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Derivative Instruments | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments The following describes our derivative classifications: Fair Value Hedges. Includes derivative contracts we hold to hedge the risk of changes in the price of our inventory. Cash Flow Hedges. Includes derivative contracts we execute to mitigate the risk of price and interest rate volatility in forecasted transactions. Non-designated Derivatives. Includes derivatives we primarily transact to mitigate the risk of market price fluctuations in swaps or futures contracts, as well as certain forward fixed price purchase and sale contracts to hedge the risk of currency rate fluctuations and for portfolio optimization. In March 2020, we entered into a $300 million, one-month LIBOR, floating-for-fixed non-amortizing interest rate swap contract ("IR Swap") with a maturity date in March 2025. The IR Swap was designated as a cash flow hedge to mitigate potential adverse changes in interest rates related to certain variable rate debt obligations. Changes in the IR Swap's fair value recorded periodically in Accumulated other comprehensive income, are subsequently reclassified to our Consolidated Statements of Income and Comprehensive Income within Interest expense and other financing costs, net when the underlying hedged variable rate interest payments are accrued. The following table presents the gross fair value of our derivative instruments and their locations on the Consolidated Balance Sheets (in millions):
|  |  | Gross Derivative Assets |  | Gross Derivative Liabilities
|  |  | As of |  | As of
|  |  | September 30, |  | December 31, |  | September 30, |  | December 31,
|  |  | 2020 |  | 2019 |  | 2020 |  | 2019
Derivative Instruments | Consolidated Balance Sheets location |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments |  |  |  |  |  |  |  |
Commodity contracts | Short-term derivative assets, net |  | $ | 142.2 |  |  | $ | — |  |  | $ | 111.9 |  |  | $ | — |
| Identifiable intangible and other non-current assets |  | — |  |  | — |  |  | — |  |  | — |
| Accrued expenses and other current liabilities |  | — |  |  | 1.7 |  |  | — |  |  | 20.0 |
| Other long-term liabilities |  | 0.2 |  |  | — |  |  | 0.5 |  |  | — |
|  |  | 142.4 |  |  | 1.7 |  |  | 112.4 |  |  | 20.0 |
Interest rate contracts | Short-term derivative assets, net |  | — |  |  | — |  |  | — |  |  | — |
| Identifiable intangible and other non-current assets |  | — |  |  | — |  |  | — |  |  | — |
| Accrued expenses and other current liabilities |  | — |  |  | — |  |  | 1.2 |  |  | — |
| Other long-term liabilities |  | — |  |  | — |  |  | 3.5 |  |  | — |
Total derivatives designated as hedging instruments |  | 142.4 |  |  | 1.7 |  |  | 117.1 |  |  | 20.0 |
Derivatives not designated as hedging instruments |  |  |  |  |  |  |  |
Commodity contracts | Short-term derivative assets, net |  | 236.3 |  |  | 65.7 |  |  | 164.0 |  |  | 7.2 |
| Identifiable intangible and other non-current assets |  | 32.1 |  |  | 23.0 |  |  | 9.3 |  |  | 4.8 |
| Accrued expenses and other current liabilities |  | 10.3 |  |  | 161.0 |  |  | 63.6 |  |  | 203.4 |
| Other long-term liabilities |  | 22.7 |  |  | 7.7 |  |  | 36.2 |  |  | 19.7 |
|  |  | 301.4 |  |  | 257.3 |  |  | 273.1 |  |  | 235.0 |
Foreign currency contracts | Short-term derivative assets, net |  | — |  |  | 1.2 |  |  | — |  |  | 0.2 |
| Identifiable intangible and other non-current assets |  | — |  |  | — |  |  | — |  |  | — |
| Accrued expenses and other current liabilities |  | 1.6 |  |  | 0.9 |  |  | 10.3 |  |  | 11.4 |
| Other long-term liabilities |  | — |  |  | — |  |  | 0.1 |  |  | — |
|  |  | 1.6 |  |  | 2.0 |  |  | 10.4 |  |  | 11.6 |
Total derivatives not designated as hedging instruments |  | 303.1 |  |  | 259.4 |  |  | 283.6 |  |  | 246.6 |
Total derivatives |  |  | $ | 445.5 |  |  | $ | 261.1 |  |  | $ | 400.7 |  |  | $ | 266.6 |
For information regarding our derivative instruments measured at fair value after netting and collateral, see Note 7. Fair Value Measurements. The following table summarizes the gross notional values of our commodity and foreign currency exchange derivative contracts used for risk management purposes that were outstanding as of September 30, 2020 (in millions):
|  | As of September 30,
Derivative Instruments |  | Units |  | 2020
Commodity contracts |  |  |  |
Long |  | BBL |  | 61.4 |
Short |  | BBL |  | (47.1) |
Foreign currency exchange contracts |  |  |  |
Sell U.S. dollar, buy other currencies |  | USD |  | (98.1) |
Buy U.S. dollar, sell other currencies |  | USD |  | 401.6 |
As of September 30, 2020, and December 31, 2019, the following amounts were recorded on our Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges (in millions):
Line item in the Consolidated Balance Sheets in which the hedged item is included |  | Carrying Amount of Hedged Assets/(Liabilities) |  | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Asset/(Liabilities)
|  | As of |  | As of
|  | September 30, 2020 |  | December 31, 2019 |  | September 30, 2020 |  | December 31, 2019
Inventory |  | $ | 31.2 |  |  | $ | 30.7 |  |  | $ | 0.7 |  |  | $ | 2.3 |
The following table presents the effect of fair value and cash flow hedges on income and expense line items in our Consolidated Statements of Income and Comprehensive Income (in millions):
|  |  | Location and Amount of Gain and (Loss) Recognized in Income on Fair Value and Cash Flow Hedging Relationships
|  |  | For the Three Months Ended
|  |  | September 30, 2020 |  | September 30, 2019
|  | Revenue |  | Cost of Revenue |  | Interest expense and other financing costs, net |  | Revenue |  | Cost of Revenue |  | Interest expense and other financing costs, net
Total amounts of income and expense line items in which the effects of fair value or cash flow hedged are recorded |  | $ | 4,482.7 |  |  | $ | 4,268.7 |  |  | $ | 9.4 |  |  | $ | 9,322.7 |  |  | $ | 9,017.0 |  |  | $ | 21.2 |
Gains or Loss on fair value hedge relationships: |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Hedged Item |  | — |  |  | (1.2) |  |  | — |  |  | — |  |  | (0.5) |  |  | — |
| Derivatives designated as hedging instruments |  | — |  |  | 1.5 |  |  | — |  |  | — |  |  | 1.3 |  |  | — |
Gains or Loss on cash flow hedge relationships: |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Amount of Gain (Loss) Reclassified from AOCI into Income |  | (2.8) |  |  | (65.0) |  |  | — |  |  | (0.2) |  |  | 13.7 |  |  | — |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Amount of Gain (Loss) Reclassified from AOCI into Income |  | — |  |  | — |  |  | (0.2) |  |  | — |  |  | — |  |  | — |
Total amount of income and expense line items excluding the impact of hedges |  | $ | 4,485.5 |  |  | $ | 4,204.1 |  |  | $ | 9.2 |  |  | $ | 9,322.9 |  |  | $ | 9,031.5 |  |  | $ | 21.2 |
|  |  | Location and Amount of Gain and (Loss) Recognized in Income on Fair Value and Cash Flow Hedging Relationships
|  |  | For the Nine Months Ended
|  |  | September 30, 2020 |  | September 30, 2019
|  | Revenue |  | Cost of Revenue |  | Interest expense and other financing costs, net |  | Revenue |  | Cost of Revenue |  | Interest expense and other financing costs, net
Total amounts of income and expense line items in which the effects of fair value or cash flow hedged are recorded |  | $ | 15,656.2 |  |  | $ | 14,969.6 |  |  | $ | 36.3 |  |  | $ | 27,460.9 |  |  | $ | 26,635.6 |  |  | $ | 63.3 |
Gains or Loss on fair value hedge relationships: |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Hedged Item |  | — |  |  | (15.4) |  |  | — |  |  | — |  |  | 14.8 |  |  | — |
| Derivatives designated as hedging instruments |  | — |  |  | 15.3 |  |  | — |  |  | — |  |  | (12.8) |  |  | — |
Gains or Loss on cash flow hedge relationships: |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Amount of Gain (Loss) Reclassified from AOCI into Income |  | 38.2 |  |  | (122.3) |  |  | — |  |  | (6.5) |  |  | 31.1 |  |  | — |
Interest rate contracts: |  |  |  |  |  |  |  |  |  |  |  |  |
| Amount of Gain (Loss) Reclassified from AOCI into Income |  | — |  |  | — |  |  | (0.2) |  |  | — |  |  | — |  |  | — |
Total amount of income and expense line items excluding the impact of hedges |  | $ | 15,618.0 |  |  | $ | 14,847.2 |  |  | $ | 36.1 |  |  | $ | 27,467.4 |  |  | $ | 26,668.7 |  |  | $ | 63.3 |
For the three and nine months ended September 30, 2020 and 2019, there were no gains or losses recognized in earnings related to our fair value or cash flow hedges that were excluded from the assessment of hedge effectiveness. As of September 30, 2020, on a pre-tax basis for commodity cash flow hedges, $132.3 million and $135.1 million is scheduled to be reclassified from Accumulated other comprehensive loss as an increase to Revenue and increase to Cost of revenue, respectively, over the next twelve months. The following table presents the effect and financial statement location of our derivative instruments in cash flow hedging relationships on Accumulated other comprehensive income and Consolidated Statements of Income and Comprehensive Income (in millions):
Amount of Gain (Loss) Recognized in Accumulated Other Comprehensive Income | For the Three Months Ended |  | Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income | For the Three Months Ended
September 30, |  | September 30,
Derivative Instruments | 2020 |  | 2019 |  | Location | 2020 |  | 2019
Commodity contracts | $ | (22.0) |  |  | $ | 41.6 |  |  | Revenue | $ | (2.8) |  |  | $ | (0.2) |
Commodity contracts | (39.8) |  |  | (19.8) |  |  | Cost of revenue | (65.0) |  |  | 13.7 |
Interest rate contracts | (0.1) |  |  | — |  |  | Interest expense and other financing costs, net | (0.2) |  |  | — |
Total Gain (Loss) | $ | (61.9) |  |  | $ | 21.7 |  |  | Total Gain (Loss) | $ | (68.1) |  |  | $ | 13.5 |
Amount of Gain (Loss) Recognized in Accumulated Other Comprehensive Income | For the Nine Months Ended |  | Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income | For the Nine Months Ended
September 30, |  | September 30,
Derivative Instruments | 2020 |  | 2019 |  | Location | 2020 |  | 2019
Commodity contracts | $ | 163.6 |  |  | $ | (136.1) |  |  | Revenue | $ | 38.2 |  |  | $ | (6.5) |
Commodity contracts | (237.2) |  |  | 153.9 |  |  | Cost of Revenue | (122.3) |  |  | 31.1 |
Interest rate contracts | (3.8) |  |  | — |  |  | Interest expense and other financing costs, net | (0.2) |  |  | — |
Total Gain (Loss) | $ | (77.4) |  |  | $ | 17.7 |  |  | Total Gain (Loss) | $ | (84.4) |  |  | $ | 24.6 |
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):
Amount of Realized and Unrealized Gain (Loss) |  |  | For the Three Months Ended
|  |  |  | September 30, |
Derivative Instruments - Non-designated |  | Location |  | 2020 |  | 2019 |
Commodity contracts |  |  |  |  |  |  |
|  | Revenue |  | $ | 44.3 |  |  | $ | 39.7 |  |
|  | Cost of revenue |  | (27.7) |  |  | (25.4) |  |
|  |  |  | 16.7 |  |  | 14.3 |  |
Foreign currency contracts |  |  |  |  |  |  |
|  | Revenue |  | (1.7) |  |  | 0.9 |  |
|  | Other (expense), net |  | (11.7) |  |  | 9.0 |  |
|  |  |  | (13.4) |  |  | 9.9 |  |
Total Gain (Loss) |  |  |  | $ | 3.2 |  |  | $ | 24.2 |  |
Amount of Realized and Unrealized Gain (Loss) |  |  |  | For the Nine Months Ended |
|  |  |  | September 30, |
Derivative Instruments - Non-designated |  | Location |  | 2020 |  | 2019 |
Commodity contracts |  |  |  |  |  |  |
|  | Revenue |  | $ | 157.6 |  |  | $ | 184.2 |  |
|  | Cost of revenue |  | (38.0) |  |  | (148.3) |  |
|  |  |  | 119.6 |  |  | 35.8 |  |
Foreign currency contracts |  |  |  |  |  |  |
|  | Revenue |  | (1.8) |  |  | 0.8 |  |
|  | Other (expense), net |  | (1.0) |  |  | 8.2 |  |
|  |  |  | (2.8) |  |  | 9.0 |  |
Total Gain (Loss) |  |  |  | $ | 116.8 |  |  | $ | 44.8 |  |
Credit-Risk-Related Contingent Features We enter into derivative contracts, which may require us to provide collateral periodically. Additionally, certain derivative contracts contain credit-risk-related contingent clauses that are triggered by credit events. These credit events may include the requirement to provide additional collateral or the immediate settlement of the derivative instruments upon the occurrence of such credit event or default. The following table presents the potential collateral requirements for derivative liabilities with credit-risk-contingent features as of September 30, 2020 and December 31, 2019 (in millions):
|  |  | Potential Collateral Requirements for Derivative Liabilities with Credit-Risk-Contingent Features
|  |  | As of September 30, 2020 |  | As of December 31, 2019
Net derivative liability positions with credit contingent features |  |  | $ | 40.6 |  |  | $ | 45.6 |
Collateral posted and held by our counterparties |  |  | — |  |  | — |
Maximum additional potential collateral requirements |  |  | $ | 40.6 |  |  | $ | 45.6 |

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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 http://asc.fasb.org/topic&trid=2229140 + Details
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