Derivatives

3 Months Ended

Mar. 31, 2024

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 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)

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(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		—