Derivatives (Tables)

12 Months Ended

Dec. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Notional Amounts of Outstanding Derivative Positions

At December 31, 2021, our open commodity derivative contracts represented (in thousands of barrels):

Contract type	Purchases	Sales	Net
Futures	1,100	(1,650)	(550)
Swaps	2,100	(3,600)	(1,500)
Total	3,200	(5,250)	(2,050)

Schedule of Derivative Instruments

The following table provides information on these option collars at each of our refineries as of December 31, 2021:

	December 31, 2021
Average barrels per month	35,833
Weighted-average strike price - floor (in dollars)	$	59.47
Weighted-average strike price - ceiling (in dollars)	$	75.34
Commencement date	January 2022
Expiry date	December 2022

Fair Value, Assets Measured on Recurring Basis

The following table provides information on the fair value amounts (in thousands) of these derivatives as of December 31, 2021 and 2020 and their placement within our consolidated balance sheets.

		December 31,
	Balance Sheet Location	2021		2020
		Asset (Liability)
Commodity derivatives (1)	Prepaid and other current assets	$	1,260	$	1,346
Commodity derivatives	Other accrued liabilities	(1,431)		—
J. Aron repurchase obligation derivative	Obligations under inventory financing agreements	(15,151)		(20,797)
MLC terminal obligation derivative	Obligations under inventory financing agreements	(22,170)		(10,161)
Interest rate derivatives	Other accrued liabilities	—		(966)
Interest rate derivatives	Other liabilities	—		(2,027)

_________________________________________________________

(1)Does not include cash collateral of $6.1 million and $1.5 million recorded in Prepaid and other current assets and $9.5 million and $9.5 million in Other long-term assets as of December 31, 2021 and 2020, respectively.

Fair value amounts by hierarchy level as of December 31, 2021 and 2020 are presented gross in the tables below (in thousands):

	December 31, 2021
	Level 1		Level 2		Level 3		Gross Fair Value		Effect of Counter-party Netting		Net Carrying Value on Balance Sheet (1)
Assets
Commodity derivatives	$	4,283	$	4,513	$	—	$	8,796	$	(7,536)	$	1,260
Liabilities
Commodity derivatives	$	(3,964)	$	(5,003)	$	—	$	(8,967)	$	7,536	$	(1,431)
J. Aron repurchase obligation derivative	—		—		(15,151)		(15,151)		—		(15,151)
MLC terminal obligation derivative	—		—		(22,170)		(22,170)		—		(22,170)
Gross environmental credit obligations (2)	—		(311,014)		—		(311,014)		—		(311,014)
Total (3)	$	(3,964)	$	(316,017)	$	(37,321)	$	(357,302)	$	7,536	$	(349,766)

	December 31, 2020
	Level 1		Level 2		Level 3		Gross Fair Value		Effect of Counter-party Netting		Net Carrying Value on Balance Sheet (1)
Assets
Commodity derivatives	$	616	$	1,573	$	—	$	2,189	$	(843)	$	1,346
Liabilities
Commodity derivatives	$	(3)	$	(840)	$	—	$	(843)	$	843	$	—
J.Aron repurchase obligation derivative	—		—		(20,797)		(20,797)		—		(20,797)
MLC terminal obligation derivative	—		—		(10,161)		(10,161)		—		(10,161)
Interest rate derivatives	—		(2,993)		—		(2,993)		—		(2,993)
Gross environmental credit obligations (2)	—		(150,482)		—		(150,482)		—		(150,482)
Total	$	(3)	$	(154,315)	$	(30,958)	$	(185,276)	$	843	$	(184,433)

_________________________________________________________

(1)Does not include cash collateral of $15.6 million and $11.0 million as of December 31, 2021 and 2020, respectively, included within Prepaid and other current assets and Other long-term assets on our consolidated balance sheets.

(2)Does not include RINs assets and other environmental credits of $120.1 million and $26.7 million presented as Inventories on our consolidated balance sheet and stated at the lower of cost and net realizable value as of December 31, 2021 and 2020, respectively.

(3)The interest rate derivative was settled in February 2021, therefore, there is no asset or liability related to the interest rate derivative at December 31, 2021. Please read Note 14—Derivatives for further information.

Schedule of Derivatives Instruments Statements of Financial Performance and Financial Position, Location

The following table summarizes the pre-tax gains (losses) recognized in Net income (loss) on our consolidated statements of operations resulting from changes in fair value of derivative instruments not designated as hedges charged directly to earnings (in thousands):

		Year Ended December 31,
	Statement of Operations Classification	2021		2020		2019
Commodity derivatives	Cost of revenues (excluding depreciation)	$	(22,417)	$	(51,902)	$	(1,547)
J. Aron repurchase obligation derivative	Cost of revenues (excluding depreciation)	5,646		(20,970)		(3,912)
MLC terminal obligation derivative	Cost of revenues (excluding depreciation)	(73,256)		39,820		(19,326)
Interest rate derivatives	Interest expense and financing costs, net	104		(2,265)		(1,506)