 2024 and December 31, 2023. Does not include $0.2 million recorded in Prepaid and other current assets as of March 31, 2024, related to realized derivatives receivable. (2)Does not include $0.6 million and $27.2 million recorded in Other accrued liabilities as of March 31, 2024 and December 31, 2023, respectively, related to realized derivatives payable. 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 |  | 2024 |  | 2023 |  |  |  |
Commodity derivatives | Cost of revenues (excluding depreciation) |  | $ | (27,360) |  |  | $ | (624) |  |  |  |  |
J. Aron repurchase obligation derivative | Cost of revenues (excluding depreciation) |  | (21,816) |  |  | 13,380 |  |  |  |  |
MLC terminal obligation derivative | Cost of revenues (excluding depreciation) |  | — |  |  | (17,023) |  |  |  |  |
Interest rate derivatives | Interest expense and financing costs, net |  | 844 |  |  | — |  |  |  |  |

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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://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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