Valero 2015 Annual Report Download - page 58

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Table of Contents
Our positions in commodity derivative instruments are monitored and managed on a daily basis by our risk control group to ensure
compliance with our stated risk management policy that has been approved by our board of directors.
The following sensitivity analysis includes all positions at the end of the reporting period with which we have market risk (in millions):
Derivative Instruments Held For
Non-Trading
Purposes
Trading
Purposes
December 31, 2015:
Gain (loss) in fair value resulting from:
10% increase in underlying commodity prices $ (45)
$ —
10% decrease in underlying commodity prices 45
5
December 31, 2014:
Gain (loss) in fair value resulting from:
10% increase in underlying commodity prices (127)
(2)
10% decrease in underlying commodity prices 126
7
Se e Note 20 of Notes to Consolidated Financial Statements for notional volumes associated with these derivative contracts as of
December 31, 2015.
COMPLIANCE PROGRAM PRICE RISK
We are exposed to market risk related to the volatility in the price of biofuel credits and GHG emission credits needed to comply with
various governmental and regulatory programs. To manage these risks, we enter into contracts to purchase these credits when prices are
deemed favorable. Some of these contracts are derivative instruments; however, we elect the normal purchase exception and do not
record these contracts at their fair values. As of December 31, 2015, there was an immaterial amount of gain or loss in the fair value of
derivative instruments that would result from a 10 percent increase or decrease in the underlying price of the contracts. See Note 20 of
Notes to Consolidated Financial Statements for a discussion about these compliance programs.
53