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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)
 9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value
Our derivative financial instruments are included at their fair values in the consolidated statements of financial position as follows:
 
September 30,
2017
 
December 31,
2016
 
 
 
 
  
(in millions)
Other current assets
$
0.1

 
$
—

Accounts payable and other
(162.8
)
 
(145.4
)
Other long-term liabilities
(22.9
)
 
(21.3
)
  
$
(185.6
)
 
$
(166.7
)
Schedule of Derivative Balances by Counter Party Credit Quality
The table below summarizes our derivative balances by counterparty credit quality (any negative amounts represent our net obligations to pay the counterparty).
 
September 30,
2017
 
December 31,
2016
 
 
 
 
  
(in millions)
Counterparty Credit Quality(1)
  

 
  

AA
$
(83.8
)
 
$
(79.2
)
A
(65.1
)
 
(58.4
)
Lower than A
(36.7
)
 
(29.1
)
  
$
(185.6
)
 
$
(166.7
)
_____________________
(1)
As determined by nationally-recognized statistical ratings organizations.
Schedule of Credit Concentrations in Industry Sectors
At September 30, 2017 and December 31, 2016, we had credit concentrations in the following industry sectors, as presented below:
 
September 30,
2017
 
December 31,
2016
 
 
 
 
  
(in millions)
United States financial institutions and investment banking entities
$
(132.4
)
 
$
(121.7
)
Non-United States financial institutions
(53.2
)
 
(45.0
)
  
$
(185.6
)
 
$
(166.7
)
Effect of Derivative Instruments on the Consolidated Statements of Financial Position
Effect of Derivative Instruments on the Consolidated Statements of Financial Position
 
 
 
Asset Derivatives
 
Liability Derivatives
  
 
 
Fair Value at
 
Fair Value at
  
Financial Position
Location
 
September 30,
2017
 
December 31,
2016
 
September 30,
2017
 
December 31,
2016
 
 
 
 
 
 
 
 
 
 
  
  
 
(in millions)
Derivatives designated as hedging instruments:(1)
  
 
  

 
  

 
  

 
  

Interest rate contracts
Accounts payable and other
 
$
—

 
$
—

 
$
(162.2
)
 
$
(144.0
)
Interest rate contracts
Other long-term liabilities
 
—

 
—

 
(22.8
)
 
(21.1
)
  
 
 
—

 
—

 
(185.0
)
 
(165.1
)
Derivatives not designated as hedging instruments:
  
 
  

 
  

 
  

 
  

Commodity contracts
Other current assets
 
0.1

 
—

 
—

 
—

Commodity contracts
Accounts payable and other
 
—

 
—

 
(0.6
)
 
(1.4
)
Commodity contracts
Other long-term liabilities
 
—

 
—

 
(0.1
)
 
(0.2
)
  
 
 
0.1

 
—

 
(0.7
)
 
(1.6
)
Total derivative instruments
 
$
0.1

 
$
—

 
$
(185.7
)
 
$
(166.7
)
_____________________
(1)
Includes items currently designated as hedging instruments. Excludes the portion of de-designated hedges which may have a component remaining in accumulated other comprehensive income (AOCI).
Effect of Derivative Instruments on the Consolidated Statements of Income and Accumulated Other Comprehensive Income
Effect of Derivative Instruments on the Consolidated Statements of Income and Accumulated Other Comprehensive Income
Derivatives in Cash Flow Hedging Relationships
 
Amount of Gain
(Loss) Recognized
in AOCI on
Derivative
(Effective Portion)
 
Location of Gain
(Loss) Reclassified from
AOCI to Earnings
(Effective Portion)
 
Amount of Gain
(Loss) Reclassified
from AOCI
to Earnings
(Effective Portion)
 
Location of Gain (Loss)
Recognized in Earnings on
Derivative (Ineffective
Portion and Amount
Excluded from
Effectiveness Testing)(1)
 
Amount of Gain
(Loss) Recognized in
Earnings on
Derivative (Ineffective
Portion and Amount
Excluded from
Effectiveness
Testing)(1)
 
 
 
 
 
 
 
 
 
 
 
  
 
  
 
(in millions)
 
  
 
  
Three months ended September 30, 2017
 
 
 
 
 
  

 
  
 
  

Interest rate contracts
 
$
(1.9
)
 
Interest expense
 
$
(9.8
)
 
Interest expense
 
$
(0.3
)
Total
 
$
(1.9
)
 
 
 
$
(9.8
)
 
 
 
$
(0.3
)
Three months ended September 30, 2016
 
 
 
 
 
  

 
  
 
  

Interest rate contracts
 
$
6.9

 
Interest expense
 
$
(10.0
)
 
Interest expense
 
$
—

Commodity contracts
 
—

 
Commodity costs
 
0.1

 
Commodity costs
 
—

Total
 
$
6.9

 
 
 
$
(9.9
)
 
 
 
$
—

Nine months ended September 30, 2017
 
 
 
 
 
  

 
  
 
  

Interest rate contracts
 
$
(17.7
)
 
Interest expense
 
$
(30.5
)
 
Interest expense
 
$
(2.2
)
Total
 
$
(17.7
)
 
 
 
$
(30.5
)
 
 
 
$
(2.2
)
Nine months ended September 30, 2016
 
 
 
 
 
  

 
  
 
  

Interest rate contracts
 
$
(128.3
)
 
Interest expense
 
$
(29.9
)
 
Interest expense
 
$
(3.4
)
Commodity contracts
 
—

 
Commodity costs
 
0.2

 
Commodity costs
 
—

Total
 
$
(128.3
)
 
 
 
$
(29.7
)
 
 
 
$
(3.4
)
_____________________
(1)
Includes only the ineffective portion of derivatives that are designated as hedging instruments and does not include net gains or losses associated with derivatives that do not qualify for hedge accounting treatment.
Components of Accumulated Other Comprehensive Income/(Loss)
Components of Accumulated Other Comprehensive Income/(Loss)
 
Cash Flow Hedges
  
2017
 
2016
 
 
 
 
  
(in millions)
Balance at January 1
$
(339.3
)
 
$
(370.0
)
Other comprehensive loss before reclassifications
(24.5
)
 
(134.3
)
Amounts reclassified from AOCI(1)
30.5

 
29.7

Net other comprehensive income (loss)
6.0

 
(104.6
)
Balance at September 30
$
(333.3
)
 
$
(474.6
)
_____________________
(1)
For additional details on the amounts reclassified from AOCI, reference the Reclassifications from Accumulated Other Comprehensive Income table below.
Reclassifications from Accumulated Other Comprehensive Income
Reclassifications from Accumulated Other Comprehensive Income
 
Three months ended September 30,
 
Nine months ended September 30,
  
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
  
  
 
(in millions)
 
  
Losses on cash flow hedges:
  

 
  

 
  

 
  

Interest Rate Contracts(1)
$
9.8

 
$
10.0

 
$
30.5

 
$
29.9

Commodity Contracts
—

 
(0.1
)
 
—

 
(0.2
)
Total Reclassifications from AOCI
$
9.8

 
$
9.9

 
$
30.5

 
$
29.7

_____________________
(1)
Loss reported within “Interest expense, net” in the consolidated statements of income.
Effect of Derivative Instruments on Consolidated Statements of Income
Effect of Derivative Instruments on Consolidated Statements of Income
 
 
 
 
Three months ended September 30,
 
Nine months ended September 30,
  
 
 
 
2017
 
2016
 
2017
 
2016
 
 
 
 
 
 
 
 
 
 
 
Derivatives Not Designated
as Hedging Instruments
 
Location of Gain or (Loss)
Recognized in Earnings
 
Amount of Gain or (Loss)
Recognized in Earnings(1)(2)
 
Amount of Gain or (Loss)
Recognized in Earnings(1)(2)
 
 
 
 
 
 
 
 
 
  
 
  
 
  
 
(in millions)
 
  
Commodity contracts
 
Transportation and other services
(3) 
 
$
(1.3
)
 
$
1.0

 
$
1.8

 
$
(2.1
)
Total
$
(1.3
)
 
$
1.0

 
$
1.8

 
$
(2.1
)
_____________
(1)
Does not include settlements associated with derivative instruments that settle through physical delivery.
(2)
Includes only net gains or losses associated with those derivatives that do not receive hedge accounting treatment and does not include the ineffective portion of derivatives that are designated as hedging instruments.
(3)
Includes settlement gains of $0.4 million and $1.2 million for the three months ended September 30, 2017 and 2016, respectively, and settlement gains of $0.8 million and $4.9 million for the nine months ended September 30, 2017 and 2016, respectively.
Offsetting of Financial Assets and Derivative Assets
The effect of the rights of set-off are outlined below.
Offsetting of Financial Assets and Derivative Assets
 
September 30, 2017
  
Gross
Amount of
Recognized
Assets
 
Gross
Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Assets
Presented in
the Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net Amount
  
  
 
  
 
(in millions)
 
  
 
  
Description:
  

 
  

 
  

 
  

 
  

Derivatives
$
0.1

 
$
—

 
$
0.1

 
$
(0.1
)
 
$
—


 
December 31, 2016
  
Gross
Amount of
Recognized
Assets
 
Gross
Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Assets
Presented in
the Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net Amount
  
  
 
  
 
(in millions)
 
  
 
  
Description:
  

 
  

 
  

 
  

 
  

Derivatives
$
—

 
$
—

 
$
—

 
$
—

 
$
—
Offsetting of Financial Liabilities and Derivative Liabilities
Offsetting of Financial Liabilities and Derivative Liabilities

 
September 30, 2017
  
Gross
Amount of
Recognized
Liabilities
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount of Liabilities
Presented in
the Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net Amount
  
  
 
  
 
(in millions)
 
  
 
  
Description:
  

 
  

 
  

 
  

 
  

Derivatives
$
(185.7
)
 
$
—

 
$
(185.7
)
 
$
0.1

 
$
(185.6
)

 
December 31, 2016
  
Gross
Amount of
Recognized
Liabilities
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount of
Liabilities
Presented in
the Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net Amount
  
  
 
  
 
(in millions)
 
  
 
  
Description:
  

 
  

 
  

 
  

 
  

Derivatives
$
(166.7
)
 
$
—

 
$
(166.7
)
 
$
—

 
$
(166.7
)
Table Setting Forth By Level Within The Fair Value Hierarchy Financial Assets And Liabilities
The following table sets forth by level within the fair value hierarchy our financial assets and liabilities that were accounted for at fair value on a recurring basis as of September 30, 2017 and December 31, 2016. We classify financial assets and liabilities in their entirety based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect our valuation of the financial assets and liabilities and their placement within the fair value hierarchy. For the periods ended September 30, 2017 and December 31, 2016, we did not have any Level 3 derivative instruments.
 
 
September 30, 2017
 
December 31, 2016
  
 
Level 2
 
Level 2
 
 
 
 
 
  
 
  
 
  
Interest rate contracts
 
$
(185.0
)
 
$
(165.1
)
Commodity contracts:
 
  

 
  

Financial
 
(0.6
)
 
(1.6
)
Total
 
$
(185.6
)
 
$
(166.7
)
Schedule of Fair Values of Expected Cash Flows of Outstanding Commodity Based Swaps and Physical Contracts
The following table provides summarized information about the fair values of expected cash flows of our outstanding commodity based swaps at September 30, 2017 and December 31, 2016.

 
September 30, 2017
 
December 31, 2016
  
Commodity
 
Notional(1)
 
Wtd. Average Price(2)
 
Fair Value(3)
 
Fair Value(3)
  
Receive
 
Pay
 
Asset
 
Liability
 
Asset
 
Liability
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
  
  
 
  
 
  
 
  
 
(in millions)
Portion of contracts maturing in 2017
 
  

 
  

 
  

 
  

 
  

 
  

 
  

Swaps
  
 
  

 
  

 
  

 
  

 
  

 
  

 
  

Receive fixed/pay variable
Crude Oil
 
123,832

 
$
51.91

 
$
51.98

 
$
0.1

 
$
(0.1
)
 
$
—

 
$
(1.6
)
Portion of contracts maturing in 2018
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Swaps
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Receive fixed/pay variable
Crude Oil
 
498,955

 
$
50.71

 
$
51.85

 
$
—

 
$
(0.6
)
 
$
—

 
$
—

_____________
(1)
Volumes of crude oil are measured in Bbl.
(2)
Weighted-average prices received and paid are in $/Bbl for crude oil.
(3)
The fair value is determined based on quoted market prices at September 30, 2017 and December 31, 2016, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values exclude credit valuation adjustment gains of nil at September 30, 2017 and December 31, 2016, as well as cash collateral received.
Schedule of Current Interest Rate Derivatives
The following table provides information about our current interest rate derivatives for the specified periods.
 
 
 
 
 
 
Average
Fixed
Rate(1)
 
Fair Value(2) at
Date of Maturity & Contract Type
 
Accounting Treatment
 
Notional
 
September 30,
2017
 
December 31,
2016
 
 
 
 
 
 
 
 
 
 
 
  
 
  
 
  
 
(dollars in millions)
 
  
Contracts maturing in 2017
 
 
 
 
 
 
 
 
 
 
Interest Rate Swaps – Pay Fixed
 
Cash Flow Hedge
 
$500
 
2.21%
 
$
—

 
$
(0.3
)
Contracts maturing in 2018
 
  
 
  
 
  
 
  

 
  

Interest Rate Swaps – Pay Fixed
 
Cash Flow Hedge
 
$810
 
2.24%
 
$
(2.1
)
 
$
(9.4
)
Contracts maturing in 2019
 
  
 
  
 
  
 
  

 
  

Interest Rate Swaps – Pay Fixed
 
Cash Flow Hedge
 
$620
 
2.96%
 
$
(7.8
)
 
$
(7.3
)
Contracts settling prior to maturity
 
  
 
  
 
  
 
  

 
  

2017 – Pre-issuance Hedges
 
Cash Flow Hedge
 
$1,000
 
4.07%
 
$
(156.0
)
 
$
(136.2
)
2018 – Pre-issuance Hedges
 
Cash Flow Hedge
 
$350
 
3.08%
 
$
(19.4
)
 
$
(13.1
)
_____________
(1)
Interest rate derivative contracts are based on the one-month or three-month London Interbank Offered Rate (LIBOR).
(2)
The fair value is determined from quoted market prices at September 30, 2017 and December 31, 2016, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values are presented in millions of dollars and exclude credit valuation adjustment gains of approximately $0.3 million and $1.2 million at September 30, 2017 and December 31, 2016, respectively.