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Derivatives (Tables) | 3 Months Ended
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Mar. 31, 2016
Derivatives |
Schedule of fair value positions of derivative instruments | As of March 31, 2016, our derivative instruments, at their respective fair value positions were as follows (in millions, except weighted average fixed price and weighted average mark-to-market amount):
|  |  |  |  |  |  |  |  |  |  |  |  | Weighted |  |  |
|  |  |  |  |  |  |  |  |  |  |  |  | Average |  |  |
|  |  |  |  |  |  |  |  |  | Weighted |  | Mark-to- |  |  |
|  | Settlement |  |  |  |  |  |  |  | Average |  | Market |  | Fair Value
Derivative Classification |  | Period |  | Derivative Instrument |  | Notional |  | Unit |  | Fixed Price |  | Amount |  | Amount
Fair Value Hedge |  | 2016 |  | Commodity contracts for inventory hedging |  | 2.5 |  | BBL |  | $ | 49.507 |  | $ | (0.135) |  | $ | (0.3)
|  | 2017 |  | Commodity contracts for inventory hedging |  | 0.1 |  | BBL |  |  | 51.789 |  |  | 4.716 |  |  | 0.2
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (0.1)
Cash Flow Hedge |  | 2016 |  | Commodity contracts for inventory hedging |  | 24.0 |  | BBL |  | $ | 47.404 |  | $ | 0.241 |  | $ | 5.8
|  | 2017 |  | Commodity contracts for inventory hedging |  | 1.5 |  | BBL |  |  | 58.575 |  |  | 2.274 |  |  | 3.4
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 9.2
Non-Designated |  | 2016 |  | Commodity contracts (long) |  | 56.0 |  | BBL |  | $ | 36.915 |  | $ | (9.793) |  | $ | (548.5)
|  | 2016 |  | Commodity contracts (short) |  | 53.3 |  | BBL |  |  | 38.926 |  |  | 10.374 |  |  | 552.5
|  | 2017 |  | Commodity contracts (long) |  | 8.6 |  | BBL |  |  | 22.835 |  |  | (0.239) |  |  | (2.1)
|  | 2017 |  | Commodity contracts (short) |  | 5.9 |  | BBL |  |  | 29.761 |  |  | 0.870 |  |  | 5.2
|  | 2018 |  | Commodity contracts (long) |  | 2.2 |  | BBL |  |  | 12.593 |  |  | 2.186 |  |  | 4.8
|  | 2018 |  | Commodity contracts (short) |  | 1.5 |  | BBL |  |  | 12.253 |  |  | (1.647) |  |  | (2.5)
|  | 2019 |  | Commodity contracts (long) |  | 0.1 |  | BBL |  |  | 20.912 |  |  | 0.210 |  |  | —
|  | 2019 |  | Commodity contracts (short) |  | 0.1 |  | BBL |  |  | 49.907 |  |  | 10.084 |  |  | 0.1
|  | 2020 |  | Commodity contracts (long) |  | 0.1 |  | BBL |  |  | 21.620 |  |  | (1.970) |  |  | (0.1)
|  | 2020 |  | Commodity contracts (short) |  | 0.1 |  | BBL |  |  | 37.674 |  |  | 7.626 |  |  | 0.8
|  | 2021 |  | Commodity contracts (long) |  | — |  | BBL |  |  | 20.792 |  |  | 0.136 |  |  | —
|  | 2016 |  | Foreign currency contracts |  | 10.7 |  | AUD |  |  | 0.714 |  |  | (0.044) |  |  | (0.5)
|  | 2016 |  | Foreign currency contracts |  | 65.5 |  | CAD |  |  | 1.372 |  |  | (0.046) |  |  | (3.0)
|  | 2016 |  | Foreign currency contracts |  | 0.3 |  | CHF |  |  | 1.005 |  |  | (0.046) |  |  | —
|  | 2016 |  | Foreign currency contracts |  | 3,869.5 |  | CLP |  |  | 699.730 |  |  | (0.000) |  |  | (0.1)
|  | 2016 |  | Foreign currency contracts |  | 71,005.7 |  | COP |  |  | 3,293.082 |  |  | (0.000) |  |  | —
|  | 2016 |  | Foreign currency contracts |  | 44.2 |  | DKK |  |  | 6.804 |  |  | (0.002) |  |  | (0.1)
|  | 2016 |  | Foreign currency contracts |  | 42.4 |  | EUR |  |  | 1.097 |  |  | (0.039) |  |  | (1.7)
|  | 2016 |  | Foreign currency contracts |  | 102.1 |  | GBP |  |  | 1.464 |  |  | 0.033 |  |  | 3.3
|  | 2016 |  | Foreign currency contracts |  | 94.7 |  | INR |  |  | 68.082 |  |  | (0.000) |  |  | —
|  | 2016 |  | Foreign currency contracts |  | 870.1 |  | JPY |  |  | 115.852 |  |  | (0.000) |  |  | (0.1)
|  | 2016 |  | Foreign currency contracts |  | 1,785.8 |  | MXN |  |  | 18.104 |  |  | 0.000 |  |  | 0.3
|  | 2016 |  | Foreign currency contracts |  | 72.6 |  | NOK |  |  | 8.712 |  |  | (0.005) |  |  | (0.4)
|  | 2016 |  | Foreign currency contracts |  | 6.7 |  | PLN |  |  | 4.002 |  |  | (0.005) |  |  | —
|  | 2016 |  | Foreign currency contracts |  | 81.3 |  | RON |  |  | 4.128 |  |  | (0.005) |  |  | (0.4)
|  | 2016 |  | Foreign currency contracts |  | 35.5 |  | SEK |  |  | 8.569 |  |  | 0.007 |  |  | 0.2
|  | 2016 |  | Foreign currency contracts |  | 28.3 |  | SGD |  |  | 1.407 |  |  | (0.014) |  |  | (0.4)
|  | 2016 |  | Foreign currency contracts |  | 26.6 |  | ZAR |  |  | 16.080 |  |  | (0.004) |  |  | (0.1)
|  | 2017 |  | Foreign currency contracts |  | 1.8 |  | EUR |  |  | 1.083 |  |  | (0.070) |  |  | (0.1)
|  | 2017 |  | Foreign currency contracts |  | 9.3 |  | GBP |  |  | 1.527 |  |  | 0.088 |  |  | 0.8
|  | 2018 |  | Foreign currency contracts |  | 1.7 |  | EUR |  |  | 1.105 |  |  | (0.057) |  |  | (0.1)
|  | 2018 |  | Foreign currency contracts |  | 0.2 |  | GBP |  |  | 1.403 |  |  | (0.034) |  |  | —
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $ | 7.8
Schedule of derivative instruments measured at fair value and their locations on the consolidated balance sheets | The following table presents information about our derivative instruments measured at fair value and their locations on the consolidated balance sheets (in millions):
|  |  |  | As of
|  | Balance Sheet Location |  | March 31, 2016 |  | December 31, 2015
Derivative assets: |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |
Commodity contracts |  | Short-term derivative assets, net |  | $ | 84.2 |  | $ | 114.0
Commodity contracts |  | Identifiable intangible and other non-current assets |  |  | — |  |  | 7.4
Commodity contracts |  | Accrued expenses and other current liabilities |  |  | 0.9 |  |  | 6.3
|  |  |  |  | 85.2 |  |  | 127.7
Derivatives not designated as hedging instruments |  |  |  |  |  |
Commodity contracts |  | Short-term derivative assets, net |  |  | 167.6 |  |  | 241.4
Commodity contracts |  | Identifiable intangible and other non-current assets |  |  | 16.8 |  |  | 17.0
Commodity contracts |  | Accrued expenses and other current liabilities |  |  | 136.2 |  |  | 120.4
Commodity contracts |  | Other long-term liabilities |  |  | 12.0 |  |  | 4.0
Foreign currency contracts |  | Short-term derivative assets, net |  |  | 4.5 |  |  | 10.9
Foreign currency contracts |  | Identifiable intangible and other non-current assets |  |  | 0.4 |  |  | 0.7
Foreign currency contracts |  | Accrued expenses and other current liabilities |  |  | 4.9 |  |  | 0.8
Foreign currency contracts |  | Other long-term liabilities |  |  | 0.2 |  |  | —
|  |  |  |  | 342.7 |  |  | 395.2
|  |  |  | $ | 427.8 |  | $ | 522.9
Derivative liabilities: |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |
Commodity contracts |  | Short-term derivative assets, net |  | $ | 74.7 |  | $ | 95.3
Commodity contracts |  | Accrued expenses and other current liabilities |  |  | 1.4 |  |  | 2.9
|  |  |  |  | 76.1 |  |  | 98.2
Derivatives not designated as hedging instruments |  |  |  |  |  |
Commodity contracts |  | Short-term derivative assets, net |  |  | 31.5 |  |  | 26.6
Commodity contracts |  | Identifiable intangible and other non-current assets |  |  | 4.2 |  |  | 4.8
Commodity contracts |  | Accrued expenses and other current liabilities |  |  | 268.2 |  |  | 319.9
Commodity contracts |  | Other long-term liabilities |  |  | 18.5 |  |  | 14.2
Foreign currency contracts |  | Short-term derivative assets, net |  |  | 3.4 |  |  | 3.3
Foreign currency contracts |  | Identifiable intangible and other non-current assets |  |  | 0.1 |  |  | —
Foreign currency contracts |  | Accrued expenses and other current liabilities |  |  | 8.8 |  |  | 1.7
Foreign currency contracts |  | Other long-term liabilities |  |  | 0.1 |  |  | —
|  |  |  |  | 334.8 |  |  | 370.5
|  |  |  | $ | 410.9 |  | $ | 468.7
Impact of derivatives designated as fair value hedges on the consolidated statements of income and comprehensive income | The following table presents the effect and financial statement location of our derivative instruments and related hedged items in hedging relationships on our consolidated statements of income and comprehensive income (in millions):
|  |  |  | Realized and Unrealized |  |  |  |  |  | Realized and Unrealized
Derivative Instruments |  | Location |  | Gain |  | Hedged Items |  | Location |  | Loss
|  |  |  | 2016 |  | 2015 |  |  |  |  |  | 2016 |  | 2015
Three months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | Revenue |  | $ | 88.0 |  | $ | — |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | Cost of revenue |  |  | (81.9) |  |  | 4.0 |  | Inventories |  | Cost of revenue |  | $ | (3.2) |  | $ | (0.5)
|  |  |  | $ | 6.1 |  | $ | 4.0 |  |  |  |  |  | $ | (3.2) |  | $ | (0.5)
Impact of derivatives designated as hedges on the accumulated other comprehensive income and consolidated statements of income and comprehensive income | The following table presents the effect and financial statement location of our derivative instruments in cash flow hedging relationships on our accumulated other comprehensive income and consolidated statements of income and comprehensive income (in millions):
|  |  | Amount of Gain (Loss) Recognized in Accumulated Other Comprehensive Income (Effective Portion) |  | Location of Realized Gain (Loss) (Effective Portion) |  | Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income (Effective Portion) |  |  | Amount of Gain (Loss) Recognized in Income (Ineffective Portion)
Derivative Instruments |  |  | 2016 |  |  | 2015 |  |  |  | 2016 |  |  | 2015 |  |  | 2016 |  |  | 2015
Three Months ended March 31, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | (46.5) |  | $ | — |  | Revenue |  | $ | (53.8) |  | $ | — |  | $ | (0.1) |  | $ | —
Commodity contracts |  |  | 44.2 |  |  | — |  | Cost of Revenue |  |  | 54.3 |  |  | — |  |  | 2.9 |  |  | —
Total |  | $ | (2.2) |  | $ | — |  |  |  | $ | 0.5 |  | $ | — |  | $ | 2.8 |  | $ | —
Impact of derivatives not designated as hedges on the consolidated statements of income and comprehensive income | During the three months ended March 31, 2016, we recorded a loss of $0.1 million in revenue and income of $2.9 million in cost of revenue, related to hedge ineffectiveness. In the event forecasted sales and purchases are less than the hedged amounts, a portion or all of the gain or losses recorded in accumulated other comprehensive income are reclassified to the consolidated statements of income and comprehensive income. The following table presents the effect and financial statement location of our derivative instruments not designated as hedging instruments on our consolidated statements of income and comprehensive income (in millions):
|  |  |  | Realized and Unrealized
Derivatives |  | Location |  | Gain (Loss)
|  |  |  | 2016 |  | 2015
Three months ended March 31, |  |  |  |  |  |  |  |
Commodity contracts |  | Revenue |  | $ | 38.9 |  | $ | 20.6
Commodity contracts |  | Cost of revenue |  |  | (47.5) |  |  | (11.7)
Foreign currency contracts |  | Revenue |  |  | 1.9 |  |  | 3.9
Foreign currency contracts |  | Other income, net |  |  | (5.2) |  |  | 9.2
|  |  |  | $ | (11.9) |  | $ | 22.0
Schedule of net liability and collateral position for derivative contracts | T he following table presents the net liability position for such contract s, the collateral posted and amount of assets required to be posted and/or to settle the positions should a credit-risk contingent feature be triggered (in millions):
| Net Liability Position |  | Collateral |  |  | Contingent
| Subject to Collateral Requirements |  | Posted |  |  | Additional Collateral
As of March 31, 2016 |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | 50.0 |  | $ | (11.3) |  | $ | 38.7
As of December 31, 2015 |  |  |  |  |  |  |  |  |
Commodity contracts |  | $ | 63.2 |  | $ | (28.1) |  | $ | 35.0

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- Definition Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 5 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41641-113959 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4B -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624163-113959 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 8 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41678-113959 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41638-113959 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1B -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5580258-113959 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1A -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5579245-113959 Reference 7: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4C -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5624171-113959 Reference 8: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 25 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=6886632&loc=d3e76258-113986 Reference 9: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 1 -URI http://asc.fasb.org/extlink&oid=56946850&loc=SL5579240-113959 Reference 10: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=56946850&loc=d3e41620-113959 Reference 11: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(n)(2)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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