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Derivative Instruments
 12 Months Ended
Dec. 31, 2015
Derivative Instruments [Abstract]  
Derivative Instruments

Note 4—Derivative Instruments

The primary risk managed by the Company using derivative instruments is commodity price risk, which is accounted for in accordance with Accounting Standards Codification 815—Derivatives and Hedging. Natural gas and electricity put and call options and swaps are entered into as hedges against unfavorable fluctuations in market prices of natural gas and electricity. The Company does not apply hedge accounting to these options or swaps, therefore the changes in fair value are recorded in earnings. By using derivative instruments to mitigate exposures to changes in commodity prices, the Company exposes itself to credit risk and market risk. Credit risk is the failure of the counterparty to perform under the terms of the derivative contract. When the fair value of a derivative contract is positive, the counterparty owes the Company, which creates credit risk. The Company minimizes the credit or repayment risk in derivative instruments by entering into transactions with high-quality counterparties. At December 31, 2015 and 2014, GRE’s swaps and options were traded on the New York Mercantile Exchange.

The summarized volume of GRE’s outstanding contracts and options as of December 31, 2015 was as follows (MWh – Megawatt hour and Dth – Decatherm):

Commodity

 

Settlement Dates

 

Volume

Electricity

 

January 2016

 

248,000 MWh

Electricity

 

February 2016

 

772,800 MWh

Electricity

 

March 2016

 

82,800 MWh

Electricity

 

April 2016

 

16,800 MWh

Electricity

 

July 2016

 

160,000 MWh

Electricity

 

August 2016

 

184,000 MWh

Electricity

 

September 2016

 

33,600 MWh

Natural gas

 

February 2016

 

852,500 Dth

Natural gas

 

April 2016

 

200,000 Dth

Natural gas

 

July 2016

 

1,110,000 Dth

Natural gas

 

August 2016

 

800,000 Dth

The fair value of outstanding derivative instruments recorded as assets in the accompanying consolidated balance sheets were as follows:

December 31 (in thousands)

 

2015

 

2014

Asset Derivatives

 

Balance Sheet Location

 

 

 

 

 

 

Derivatives not designated or not qualifying as hedging instruments:

 

 

 

 

 

 

 

 

Energy contracts and options

 

Other current assets

 

$

1,681

 

$

2,377

The fair value of outstanding derivative instruments recorded as liabilities in the accompanying consolidated balance sheets were as follows:

December 31 (in thousands)

 

2015

 

2014

Liability Derivatives

 

Balance Sheet Location

 

 

 

 

 

 

Derivatives not designated or not qualifying as hedging instruments:

 

 

 

 

 

 

 

 

Energy contracts and options

 

Energy hedging contracts

 

$

2,192

 

$

4,003

The effects of derivative instruments on the consolidated statements of operations were as follows:

 

 

 

 

Amount of Gain (Loss) Recognized on Derivatives

 

 

 

 

Year ended December 31,

(in thousands)

 

 

 

2015

 

2014

 

2013

Derivatives not designated or not qualifying as hedging instruments

 

Location of Gain (Loss) Recognized on Derivatives

 

 

 

 

 

 

 

 

 

 

 

Energy contracts and options

 

Direct cost of revenues

 

$

(1,772

)

 

$

(1,674

)

 

$

1,177