Fair Value of Derivative Financial Instruments |
The fair values of the company’s derivative financial instruments and the line items on the consolidated balance sheets where they are reported are as follows (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | Asset Derivatives' Fair Value | | Liability Derivatives' Fair Value | | | June 30, 2022 | | December 31, 2021 | | June 30, 2022 | | December 31, 2021 | | Derivative financial instruments - forwards | $ | 40,474 | | (1) | $ | 26,738 | | | $ | 49,959 | |
| $ | 26,117 | | (2) | Other assets | 54 | | | 8 | | | — | | | — | | | Other liabilities | — | | | — | | | 71 | | | 196 | | | Total | $ | 40,528 | | | $ | 26,746 | | | $ | 50,030 | | | $ | 26,313 | | |
(1)At June 30, 2022, derivative financial instruments, as reflected on the balance sheet, includes net unrealized gains on exchange traded futures and options contracts of $19.9 million, which included $11.6 million of net unrealized losses on derivative financial instruments designated as cash flow hedging instruments, $14.8 million of unrealized gains on derivative financial instruments designated as fair value hedging instruments, and the balance representing economic hedges. (2)At December 31, 2021, derivative financial instruments, as reflected on the balance sheet, includes net unrealized losses on exchange traded futures and options contracts of $17.1 million, which include $1.3 million of net unrealized losses on derivative financial instruments designated as cash flow hedging instruments, $0.5 million of unrealized losses on derivative financial instruments designated as fair value hedging instruments, and the balance representing economic hedges.
|
Derivative Instruments, Gain (Loss) in Statement of Financial Performance |
The gains or losses recognized in income and other comprehensive income related to the company’s derivative financial instruments and the line items on the consolidated financial statements where they are reported are as follows (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income | Location of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income into Income | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2022 | | 2021 | | 2022 | | 2021 | Revenues | | $ | (1,111) | | | $ | (23,692) | | | $ | (1,739) | | | $ | (38,880) | | Cost of goods sold | | (2,282) | | | 18,485 | | | 1,012 | | | 35,484 | | Net loss recognized in income (loss) before income taxes | | $ | (3,393) | | | $ | (5,207) | | | $ | (727) | | | $ | (3,396) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amount of Gain (Loss) Recognized in Other Comprehensive Income on Derivatives | Gain (Loss) Recognized in Other Comprehensive Income on Derivatives | | Three Months Ended June 30, | | Six Months Ended June 30, | | 2022 | | 2021 | | 2022 | | 2021 | Commodity contracts | | $ | (14,114) | | | $ | 6,747 | | | $ | (6,807) | | | $ | 371 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Amount of Gain (Loss) Recognized in Income on Derivatives | Derivatives Not Designated as Hedging Instruments | | Location of Gain (Loss) Recognized in Income on Derivatives | | Three Months Ended June 30, | | Six Months Ended June 30, | | | 2022 | | 2021 | | 2022 | | 2021 | Exchange traded futures and options | | Revenues | | $ | 2,714 | | $ | (14,622) | | $ | (31) | | $ | (56,536) | Forwards | | Revenues | | 6,880 | | 3,521 | | 4,267 | | 4,641 | Exchange trade futures and options | | Costs of goods sold | | 27,355 | | (3,996) | | (40,208) | | 7,041 | Forwards | | Costs of goods sold | | (37,458) | | 6,987 | | (18,297) | | 4,513 | Net gain (loss) recognized in income (loss) before income taxes | | $ | (509) | | $ | (8,110) | | $ | (54,269) | | $ | (40,341) |
The following amounts were recorded on the consolidated balance sheets related to cumulative basis adjustments for the fair value hedged items (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2022 | | December 31, 2021 | Line Item in the Consolidated Balance Sheet in Which the Hedged Item is Included | | Carrying Amount of the Hedged Assets | | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets | | Carrying Amount of the Hedged Assets | | Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets | Inventories | | $ | 58,185 | | $ | 3,118 | | $ | 72,320 | | $ | 6,291 |
Effect of Cash Flow and Fair Value Hedge Accounting on the Statements of Operations | | | | | | | | | | | | | | | | | | | | | | | | | Location and Amount of Gain (Loss) Recognized in Income on Cash Flow and Fair Value Hedging Relationships for the Three Months Ended June 30, | | 2022 | | 2021 | | Revenue | | Cost of Goods Sold | | Revenue | | Cost of Goods Sold | Gain (loss) on cash flow hedging relationships: | | | | | | | | | | | | | | | | Commodity contracts: | | | | | | | | Amount of gain (loss) on exchange traded futures reclassified from accumulated other comprehensive income into income | $ | (1,111) | | | $ | (2,282) | | | $ | (23,692) | | | $ | 18,485 | | | | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | | | | | | | | | | Commodity contracts: | | | | | | | | Fair-value hedged inventories | — | | | (8,550) | | | — | | | 10,406 | | Exchange traded futures designated as hedging instruments | — | | | 12,533 | | | — | | | (7,244) | | Total amounts of income and expense line items presented in the statement of operations in which the effects of cash flow or fair value hedges are recorded | $ | (1,111) | | | $ | 1,701 | | | $ | (23,692) | | | $ | 21,647 | | | | | | | | | | | | | | | | | | | | | | | | | | | Location and Amount of Gain (Loss) Recognized in Income on Cash Flow and Fair Value Hedging Relationships for the Six Months Ended June 30, | | 2022 | | 2021 | | Revenue | | Cost of Goods Sold | | Revenue | | Cost of Goods Sold | Gain (loss) on cash flow hedging relationships: | | | | | | | | | | | | | | | | Commodity contracts: | | | | | | | | Amount of gain (loss) on exchange traded futures reclassified from accumulated other comprehensive income into income | $ | (1,739) | | | $ | 1,012 | | | $ | (38,880) | | | $ | 35,484 | | | | | | | | | | Gain (loss) on fair value hedging relationships: | | | | | | | | | | | | | | | | Commodity contracts: | | | | | | | | Fair-value hedged inventories | — | | | 9,836 | | | — | | | 18,373 | | Exchange traded futures designated as hedging instruments | — | | | (4,711) | | | — | | | (14,352) | | Total amounts of income and expense line items presented in the statement of operations in which the effects of cash flow or fair value hedges are recorded | $ | (1,739) | | | $ | 6,137 | | | $ | (38,880) | | | $ | 39,505 | |
|
Open Position Derivative Financial Instruments |
The notional volume of open commodity derivative positions as of June 30, 2022, are as follows (in thousands): | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Exchange Traded (1) | | Non-Exchange Traded (2) | | | | | Derivative Instruments | | Net Long & (Short) | | Long | | (Short) | | Unit of Measure | | Commodity | Futures | | (40,390) | | | | | | | Bushels | | Corn | Futures | | 6,930 | | (3) | | | | | Bushels | | Corn | Futures | | (4,475) | | (4) | | | | | Bushels | | Corn | Futures | | (62,118) | | | | | | | Gallons | | Ethanol | Futures | | (23,058) | | (3) | | | | | Gallons | | Ethanol | Futures | | 3,143 | | | | | | | MmBTU | | Natural Gas | Futures | | 7,680 | | (3) | | | | | MmBTU | | Natural Gas | Futures | | (4,555) | | (4) | | | | | MmBTU | | Natural Gas | Forwards | | | | 43,502 | | | (18) | | | Bushels | | Corn | Forwards | | | | — | | | (285,395) | | | Gallons | | Ethanol | Forwards | | | | 136 | | | (395) | | | Tons | | Distillers Grains | Forwards | | | | — | | | (83,308) | | | Pounds | | Corn Oil | Forwards | | | | 27,116 | | | (87) | | | MmBTU | | Natural Gas |
(1)Notional volume of exchange traded futures and options are presented on a net long and (short) position basis. Options are presented on a delta-adjusted basis. (2)Notional volume of non-exchange traded forward physical contracts are presented on a gross long and (short) position basis including both fixed-price and basis contracts, for which only the basis portion of the contract price is fixed. (3)Notional volume of exchange traded futures used for cash flow hedges. (4)Notional volume of exchange traded futures used for fair value hedges.
|