Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments

v3.21.2
Derivative Instruments
9 Months Ended
Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments DERIVATIVE INSTRUMENTSThe Company enters into New York Mercantile Exchange ("NYMEX") NY Harbor ULSD ("NY Harbor ULSD" or previously referred to as heating oil), Chicago Mercantile Exchange ("CME") Soybean Oil (previously referred to as soybean oil) and NYMEX Natural Gas futures, swaps and options ("commodity contract derivatives") to reduce the risk of price volatility related to anticipated purchases of feedstock raw materials and to protect cash margins from potentially adverse effects of price volatility on bio-based diesel sales where prices are set at a future date. All of the Company’s commodity contract derivatives are designated as non-hedge derivatives and recorded at fair value on the Condensed Consolidated Balance Sheets. Unrealized gains and losses are recognized as a component of bio-based diesel costs of goods sold reflected in current results of operations. As of September 30, 2021, the net notional volumes of NY Harbor ULSD, CME Soybean Oil and NYMEX Natural Gas covered under the open commodity derivative contracts were approximately 62 million gallons, 96 million pounds, and 2 million million British thermal units, respectively.
The Company offsets the fair value amounts recognized for its commodity contract derivatives with cash collateral with the same counterparty under a master netting agreement. The net position is presented within prepaid and other assets in the Condensed Consolidated Balance Sheets. At September 30, 2021 and December 31, 2020, the net position included within prepaid and other assets was $5,033 and $5,433, respectively, and in accounts payable $441 and $0, respectively. The following table sets forth the fair value of the Company's commodity contract derivatives and amounts that offset within the Condensed Consolidated Balance Sheets:
    September 30, 2021 December 31, 2020
    Assets Liabilities Assets Liabilities
Gross amounts of derivatives recognized at fair value $ 6,251  $ 10,227  $ 3,458  $ 12,164 
Cash collateral paid (received) 8,568  —  14,139  — 
Total gross amount recognized 14,819  10,227  17,597  12,164 
Gross amounts offset (10,227) (10,227) (12,164) (12,164)
Net amount reported in the condensed consolidated balance sheets $ 4,592  $ —  $ 5,433  $ — 

The following table sets forth the commodity contract derivatives gains and (losses) included in the Condensed Consolidated Statements of Operations:
    Location of Gain (Loss)
Recognized in income
Three months ended September 30, 2021 Three months ended September 30, 2020 Nine months ended September 30, 2021 Nine months ended September 30, 2020
Commodity derivatives Cost of goods sold – Bio-based diesel $ (11,640) $ 7,486  $ (394) $ 56,253