Derivative Financial Instruments

9 Months Ended

Sep. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

At September 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 September 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 September 30, 2020.

The following is a summary of the Company’s open costless collar contracts for oil and natural gas at September 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	10/01/2020 - 12/31/2020	879,000	$	48.03	$	66.05	$	6,752
Oil	01/01/2021 - 12/31/2021	4,200,000	$	36.07	$	47.33	(1,128)
Natural Gas	11/01/2020 - 12/31/2020	7,200,000	$	2.45	$	3.82	393
Natural Gas	01/01/2021 - 03/31/2021	36,600,000	$	2.44	$	3.71	(1,684)
Total open costless collar contracts							$	4,333

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


Commodity	Calculation Period	Notional Quantity (Bbl)	Fixed Price ($/Bbl)		Fair Value of Asset (Liability) (thousands)
Oil	10/01/2020 - 12/31/2020	2,160,000	$	35.00	$	(12,061)
Oil	01/01/2021 - 12/31/2021	2,040,000	$	35.26	(14,663)
Total open swap contracts					$	(26,724)

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


Commodity	Calculation Period	Notional Quantity (Bbl)	Fixed Price ($/Bbl)		Fair Value of Asset (Liability) (thousands)
Oil Basis	10/01/2020 - 12/31/2020	2,448,000	$	0.61	$	1,373
Oil Basis	01/01/2021 - 12/31/2021	8,400,000	$	0.87	5,341
Oil Basis	01/01/2022 - 12/31/2022	5,520,000	$	0.95	2,525
Total open basis swap contracts					$	9,239

At September 30, 2020, the aggregate liability value for the Company’s open derivative financial instruments was $13.2 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 September 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
September 30, 2020
Current assets	$	344,150	$	(338,541)	$	5,609
Other assets	227,685		(224,055)		3,630
Current liabilities	(355,669)		338,541		(17,128)
Long-term liabilities	(229,318)		224,055		(5,263)
Total	$	(13,152)	$	—	$	(13,152)
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 September 30,				Nine Months Ended September 30,
Type of Instrument	Location in Condensed Consolidated Statement of Operations	2020		2019		2020		2019
Derivative Instrument
Oil	Revenues: Realized (loss) gain on derivatives	$	(5,406)	$	2,856	$	49,571	$	7,387
Natural Gas	Revenues: Realized gain on derivatives	—		490		—		394

Realized (loss) gain on derivatives		(5,406)		3,346		49,571		7,781
Oil	Revenues: Unrealized (loss) gain on derivatives	(9,843)		10,379		(7,980)		(29,699)
Natural Gas	Revenues: Unrealized loss on derivatives	(3,190)		(532)		(1,291)		(16)

Unrealized (loss) gain on derivatives		(13,033)		9,847		(9,271)		(29,715)
Total		$	(18,439)	$	13,193	$	40,300	$	(21,934)