Valero 2015 Annual Report Download - page 121
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Table of Contents
VALERO ENERGY CORPORATION
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (Continued)
The tables below present information (in millions) about our assets and liabilities recognized at their fair values in our balance sheets
categorized according to the fair value hierarchy of the inputs utilized by us to determine the fair values as of December 31, 2015 and
2014.
We have elected to offset the fair value amounts recognized for multiple similar derivative contracts executed with the same
counterparty, including any related cash collateral assets or obligations as shown below; however, fair value amounts by hierarchy level
are presented on a gross basis in the tables below. We have no derivative contracts that are subject to master netting arrangements that
are reflected gross on the balance sheet.
December 31, 2015
Total
Gross
Fair
Value
Effect of
Counter-
party
Netting
Effect of
Cash
Collateral
Netting
Net
Carrying
Value on
Balance
Sheet
Cash
Collateral
Paid or
Received
Not Offset
Fair Value Hierarchy
Level 1
Level 2
Level 3
Assets:
Commodity derivative
contracts $ 649
$ 33
$ —
$ 682
$ (557)
$ (12)
$ 113
$ —
Foreign currency contracts 3
—
—
3
n/a
n/a
3
n/a
Investments of certain
benefit plans 64
—
11
75
n/a
n/a
75
n/a
Total $ 716
$ 33
$ 11
$ 760
$ (557)
$ (12)
$ 191
Liabilities:
Commodity derivative
contracts $ 522
$ 35
$ —
$ 557
$ (557)
$ —
$ —
$ (31)
Environmental credit
obligations —
2
—
2
n/a
n/a
2
n/a
Physical purchase
contracts —
6
—
6
n/a
n/a
6
n/a
Total $ 522
$ 43
$ —
$ 565
$ (557)
$ —
$ 8
115