Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.21.2
Derivative Instruments (Tables)
9 Months Ended
Sep. 30, 2021
Schedule of outstanding commodity derivatives

Weighted

Average

Commodity / Settlement Period

 

Index

 

Contracted Volume

 

Price

   

Natural Gas

October-December 2021

Henry Hub

2,160,000

MMBtu/day

$

2.78

/MMBtu

January-December 2022

Henry Hub

1,155,486

MMBtu/day

2.50

/MMBtu

January-December 2023

Henry Hub

43,000

MMBtu/day

2.37

/MMBtu

Butane

October-December 2021

Mont Belvieu Butane-OPIS Non-TET

2,600

Bbl/day

$

33.77

/Bbl

October-December 2021

Mont Belvieu Butane-OPIS TET

1,500

Bbl/day

$

32.24

/Bbl

Natural Gasoline

October-December 2021

Mont Belvieu Natural Gasoline-OPIS Non-TET

8,300

Bbl/day

$

49.70

/Bbl

Isobutane

October-December 2021

Mont Belvieu Isobutane-OPIS Non-TET

2,800

Bbl/day

$

35.75

/Bbl

Oil

October-December 2021

West Texas Intermediate

3,000

Bbl/day

$

55.16

/Bbl

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

Weighted Average

Commodity / Settlement Period

Index to Basis Differential

 

Contracted Volume

 

Hedged Differential

Natural Gas

October-December 2021

NYMEX to TCO

40,000

MMBtu/day

$

0.414

/MMBtu

January-December 2022

NYMEX to TCO

60,000

MMBtu/day

0.515

/MMBtu

January-December 2023

NYMEX to TCO

50,000

MMBtu/day

0.525

/MMBtu

January-December 2024

NYMEX to TCO

50,000

MMBtu/day

0.530

/MMBtu

natural gas and NGL contracts that fix the Mont Belvieu index price for natural gasoline to percentages of WTI

Weighted Average

Commodity / Settlement Period

 

Index to Basis Differential

 

Contracted Volume

 

Payout Ratio

Gas Liquids

October-December 2021

Mont Belvieu Natural Gasoline to WTI

9,325

Bbl/day

77

%

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

Balance Sheet

December 31,

September 30,

   

Location

   

2020

2021

Asset derivatives not designated as hedges for accounting purposes:

Commodity derivatives—current

Derivative instruments

$

97,144

Embedded derivatives—current

Derivative instruments

7,986

627

Commodity derivatives—noncurrent

Derivative instruments

14,689

Embedded derivatives—noncurrent

Derivative instruments

32,604

14,834

Total asset derivatives

152,423

15,461

Liability derivatives not designated as hedges for accounting purposes:

Commodity derivatives—current (1)

Derivative instruments

31,242

1,436,292

Commodity derivatives—noncurrent (1)

Derivative instruments

99,172

331,570

Total liability derivatives

130,414

1,767,862

Net derivatives assets (liabilities)

$

22,009

(1,752,401)

(1) As of September 30, 2021, approximately $87 million of commodity derivative liabilities, including $53 million of current commodity derivatives and $34 million of noncurrent commodity derivatives, are attributable to the Company’s consolidated VIE, Martica. As of December 31, 2020, approximately $14 million of commodity derivative liabilities, including $7 million of current commodity derivatives and $7 million of noncurrent commodity derivatives, are attributable to the Company’s 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 condensed consolidated balance sheets as of the dates presented, all at fair value (in thousands):

December 31, 2020

September 30, 2021

Net Amounts of

Net Amounts of

Gross

Gross Amounts

Assets

Gross

Gross Amounts

Assets

Amounts on

Offset on

(Liabilities) on

Amounts on

Offset on

(Liabilities) on

   

Balance Sheet

   

Balance Sheet

   

Balance Sheet

   

Balance Sheet

   

Balance Sheet

   

Balance Sheet

 

Commodity derivative assets

$

181,375

(69,542)

111,833

$

18,246

(18,246)

Embedded derivative assets

$

40,590

40,590

$

15,461

15,461

Commodity derivative liabilities

$

(199,956)

69,542

(130,414)

$

(1,786,108)

18,246

(1,767,862)

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, 2020 and 2021 (in thousands):

Statement of

Operations

Three Months Ended September 30,

Nine Months Ended September 30,

   

Location

2020

2021

2020

2021

Commodity derivative fair value losses (1)

Revenue

$

(558,979)

(1,238,384)

$

(161,161)

(2,228,076)

Embedded derivative fair value gains (losses) (1)

Revenue

$

44,228

(12,082)

$

44,228

(31,986)

(1) The fair value of derivative instruments was determined using Level 2 inputs.
VIE, Martica  
Schedule of outstanding commodity derivatives

Weighted

Average

Commodity / Settlement Period

 

Index

 

Contracted Volume

 

Price

Natural Gas

October-December 2021

Henry Hub

46,384

MMBtu/day

$

2.77

/MMBtu

   

January-December 2022

Henry Hub

38,356

MMBtu/day

2.39

/MMBtu

January-December 2023

Henry Hub

35,616

MMBtu/day

2.35

/MMBtu

January-December 2024

Henry Hub

23,885

MMBtu/day

2.33

/MMBtu

January-March 2025

Henry Hub

18,021

MMBtu/day

2.53

/MMBtu

Ethane

October-December 2021

Mont Belvieu Purity Ethane-OPIS

990

Bbl/day

$

7.01

/Bbl

January-March 2022

Mont Belvieu Purity Ethane-OPIS

521

Bbl/day

6.68

/Bbl

Propane

October-December 2021

Mont Belvieu Propane-OPIS Non-TET

1,069

Bbl/day

$

19.88

/Bbl

January-December 2022

Mont Belvieu Propane-OPIS Non-TET

934

Bbl/day

19.20

/Bbl

Natural Gasoline

October-December 2021

Mont Belvieu Natural Gasoline-OPIS Non-TET

339

Bbl/day

$

35.24

/Bbl

January-December 2022

Mont Belvieu Natural Gasoline-OPIS Non-TET

282

Bbl/day

34.37

/Bbl

January-December 2023

Mont Belvieu Natural Gasoline-OPIS Non-TET

247

Bbl/day

40.74

/Bbl

Oil

October-December 2021

West Texas Intermediate

111

Bbl/day

$

43.48

/Bbl

January-December 2022

West Texas Intermediate

112

Bbl/day

44.25

/Bbl

January-December 2023

West Texas Intermediate

99

Bbl/day

45.03

/Bbl

January-December 2024

West Texas Intermediate

43

Bbl/day

44.02

/Bbl

January-March 2025

West Texas Intermediate

39

Bbl/day

45.06

/Bbl