DERIVATIVE FINANCIAL INSTRUMENTS (Tables)

3 Months Ended

Mar. 31, 2020

DERIVATIVE FINANCIAL INSTRUMENTS

Summary of commodity derivative positions

Oil Swaps - WTI (1)
Year	Volumes (Bbl)	Weighted Average Price per Bbl
2020	1,485,000	$	53.27
2021	2,196,000	$	49.01

Oil Collars - WTI
Year	Volumes (Bbl)		Weighted Average Price per Bbl - Floor		Weighted Average Price per Bbl - Ceiling
2020	453,000	$	55.19	$	62.08
2021	216,000	$	45.00	$	65.00
2022	228,000	$	40.00	$	66.00
2023	160,000	$	40.00	$	63.10

Oil Three-Way Collars - WTI
Year	Volumes (Bbl)		Weighted Average Price per Bbl - Floor Sold		Weighted Average Price per Bbl - Floor Purchased		Weighted Average Price per Bbl - Ceiling
2020	243,000	$	34.63	$	50.37	$	59.38
2021	300,000	$	35.00	$	50.00	$	57.50
2022	300,000	$	35.00	$	50.00	$	56.90

Propane Calls Sold - OPIS Propane Mont Belvieu - TET(2)
Year	Volumes (Bbl)		Weighted Average Price per Bbl
2020	190,000	$	0.70

Oil Basis Swaps - WTI-HOU (3)
Year	Volumes (Bbl)		Weighted Average Differential per Bbl
2020	540,000	$	2.98
2021	120,000	$	2.53

Natural Gas Swaps	Price Swaps - HH(4)			Price Swaps - HSC(5)
Year	Volumes (MMBtu)		Weighted Average Price per MMBtu	Volumes (MMBtu)		Weighted Average Price per MMBtu
2020	900,000	$	2.68	90,000	$	2.53
2021	1,050,000	$	2.69	240,000	$	2.50
2022	720,000	$	2.76	360,000	$	2.54
2023				240,000	$	2.64

Natural Gas Collars  - HH
Year	Volumes (MMBtu)		Weighted Average Price per MMBtu - Floor		Weighted Average Price per MMBtu - Ceiling
2020	60,000	$	2.50	$	2.95

HSC
Year	Volumes (MMBtu)		Weighted Average Price per MMBtu - Floor		Weighted Average Price per MMBtu - Ceiling
2020	48,000	$	2.60	$	2.91

Subsequent to March 31, 2020, the Company entered into the following commodity derivative positions:

Natural Gas Swaps	Price Swaps -HH
Year	Volumes (MMBtu)		Weighted Average Price per MMBtu
2021	600,000	$	2.67

The following is a list of index prices:

(1) WTI crude oil as quoted on NYMEX.

(2)Mont Belvieu – Texas Eastern Transmission (“TET”) propane as quoted by Oil Price Information Service (“OPIS”). 

(3)WTI Houston Argus (“WTI-HOU”) crude oil as quoted by Argus US Pipeline.

(4)Henry Hub (“HH”) natural gas as quoted on the NYMEX.

(5)Houston Ship Channel (“HSC”) natural gas as quoted in Platt’s Inside FERC.

Summary of interest rate swaps

Interest Rate Derivatives

The Company utilizes interest rate swaps to mitigate exposure to changes in market interest rates on the Company’s variable-rate indebtedness.  A summary of the Company’s interest rate swaps as of March 31, 2020 follows (notional amount in thousands):

Interest Rate Swaps
						Portion of
Term						Term Loan
Effective Date	Termination Date	Notional Amount		Fixed LIBOR Rate (1)		Face Amount
June 11, 2019	June 11, 2020	$	187,500	3.016	%	75	%
June 11, 2020	June 11, 2021	$	125,000	3.072	%	50	%
June 11, 2021	June 11, 2022	$	125,000	3.061	%	50	%
June 13, 2022	April 23, 2023	$	125,000	3.042	%	50	%

(1) Each contract has a 1% LIBOR floor, consistent with the structure of the Term Loan. 

Summary of derivative instruments offset in the consolidated balance sheets

The Company nets its financial derivative instrument fair value amounts executed with the same counterparty pursuant to ISDA master agreements, which provide for net settlement over the term of the contract and in the event of default or termination of the contract.  The following tables summarize the location and fair value amounts of all the Company’s derivative instruments in the consolidated balance sheets, as well as the gross recognized derivative assets, liabilities and amounts offset in the consolidated balance sheets (in thousands):

		March 31, 2020
		Gross		Gross		Net Recognized
		Recognized		Amounts		Fair Value
Not Designated as ASC 815 Hedges	Balance Sheet Classification	Assets/Liabilities		Offset		Assets/Liabilities
DERIVATIVE ASSETS:
Current:
Derivative financial instruments — commodity contracts	Derivative assets	$	63,643	$	(3,284)	$	60,359
Derivative financial instruments — interest rate swaps	Derivative assets		726		(726)		—
Long-term:
Derivative financial instruments — commodity contracts	Derivative assets		32,933		(4,290)		28,643
Derivative financial instruments — interest rate swaps	Derivative assets		1,946		(1,946)		—
Total derivative assets			99,248				89,002
DERIVATIVE LIABILITIES:
Current:
Derivative financial instruments — commodity contracts	Derivative liabilities		3,318		(3,284)		34
Derivative financial instruments — interest rate swaps	Derivative liabilities		3,767		(726)		3,041
Total current derivative liabilities			7,085				3,075
Long-term:
Derivative financial instruments — commodity contracts	Derivative liabilities		4,290		(4,290)		—
Derivative financial instruments — interest rate swaps	Derivative liabilities		6,970		(1,946)		5,024
Total long-term derivative liabilities			11,260				5,024
Total derivative liabilities			18,345				8,099
		$	80,903			$	80,903

		December 31, 2019
		Gross		Gross		Net Recognized
		Recognized		Amounts		Fair Value
Not Designated as ASC 815 Hedges	Balance Sheet Classification	Assets/Liabilities		Offset		Assets/Liabilities
DERIVATIVE ASSETS:
Current:
Derivative financial instruments — commodity contracts	Derivative assets	$	2,863	$	(1,648)	$	1,215
Derivative financial instruments — interest rate swaps	Derivative assets		8		(8)		—
Long-term:
Derivative financial instruments — commodity contracts	Derivative assets		2,637		(1,759)		878
Derivative financial instruments — interest rate swaps	Derivative assets		377		(377)		—
Total derivative assets			5,885				2,093
DERIVATIVE LIABILITIES:
Current:
Derivative financial instruments — commodity contracts	Derivative liabilities		3,946		(1,648)		2,298
Derivative financial instruments — interest rate swaps	Derivative liabilities		2,104		(8)		2,096
Total current derivative liabilities			6,050				4,394
Long-term:
Derivative financial instruments — commodity contracts	Derivative liabilities		1,761		(1,759)		2
Derivative financial instruments — interest rate swaps	Derivative liabilities		4,044		(377)		3,667
Total long-term derivative liabilities			5,805				3,669
Total derivative liabilities			11,855				8,063
		$	(5,970)			$	(5,970)

Summary of derivative instruments in statement of operations

		Gain (Loss) Recognized in Income Three Months Ended March 31,
Not designated as ASC 815 Hedges	Statement of Operations Classification	2020		2019
Commodity contracts	Gain (loss) on commodity derivative financial instruments		95,863		(33,343)
Interest rate swap	Interest expense		(2,836)		(1,620)
		$	93,027	$	(34,963)