XML 31 R21.htm IDEA: XBRL DOCUMENT v3.21.1
Derivatives
3 Months Ended
Mar. 31, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivatives
(11) Derivatives

Interest Rate Swaps

In April 2019, we entered into $850.0 million of interest rate swaps to manage the interest rate risk associated with our floating-rate, LIBOR-based borrowings. Under this arrangement, we pay a fixed interest rate of 2.28% in exchange for LIBOR-based variable interest through December 2021. There was no ineffectiveness related to this hedge.

In December 2020, in connection with the partial repayment of the Term Loan, we paid $10.9 million to terminate $500.0 million of the $850.0 million interest rate swaps and settled the outstanding derivative liability of $10.9 million. The unrealized loss remains in accumulated other comprehensive loss and will amortize into “Interest expense” on the consolidated statements of operations until the original maturity date of the Term Loan. For the three months ended March 31, 2021, we amortized $2.9 million into interest expense out of accumulated other comprehensive income (loss) related to the termination of
the interest rate swaps. The remaining $350.0 million interest rate swaps were re-designated as a cash flow hedge on LIBOR-based borrowings and continue to be effective.

The components of the gain (loss) on designated cash flow hedge related to changes in the fair value of our interest rate swaps were as follows (in millions):
Three Months Ended
March 31,
20212020
Change in fair value of interest rate swaps$4.7 $(17.1)
Tax benefit (expense)(1.1)4.0 
Gain (loss) on designated cash flow hedge$3.6 $(13.1)

The interest expense, recognized from accumulated other comprehensive loss from the monthly settlement of our interest rate swaps and amortization of the termination payment, included in our consolidated statements of operations were as follows (in millions):
Three Months Ended
March 31,
20212020
Interest expense$4.8 $1.3 

We expect to recognize an additional $13.5 million of interest expense out of accumulated other comprehensive loss over the next twelve months.

The fair value of our interest rate swaps included in our consolidated balance sheets were as follows (in millions):
March 31, 2021December 31, 2020
Fair value of derivative liabilities—current$(5.7)$(7.6)

Commodity Swaps

The components of gain (loss) on derivative activity in the consolidated statements of operations related to commodity swaps are (in millions):
Three Months Ended
March 31,
20212020
Change in fair value of derivatives$(7.9)$13.0 
Realized gain (loss) on derivatives(75.5)6.2 
Gain (loss) on derivative activity$(83.4)$19.2 

The fair value of derivative assets and liabilities related to commodity swaps are as follows (in millions):
March 31, 2021December 31, 2020
Fair value of derivative assets—current$40.2 $25.0 
Fair value of derivative assets—long-term3.4 4.9 
Fair value of derivative liabilities—current(53.6)(29.5)
Fair value of derivative liabilities—long-term— (2.5)
Net fair value of commodity swaps$(10.0)$(2.1)
Set forth below are the summarized notional volumes and fair values of all instruments related to commodity swaps that we held for price risk management purposes and the related physical offsets at March 31, 2021 (in millions). The remaining term of the contracts extend no later than December 2022.
March 31, 2021
CommodityInstrumentsUnitVolumeNet Fair Value
NGL (short contracts)SwapsGallons(204.2)$(18.1)
NGL (long contracts)SwapsGallons30.2 (0.1)
Natural gas (short contracts)SwapsMMbtu(10.8)(0.3)
Natural gas (long contracts)SwapsMMbtu3.9 0.7 
Crude and condensate (short contracts)SwapsMMbbls(9.5)(17.6)
Crude and condensate (long contracts)SwapsMMbbls4.3 25.4 
Total fair value of commodity swaps$(10.0)
On all transactions where we are exposed to counterparty risk, we analyze the counterparty’s financial condition prior to entering into an agreement, establish limits, and monitor the appropriateness of these limits on an ongoing basis. We primarily deal with financial institutions when entering into financial derivatives on commodities. We have entered into Master ISDAs that allow for netting of swap contract receivables and payables in the event of default by either party. If our counterparties failed to perform under existing commodity swap contracts, the maximum loss on our gross receivable position of $43.6 million as of March 31, 2021 would be reduced to $7.5 million due to the offsetting of gross fair value payables against gross fair value receivables as allowed by the ISDAs.