Derivatives

For further information regarding the fair value measurement of derivative instruments, see Note 11. All of our interest rate and commodity derivatives are subject to enforceable master netting arrangements or similar agreements under which we may report net amounts. The following tables present the gross fair values of derivative instruments and the reported net amounts where they appear on the consolidated balance sheets.



	March 31, 2016
(In millions)	Asset		Liability		Net Asset		Balance Sheet Location
Fair Value Hedges
Interest rate	$	12	$	—	$	12	Other noncurrent assets
Total Designated Hedges	$	12	$	—	$	12

Not Designated as Hedges
Commodity	$	51	$	7	$	44	Other current assets
Total Not Designated as Hedges	$	51	$	7	$	44
Total	$	63	$	7	$	56

	March 31, 2016
(In millions)	Asset		Liability		Net Liability		Balance Sheet Location
Not Designated as Hedges
Commodity	$	—	$	17	$	17	Deferred credits and other liabilities
Total Not Designated as Hedges	$	—	$	17	$	17
Total	$	—	$	17	$	17



	December 31, 2015
(In millions)	Asset		Liability		Net Asset		Balance Sheet Location
Fair Value Hedges
Interest rate	$	8	$	—	$	8	Other noncurrent assets
Total Designated Hedges	$	8	$	—	$	8

Not Designated as Hedges
Commodity	$	51	$	1	$	50	Other current assets
Total Not Designated as Hedges	$	51	$	1	$	50
Total	$	59	$	1	$	58

Derivatives Designated as Fair Value Hedges

The following table presents, by maturity date, information about our interest rate swap agreements, including the weighted average, London Interbank Offer Rate (“LIBOR”)-based, floating rate.



	March 31, 2016				December 31, 2015
	Aggregate Notional Amount		Weighted Average, LIBOR-Based,		Aggregate Notional Amount		Weighted Average, LIBOR-Based,
Maturity Dates	(in millions)		Floating Rate		(in millions)		Floating Rate
October 1, 2017	$	600	4.92	%	$	600	4.73	%
March 15, 2018	$	300	4.77	%	$	300	4.66	%

The pretax effects of derivative instruments designated as hedges of fair value in our consolidated statements of income are summarized in the table below. There is no ineffectiveness related to fair value hedges.



		Gain (Loss)
			Three Months Ended March 31,
(In millions)	Income Statement Location		2016			2015
Derivative
Interest rate	Net interest and other		$	4		$	5
Hedged Item
Long-term debt	Net interest and other		$	(4	)	$	(5	)

Derivatives not Designated as Hedges

During 2015 and the first quarter of 2016, we entered into multiple crude oil and natural gas derivatives indexed to NYMEX WTI and Henry Hub related to a portion of our forecasted North America E&P sales through December 2017. These commodity derivatives consist of three-way collars, extendable three-way collars, call options, swaps, and swaptions. Three-way collars consist of a sold call (ceiling), a purchased put (floor) and a sold put. The ceiling price is the maximum we will receive for the contract volumes, the floor is the minimum price we will receive, unless the market price falls below the sold put strike price. In this case, we receive the NYMEX WTI/Henry Hub price plus the difference between the floor and the sold put price. These commodity derivatives were not designated as hedges. The following table sets forth outstanding derivative contracts as of March 31, 2016 and the weighted average prices for those contracts:



Crude Oil ^(a)
	2016			Year Ending December 31,
	Second Quarter	Third Quarter	Fourth Quarter	2017
Three-Way Collars ^(b)
Volume (Bbls/day)	39,000	37,000	37,000	—
Price per Bbl:
Ceiling	$55.47	$54.52	$54.52	—
Floor	$51.56	$50.83	$50.83	—
Sold put	$41.67	$41.22	$41.22	—
Options ^(c)
Volume (Bbls/day)	10,000	10,000	10,000	25,000
Price per Bbl	$72.39	$72.39	$72.39	$60.67
Swaps
Volume (Bbls/day)	25,000	—	—	—
Price per Bbl	$39.25	—	—	—

^(a)Subsequent to March 31, 2016, we entered into 10,000 Bbls/day of two-way collars for July - December 2016 with a ceiling price of $50.00 and a floor price of $41.55. We also entered into 10,000 Bbls/day of 2016 three-way collars for May - December 2016 with a ceiling price of $58.51, a floor price of $48.00, and a sold put price of $40.00, traded in conjunction with sold call options of 10,000 Bbls/day for 2017 at $65.00.


^(b)	A counterparty has the option, exercisable on June 30, 2016, to extend three-way collars for 2,000 Bbls/day through the remainder of 2016 at a ceiling of $73.13, floor of $65.00 and sold put of $50.00.


^(c)	Call options settle monthly.



Natural Gas ^(a)
	2016			Year Ending December 31,
	Second Quarter	Third Quarter	Fourth Quarter	2017
Three-Way Collars ^(b)
Volume (MMBtu/day)	20,000	20,000	20,000	20,000
Price per MMBtu
Ceiling	$2.93	$2.93	$2.93	$3.07
Floor	$2.50	$2.50	$2.50	$2.75
Sold put	$2.00	$2.00	$2.00	$2.25


^(a)	Subsequent to March 31, 2016, we entered into 20,000 MMBtu/day of 2017 three-way collars with a ceiling price of $3.50, a floor price of $2.75, and a sold put price of $2.25.


^(b)	Counterparty has the option to execute fixed-price swaps (swaptions) at a weighted average price of $2.93 per MMBtu indexed to NYMEX Henry Hub, which is exercisable on December 22, 2016. If counterparty exercises, the term of the fixed-price swaps would be for the calendar year 2017 and, if all such options are exercised, 20,000 MMBtu per day.

The impact of these commodity derivative instruments appears in sales and other operating revenues in our consolidated statements of income and was a net loss of $2 million and net gain of $26 million in the first quarters of 2016 and 2015, respectively.