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Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Schedule of outstanding commodity derivatives


		Natural Gas		Weighted
	Natural gas	Liquids	Oil	average index
	MMBtu/day	Bbls/day	Bbls/day	price
Three months ending December 31, 2020:
NYMEX ($/MMBtu)	2,067,500	—	—	$	2.84
ARA Propane ($/Gal)	—	10,315	—		0.65
OPIS Ethane Mt Belv ($/Gal)	—	24,500	—		0.20
NYMEX-WTI ($/Bbl)	—	—	26,000		55.63
Total	2,067,500	34,815	26,000
Three months ending March 31, 2021
OPIS Ethane Mt Belv ($/Gal)		19,000		$	0.20
Year ending December 31, 2021:
NYMEX ($/MMBtu)	2,160,000		—	$	2.77
NYMEX-WTI ($/Bbl)	—		3,000		55.16
Total	2,160,000		3,000
Year ending December 31, 2022:
NYMEX ($/MMBtu)	905,897			$	2.43
Year ending December 31, 2023:
NYMEX ($/MMBtu)	43,000			$	2.37

Schedule of natural gas basis swap positions which settle on pricing index to basis differential of NYMEX to TCO


		Weighted
	Natural gas	average hedged
	MMBtu/day	differential
Three months ending December 31, 2020:
NYMEX to TCO ($/MMBtu)	15,123	$	0.353
Year ending December 31, 2021:
NYMEX to TCO ($/MMBtu)	40,000	$	0.414
Year ending December 31, 2022:
NYMEX to TCO ($/MMBtu)	60,000	$	0.515
Year ending December 31, 2023:
NYMEX to TCO ($/MMBtu)	50,000	$	0.525
Year ending December 31, 2024:
NYMEX to TCO ($/MMBtu)	50,000	$	0.530

Schedule of commodity derivatives basis differential positions which settle on the pricing index to basis differential of Columbia Gas (TCO) to the NYMEX Henry Hub natural gas price.


		Weighted
	Gas	average
	Liquids	Payout
	Bbls/day	Ratio
Year ending December 31, 2021:
Mont Belvieu Natural Gasoline to NYMEX-WTI	14,150	78	%

Summary of the fair values of derivative instruments, which are not designated as hedges for accounting purposes


	December 31, 2019			September 30, 2020
	Balance sheet	Fair value		Balance sheet	Fair value
	location	(In thousands)		location	(In thousands)
Asset derivatives not designated as hedges for accounting purposes:
Commodity derivatives—current ⁽¹⁾	Derivative instruments	$	422,849	Derivative instruments	$	75,776
Embedded derivatives—current	Derivative instruments		—	Derivative instruments		7,281
Commodity derivatives—noncurrent ⁽¹⁾	Derivative instruments		333,174	Derivative instruments		6,998
Embedded derivatives—noncurrent	Derivative instruments		—	Derivative instruments		37,072

Total asset derivatives			756,023			127,127

Liability derivatives not designated as hedges for accounting purposes:
Commodity derivatives—current	Derivative instruments		6,721	Derivative instruments		107,933
Commodity derivatives—noncurrent	Derivative instruments		3,519	Derivative instruments		149,222

Total liability derivatives			10,240			257,155

Net derivatives assets (liabilities)		$	745,783		$	(130,028)

(1)	Approximately $16 million of commodity derivative liabilities, including $8 million of current commodity derivatives and $8 million of noncurrent commodity derivatives, are attributable to our consolidated VIE, Martica.

Schedule of gross amounts of recognized derivative assets and liabilities, the amounts offset under netting arrangements with counterparties, and the resulting net amounts

The following table presents the gross values of recognized derivative assets and liabilities, the amounts offset under master netting arrangements with counterparties, and the resulting net amounts presented in the consolidated balance sheets as of the dates presented, all at fair value (in thousands):


	December 31, 2019						September 30, 2020
	Gross		Gross amounts		Net amounts of		Gross		Gross amounts		Net amounts of
	amounts on		offset on		assets (liabilities)		amounts on		offset on		assets (liabilities)
	balance sheet		balance sheet		on balance sheet		balance sheet		balance sheet		on balance sheet
Commodity derivative assets	$	882,817		(126,794)		756,023	$	212,335		(129,561)		82,774
Embedded derivative assets	$	—		—		—	$	44,353		—		44,353
Commodity derivative liabilities	$	(137,034)		126,794		(10,240)	$	(386,716)		129,561		(257,155)

Summary of derivative fair value gains (losses)

The following is a summary of derivative fair value gains and losses and where such values are recorded in the unaudited condensed consolidated statements of operations for the three and nine months ended September 30, 2019 and 2020 (in thousands):


	Statement of	Three months ended				Nine months ended
	operations	September 30,				September 30,
	location	2019		2020		2019		2020
Commodity derivative fair value gains (losses)	Revenue	$	220,788		(558,979)	$	471,847		(161,161)
Embedded derivative fair value gains (losses)	Revenue	$	—		44,228	$	—		44,228

VIE, Martica

Schedule of outstanding commodity derivatives


		Natural Gas		Weighted
	Natural gas	Liquids	Oil	average index
	MMBtu/day	Bbls/day	Bbls/day	price
Three months ending December 31, 2020:
NYMEX ($/MMBtu)	46,495	—	—	$	2.06
OPIS Propane Mt Belv Non-TET	—	982	—		0.49
OPIS Natural Gasoline Mt Belv Non-TET	—	298	—		0.67
OPIS Ethane Mt Belv ($/Gal)	—	633	—		0.20
NYMEX-WTI ($/Bbl)	—	—	128		37.78
Total	46,495	1,913	128
Year ending December 31, 2021:
NYMEX ($/MMBtu)	46,536	—	—	$	2.62
OPIS Propane Mt Belv Non-TET	—	932	—		0.43
OPIS Natural Gasoline Mt Belv Non-TET	—	282	—		0.71
OPIS Ethane Mt Belv ($/Gal)	—	987	—		0.17
NYMEX-WTI ($/Bbl)	—	—	117		39.94
Total	46,536	2,201	117
Three months ending March 31, 2022
OPIS Propane Mt Belv Non-TET	—	379	—	$	0.43
OPIS Natural Gasoline Mt Belv Non-TET	—	115	—		0.72
OPIS Ethane Mt Belv ($/Gal)	—	521	—		0.16
NYMEX-WTI ($/Bbl)	—	—	17		43.85
Total	—	1,015	17
Year ending December 31, 2022:
NYMEX ($/MMBtu)	38,356	—	—	$	2.39
OPIS Natural Gasoline Mt Belv Non-TET	—	254	—		0.83
NYMEX-WTI ($/Bbl)	—	—	66		40.92
Total	38,356	254	66
Year ending December 31, 2023:
NYMEX ($/MMBtu)	35,616	—	—	$	2.35
NYMEX-WTI ($/Bbl)	—	—	52		42.45
Total	35,616	—	52
Year ending December 31, 2024:
NYMEX ($/MMBtu)	23,885		—	$	2.33
NYMEX-WTI ($/Bbl)	—		43		44.02
Total	23,885		43
Three months ending March 31, 2025:
NYMEX ($/MMBtu)	18,021		—	$	2.53
NYMEX-WTI ($/Bbl)	—		39		45.06
Total	18,021		39