Derivative Instruments

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

4. Derivative Instruments

The following describes our derivative classifications:

Fair Value Hedges. Derivative contracts we hold to hedge the risk of changes in the price of our inventory.

Cash Flow Hedges. Derivative contracts we execute to mitigate the risk of price and interest rate volatility in forecasted transactions.

Non-designated Derivatives. 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.

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
		June 30,		December 31,		June 30,		December 31,
Derivative Instruments	Consolidated Balance Sheets location	2021		2020		2021		2020
Derivatives designated as hedging instruments
Commodity contracts	Short-term derivative assets, net	$	138.4	$	124.9	$	181.1	$	120.7

	Accrued expenses and other current liabilities	2.9		1.0		5.0		2.3
	Other long-term liabilities	—		0.1		—		0.5


Interest rate contracts	Identifiable intangible and other non-current assets	2.3		—		—		—
	Accrued expenses and other current liabilities	—		—		1.3		1.3
	Other long-term liabilities	—		—		—		2.4

Total derivatives designated as hedging instruments		143.6		126.0		187.5		127.2

Derivatives not designated as hedging instruments
Commodity contracts	Short-term derivative assets, net	298.2		164.9		171.8		102.7
	Identifiable intangible and other non-current assets	64.6		32.1		25.5		7.9
	Accrued expenses and other current liabilities	48.8		30.5		158.2		68.4
	Other long-term liabilities	6.1		17.5		28.3		23.5

Foreign currency contracts	Short-term derivative assets, net	1.2		—		0.3		—
	Identifiable intangible and other non-current assets	0.1		—		—		—
	Accrued expenses and other current liabilities	2.8		7.5		4.3		19.6
	Other long-term liabilities	—		—		—		0.2
Total derivatives not designated as hedging instruments		421.8		252.5		388.5		222.3

Total derivatives		$	565.4	$	378.5	$	576.0	$	349.5

For information regarding our derivative instruments measured at fair value after netting and collateral, see Note 6. 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 (in millions):

Unit

June 30, 2021

Commodity contracts

Long

BBL

53.0

Short

BBL

(45.0)

Foreign currency exchange contracts

Sell U.S. dollar, buy other currencies

USD

(244.6)

Buy U.S. dollar, sell other currencies

USD

346.3

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)
	June 30, 2021		December 31, 2020		June 30, 2021		December 31, 2020
Inventory	$	51.4	$	44.5	$	9.3	$	4.9

The following table presents the location and amount of gains (losses) on fair value and cash flow hedges recognized in income in our Condensed Consolidated Statements of Income and Comprehensive Income (in millions):


	For the Three Months Ended
	June 30, 2021						June 30, 2020
	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	$	7,085.5	$	6,901.6	$	11.4	$	3,158.3	$	2,944.5	$	10.7
Gains (losses) on fair value hedge relationships:
Commodity contracts:
Hedged item	—		14.6		—		—		8.9		—
Derivatives designated as hedging instruments	—		(11.3)		—		—		(4.6)		—

Gains (losses) on cash flow hedge relationships:
Commodity contracts:
Amount of gain (loss) reclassified from accumulated other comprehensive income into income	(2.9)		67.4		—		27.0		(56.2)		—
Interest rate contracts:
Amount of gain (loss) reclassified from accumulated other comprehensive income into income	—		—		(0.3)		—		—		—

Total amount of income and expense line items excluding the impact of hedges	$	7,088.4	$	6,972.2	$	11.1	$	3,131.4	$	2,892.6	$	10.7


	For the Six Months Ended
	June 30, 2021						June 30, 2020
	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	$	13,043.4	$	12,667.9	$	22.5	$	11,173.5	$	10,700.9	$	26.9
Gains (losses) on fair value hedge relationships:
Commodity contracts:
Hedged item	—		26.5		—		—		(14.3)		—
Derivatives designated as hedging instruments	—		(19.7)		—		—		13.8		—

Gains (losses) on cash flow hedge relationships:
Commodity contracts:
Amount of gain (loss) reclassified from accumulated other comprehensive income into income	(14.6)		88.4		—		41.0		(57.3)		—
Interest rate contracts:
Amount of gain (loss) reclassified from accumulated other comprehensive income into income	—		—		(0.5)		—		—		—
Total amount of income and expense line items excluding the impact of hedges	$	13,058.0	$	12,763.2	$	22.0	$	11,132.5	$	10,643.1	$	26.9

For the three and six months ended June 30, 2021 and 2020, 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 June 30, 2021, on a pre-tax basis for commodity cash flow hedges, $184.3 million and $177.2 million are 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. As of June 30, 2021, all designated cash flow hedges executed to mitigate exposure to commodity price risk are scheduled to mature within twelve months.

The following tables presents the effect and financial statement location of our derivative instruments in cash flow hedging relationships on Accumulated other comprehensive income and Condensed Consolidated Statements of Income and Comprehensive Income (in millions):


Amount of gain (loss) recognized in accumulated other comprehensive income	Three Months Ended June 30,				Six Months Ended June 30,
	2021		2020		2021		2020
Commodity contracts (Revenue)	$	(13.3)	$	(148.5)	$	(76.1)	$	185.6
Commodity contracts (Cost of revenue)	69.6		100.3		154.3		(197.4)
Interest rate contracts	(0.7)		(2.2)		3.0		(3.7)
Total gain (loss)	$	55.7	$	(50.3)	$	81.2	$	(15.5)


Amount of gain (loss) reclassified from accumulated other comprehensive income into Income		Three Months Ended June 30,				Six Months Ended June 30,
	Location	2021		2020		2021		2020
Commodity contracts	Revenue	$	(2.9)	$	27.0	$	(14.6)	$	41.0
Commodity contracts	Cost of revenue	67.4		(56.2)		88.4		(57.3)
Interest rate contracts	Interest expense and other financing costs, net	(0.3)		—		(0.5)		—
Total gain (loss)		$	64.2	$	(29.2)	$	73.4	$	(16.3)

The following table presents the amounts not recorded in Accumulated other comprehensive income due to intra-period settlement but recognized in Revenue and Cost of revenue in our Condensed Consolidated Statements of Income and Comprehensive Income (in millions):


Gain (loss) not recorded in accumulated other comprehensive income due to intra-period settlement		Three Months Ended June 30,				Six Months Ended June 30,
	Location	2021		2020		2021		2020
Commodity contracts	Revenue	$	(113.8)	$	140.9	$	(190.6)	$	303.3
Commodity contracts	Cost of revenue	$	8.0	$	(83.4)	$	15.2	$	(173.5)

The following table presents the amount and financial statement location in our Condensed Consolidated Statements of Income and Comprehensive Income of realized and unrealized gains (losses) recognized on derivative instruments not designated as hedging instruments (in millions):


		Three Months Ended June 30,				Six Months Ended June 30,
Derivative Instruments - Non-designated	Location	2021		2020		2021		2020
Commodity contracts
	Revenue	$	12.9	$	34.1	$	(290.9)	$	113.3
	Cost of revenue	(6.2)		(25.8)		306.8		(10.3)
		6.7		8.4		15.9		102.9
Foreign currency contracts
	Revenue	(0.2)		(0.5)		0.1		—
	Other (expense), net	(1.5)		(7.8)		1.8		10.7
		(1.7)		(8.3)		2.0		10.7
Total gain (loss)		$	5.0	$	0.2	$	17.9	$	113.6

Credit-Risk-Related Contingent Features

We enter into derivative contracts which may require us to post collateral periodically. Certain of these derivative contracts contain credit-risk-related contingent clauses which are triggered by credit events. These credit events may include the requirement to post additional collateral or the immediate settlement of the derivative instruments upon the occurrence of a credit downgrade or if certain defined financial ratios fall below an established threshold. The following table presents the potential collateral requirements for derivative liabilities with credit-risk-contingent features (in millions):


	June 30, 2021		December 31, 2020
Net derivative liability positions with credit contingent features	$	4.0	$	20.0
Collateral posted and held by our counterparties	—		—
Maximum additional potential collateral requirements	$	4.0	$	20.0

As of June 30, 2021 and December 31, 2020, there was no collateral held by our counterparties on these derivative contracts with credit-risk-contingent features.