Derivatives and Risk Management (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments Notional Amount, Weighted Average Contract Prices and Fair Value

The following tables provide information about the Company’s financial instruments that are sensitive to changes in commodity prices and that are used to protect the Company’s exposure. None of the financial instruments below are designated for hedge accounting treatment.  The tables present the notional amount, the weighted average contract prices and the fair value by expected maturity dates as of June 30, 2020:

Financial Protection on Production
		Weighted Average Price per MMBtu
	Volume (Bcf)	Swaps		Sold Puts		Purchased Puts		Sold Calls		Basis Differential		Fair Value at June 30, 2020 (in millions)
Natural Gas
2020
Fixed price swaps	218	$	2.39	$	—	$	—	$	—	$	—	$	142	(1)
Two-way costless collars	44	—		—		2.12		2.34		—		1
Three-way costless collars	59	—		2.18		2.57		2.96		—		—
Total	321											$	143
2021
Fixed price swaps	36	$	2.53	$	—	$	—	$	—	$	—	$	1
Two-way costless collars	55	—		—		2.34		2.76		—		(5)
Three-way costless collars	306	—		2.16		2.49		2.85		—		(44)
Total	397											$	(48)
2022
Two-way costless collars	29	$	—	$	—	$	2.10	$	2.83	$	—	$	(1)
Three-way costless collars	99	—		2.08		2.45		2.85		—		(8)
Total	128											$	(9)
2023
Three-way costless collars	9	$	—	$	2.16	$	2.59	$	3.36	$	—	$	—
Basis Swaps
2020	145	$	—	$	—	$	—	$	—	$	(0.44)	$	(11)
2021	150	—		—		—		—		(0.14)		10
2022	122	—		—		—		—		(0.46)		(7)
Total	417											$	(8)

(1)Includes $5 million in premiums paid related to certain natural gas fixed price swaps recognized as a component of derivative assets within current assets on the consolidated balance sheet at June 30, 2020. As certain natural gas fixed price swaps settle, the premium will be amortized and recognized as a component of gain (loss) on derivatives on the consolidated statements of operations.

	Volume (MBbls)	Weighted Average Strike Price per Bbl								Fair Value at June 30, 2020 (in millions)
		Swaps		Sold Puts		Purchased Puts		Sold Calls
Oil
2020
Fixed price swaps (1)	1,107	$	72.54	$	—	$	—	$	—	$	36
Two-way costless collars	502	—		—		56.83		59.78		9
Three-way costless collars	895	—		43.54		52.57		57.55		6
Total	2,504									$	51
2021
Fixed price swaps	2,328	$	53.72	$	—	$	—	$	—	$	31
Three-way costless collars	1,445	—		43.52		53.25		58.14		8
Total	3,773									$	39
2022
Fixed price swaps	438	$	51.74	$	—	$	—	$	—	$	4
Three-way costless collars	666	—		42.50		53.20		58.00		3
Total	1,104									$	7
Ethane
2020
Fixed price swaps	5,230	$	8.61	$	—	$	—	$	—	$	4
2021
Fixed price swaps	5,889	$	7.12	$	—	$	—	$	—	$	(3)
2022
Fixed price swaps	136	$	7.35	$	—	$	—	$	—	$	—
Propane
2020
Fixed price swaps	2,748	$	23.01	$	—	$	—	$	—	$	10
Two-way costless collars	184	—		—		25.20		29.40		1
Total	2,932									$	11
2021
Fixed price swaps	4,298	$	19.99	$	—	$	—	$	—	$	6
2022
Fixed price swaps	105	$	19.43	$	—	$	—	$	—	$	—

(1)Includes 790 MBbls of purchased fixed price oil swaps at $36.64 per barrel with a fair value of $2 million and 1,897 MBbls of sold fixed price oil swaps at $57.60 per barrel with a fair value of $34 million.

Other Derivative Contracts
	Volume (Bcf)	Weighted Average Strike Price per MMBtu		Fair Value at June 30, 2020 (in millions)
Call Options – Natural Gas (Net)
2020	17	$	3.03	$	(1)
2021	57	3.15		(9)
2022	58	3.00		(9)
2023	17	2.84		(3)
2024	9	3.00		(2)
Total	158			$	(24)

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	Volume (MBbls)	Weighted Average Strike Price per Bbl		Fair Value at June 30, 2020 (in millions)
Call Options – Oil
2021	226	$	60.00	$	—

	Volume (Bcf)	Weighted Average Strike Price per MMBtu				Fair Value at June 30, 2020 (in millions)
		Swaps		Basis Differential
Storage (1)
2020
Purchased fixed price swaps	2	$	2.00	$	—	$	(1)
Purchased basis swaps	1	—		(0.58)		—
Sold fixed price swaps	2	1.99		—		1
Sold basis swaps	1	—		(0.51)		—
Total	6					$	—
2021
Purchased fixed price swaps	1	$	2.04	$	—	$	—
Sold fixed price swaps	2	2.49		—		—
Sold basis swaps	1	—		(0.38)		—
Total	4					$	—

(1)The Company has entered into certain derivatives to protect the value of volumes of natural gas injected into a storage facility that will be withdrawn and sold at a later date.

Purchased Fixed Price Swaps – Marketing (Natural Gas) (1)	Volume (Bcf)	Weighted Average Strike Price per MMBtu		Fair Value at June 30, 2020 (in millions)
2020	5	$	2.35	$	(2)
2021	6	2.44		1
Total	11			$	(1)

(1)The Company has entered into a limited number of derivatives to protect the value of certain long-term sales contracts.

Balance Sheet Classification of Derivative Financial Instruments

The balance sheet classification of the assets and liabilities related to derivative financial instruments (none of which are designated for hedge accounting treatment) is summarized below as of June 30, 2020 and December 31, 2019:

Derivative Assets
		Fair Value
(in millions)	Balance Sheet Classification	June 30, 2020			December 31, 2019
Derivatives not designated as hedging instruments:
Purchased fixed price swaps – natural gas	Derivative assets	$	1		$	—
Purchased fixed price swaps – oil	Derivative assets	4			—
Fixed price swaps – natural gas	Derivative assets	144		(1)	77		(1)
Fixed price swaps – oil	Derivative assets	48			4
Fixed price swaps – ethane	Derivative assets	5			11
Fixed price swaps – propane	Derivative assets	14			21
Two-way costless collars – natural gas	Derivative assets	16			10
Two-way costless collars – oil	Derivative assets	13			5
Two-way costless collars – propane	Derivative assets	1			2
Three-way costless collars – natural gas	Derivative assets	175			126
Three-way costless collars – oil	Derivative assets	24			3
Basis swaps – natural gas	Derivative assets	15			17
Purchased call options – natural gas	Derivative assets	5			1
Fixed price swaps – natural gas storage	Derivative assets	1			1
Fixed price swaps – natural gas	Other long-term assets	—			7
Fixed price swaps – oil	Other long-term assets	21			1
Fixed price swaps – propane	Other long-term assets	5			3
Two-way costless collars – natural gas	Other long-term assets	10			4
Three-way costless collars – natural gas	Other long-term assets	71			74
Three-way costless collars – oil	Other long-term assets	21			7
Basis swaps – natural gas	Other long-term assets	8			15
Purchased call options – natural gas	Other long-term assets	2			2
Total derivative assets		$	604		$	391

(1) Includes $5 million and $9 million at June 30, 2020 and December 31, 2019, respectively, in premiums paid related to certain natural gas fixed price swaps recognized as a component of derivative assets within current assets on the consolidated balance sheet. As certain natural gas fixed price swaps settle, the premium will be amortized and recognized as a component of gain (loss) on derivatives on the consolidated statements of operations.

Derivative Liabilities
		Fair Value
(in millions)	Balance Sheet Classification	June 30, 2020		December 31, 2019
Derivatives not designated as hedging instruments:
Purchased fixed price swaps – natural gas	Derivative liabilities	$	2	$	1
Purchased fixed price swaps – oil	Derivative liabilities	2		—
Fixed price swaps – natural gas	Derivative liabilities	—		1
Fixed price swaps – oil	Derivative liabilities	—		6
Fixed price swaps – ethane	Derivative liabilities	3		—
Fixed price swaps – propane	Derivative liabilities	2		—
Two-way costless collars – natural gas	Derivative liabilities	18		4
Two-way costless collars – oil	Derivative liabilities	4		5
Three-way costless collars – natural gas	Derivative liabilities	206		84
Three-way costless collars – oil	Derivative liabilities	13		4
Basis swaps – natural gas	Derivative liabilities	19		17
Sold call options – natural gas	Derivative liabilities	12		3
Purchased fixed price swaps – natural gas storage	Derivative liabilities	1		—
Fixed price swaps – natural gas	Other long-term liabilities	1		—
Fixed price swaps – oil	Other long-term liabilities	—		2
Fixed price swaps – ethane	Other long-term liabilities	1		—
Fixed price swaps – propane	Other long-term liabilities	1		—
Two-way costless collars – natural gas	Other long-term liabilities	13		4
Three-way costless collars – natural gas	Other long-term liabilities	92		72
Three-way costless collars – oil	Other long-term liabilities	15		8
Basis swap – natural gas	Other long-term liabilities	12		9
Sold call options – natural gas	Other long-term liabilities	19		15
Sold call options – oil	Other long-term liabilities	—		1
Total derivative liabilities		$	436	$	236

Summary of Before Tax Effect of Fair Value Hedges not Designated for Hedge Accounting

The following tables summarize the before-tax effect of the Company’s derivative instruments on the consolidated statements of operations for the three and six months ended June 30, 2020 and 2019:

Unsettled Gain (Loss) on Derivatives Recognized in Earnings
Derivative Instrument	Consolidated Statement of Operations Classification of Gain (Loss) on Derivatives, Unsettled	For the three months ended June 30,					For the six months ended June 30,
		2020			2019		2020			2019
		(in millions)
Purchased fixed price swaps – natural gas	Gain (Loss) on Derivatives	$	1		$	—	$	—		$	—
Purchased fixed price swaps – oil	Gain (Loss) on Derivatives	7			1		2			5
Fixed price swaps – natural gas	Gain (Loss) on Derivatives	(39)			57		64			55
Fixed price swaps – oil	Gain (Loss) on Derivatives	(46)			5		72			(8)
Fixed price swaps – ethane	Gain (Loss) on Derivatives	(22)			—		(10)			7
Fixed price swaps – propane	Gain (Loss) on Derivatives	(44)			13		(8)			9
Two-way costless collars – natural gas	Gain (Loss) on Derivatives	(7)			10		(11)			9
Two-way costless collars – oil	Gain (Loss) on Derivatives	(10)			4		9			(3)
Two-way costless collars – propane	Gain (Loss) on Derivatives	(3)			2		(1)			2
Three-way costless collars – natural gas	Gain (Loss) on Derivatives	(45)			22		(96)			24
Three-way costless collars – oil	Gain (Loss) on Derivatives	(6)			1		19			1
Basis swaps – natural gas	Gain (Loss) on Derivatives	(13)			4		(14)			(6)
Purchased call options – natural gas	Gain (Loss) on Derivatives	3			(2)		4			(2)
Sold call options – natural gas	Gain (Loss) on Derivatives	(7)			4		(13)			6
Sold call options – oil	Gain (Loss) on Derivatives	—			—		1			—
Purchased fixed price swap – natural gas storage	Gain (Loss) on Derivatives	—			—		(1)			—
Fixed price swap – natural gas storage	Gain (Loss) on Derivatives	1			(1)		—			(1)
Interest rate swaps	Gain (Loss) on Derivatives	1			(2)		—			(2)
Total gain (loss) on unsettled derivatives		$	(229)		$	118	$	17		$	96
Settled Gain (Loss) on Derivatives Recognized in Earnings (1)
Derivative Instrument	Consolidated Statement of Operations Classification of Gain (Loss) on Derivatives, Settled	For the three months ended June 30,					For the six months ended June 30,
		2020			2019		2020			2019
		(in millions)
Purchased fixed price swaps – natural gas	Gain (Loss) on Derivatives	$	(1)		$	—	$	(2)		$	—
Purchased fixed price swaps – oil	Gain (Loss) on Derivatives	(4)			(1)		(4)			(2)
Purchased fixed price swaps – ethane	Gain (Loss) on Derivatives	1			—		1			—
Fixed price swaps – natural gas	Gain (Loss) on Derivatives	84		(2)	14		89		(2)	8
Fixed price swaps – oil	Gain (Loss) on Derivatives	22			2		31			4
Fixed price swaps – ethane	Gain (Loss) on Derivatives	1			5		7			6
Fixed price swaps – propane	Gain (Loss) on Derivatives	7			7		17			9
Two-way costless collars – natural gas	Gain (Loss) on Derivatives	—			3		6			2
Two-way costless collars – oil	Gain (Loss) on Derivatives	6			1		9			2
Two-way costless collars – propane	Gain (Loss) on Derivatives	1			—		2			—
Three-way costless collars – natural gas	Gain (Loss) on Derivatives	7			8		43			4
Three-way costless collars – oil	Gain (Loss) on Derivatives	3			—		4			—
Basis swaps – natural gas	Gain (Loss) on Derivatives	(7)			(4)		9			(8)
Sold call options – natural gas	Gain (Loss) on Derivatives	—			(1)		—			(1)
Fixed price swaps – natural gas storage	Gain (Loss) on Derivatives	—			—		1			—
Total gain on settled derivatives		$	120		$	34	$	213		$	24
Total gain (loss) on derivatives		$	(109)		$	152	$	230		$	120

(1)The Company calculates gain (loss) on derivatives, settled, as the summation of gains and losses on positions that settled within the period.

(2)Includes $4 million amortization of premiums paid related to certain natural gas fixed price options for the three and six months ended June 30, 2020, which is included in gain (loss) on derivatives on the consolidated statements of operations.