Derivative Financial Instruments

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

At June 30, 2020, the Company had various costless collar and swap contracts open and in place to mitigate its exposure to oil and natural gas price volatility, each with a specific term (calculation period), notional quantity (volume hedged) and price floor and ceiling for the collars and fixed price for the swaps. At June 30, 2020, each contract was set to expire at varying times during 2020, 2021 and 2022. The Company had no open contracts associated with natural gas liquids (“NGL”) prices at June 30, 2020.

The following is a summary of the Company’s open costless collar contracts for oil and natural gas at June 30, 2020.


Commodity	Calculation Period	Notional Quantity (Bbl or MMBtu)	Weighted Average Price Floor ($/Bbl or $/MMBtu)		Weighted Average Price Ceiling ($/Bbl or $/MMBtu)		Fair Value of Asset (Liability) (thousands)
Oil	07/01/2020 - 12/31/2020	1,758,000	$	48.03	$	66.05	$	16,271
Oil	01/01/2021 - 12/31/2021	2,400,000	$	35.00	$	45.71	179
Natural Gas	11/01/2020 - 12/31/2020	5,200,000	$	2.51	$	3.82	1,354
Natural Gas	01/01/2021 - 03/31/2021	7,800,000	$	2.51	$	3.82	545
Total open costless collar contracts									$	18,349

The following is a summary of the Company’s open swap contracts for oil at June 30, 2020.


Commodity	Calculation Period	Notional Quantity (Bbl)	Fixed Price ($/Bbl)		Fair Value of Asset (Liability) (thousands)
Oil	07/01/2020 - 12/31/2020	4,320,000	$	35.00	$	(19,652)
Oil	01/01/2021 - 12/31/2021	2,040,000	$	35.26	(10,526)
Total open swap contracts							$	(30,178)

The following is a summary of the Company’s open basis swap contracts for oil at June 30, 2020.


Commodity	Calculation Period	Notional Quantity (Bbl)	Fixed Price ($/Bbl)		Fair Value of Asset (Liability) (thousands)
Oil Basis	07/01/2020 - 12/31/2020	4,896,000	$	0.61	$	2,318
Oil Basis	01/01/2021 - 12/31/2021	8,400,000	$	0.87	5,414
Oil Basis	01/01/2022 - 12/31/2022	5,520,000	$	0.95	3,978
Total open basis swap contracts							$	11,710

At June 30, 2020, the Company had an aggregate liability value for open derivative financial instruments of $0.1 million.

The Company’s derivative financial instruments are subject to master netting arrangements, and the Company’s counterparties allow for cross-commodity master netting provided the settlement dates for the commodities are the same. The Company does not present different types of commodities with the same counterparty on a net basis in its interim unaudited condensed consolidated balance sheets.

The following table presents the gross asset and liability fair values of the Company’s commodity price derivative financial instruments and the location of these balances in the interim unaudited condensed consolidated balance sheets as of June 30, 2020 and December 31, 2019 (in thousands).


Derivative Instruments	Gross amounts recognized		Gross amounts netted in the condensed consolidated balance sheets		Net amounts presented in the condensed consolidated balance sheets
June 30, 2020
Current assets	$	331,474	$	(318,170)	$	13,304
Other assets	298,934		(292,300)		6,634
Current liabilities	(332,243)		318,170		(14,073)
Long-term liabilities	(298,284)		292,300		(5,984)
Total	$	(119)	$	—	$	(119)
December 31, 2019
Current assets	$	442,291	$	(442,291)	$	—
Other assets	280,397		(280,397)		—
Current liabilities	(444,188)		442,291		(1,897)
Long-term liabilities	(282,381)		280,397		(1,984)
Total	$	(3,881)	$	—	$	(3,881)

The following table summarizes the location and aggregate gain (loss) of all derivative financial instruments recorded in the interim unaudited condensed consolidated statements of operations for the periods presented (in thousands). These derivative financial instruments are not designated as hedging instruments.


		Three Months Ended June 30,						Six Months Ended June 30,
Type of Instrument	Location in Condensed Consolidated Statement of Operations	2020		2019		2020		2019
Derivative Instrument
Oil	Revenues: Realized gain on derivatives	$	44,110	$	1,165	$	54,977	$	4,531
Natural Gas	Revenues: Realized loss on derivatives	—		—		—		(96)

Realized gain on derivatives				44,110		1,165		54,977		4,435
Oil	Revenues: Unrealized (loss) gain on derivatives	(134,567)		5,365		1,863		(40,078)
Natural Gas	Revenues: Unrealized gain on derivatives	1,899		792		1,899		516

Unrealized (loss) gain on derivatives				(132,668)		6,157		3,762		(39,562)
Total		$	(88,558)	$	7,322	$	58,739	$	(35,127)