Derivatives

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives

(10) Derivatives

Interest Rate Swaps

The components of the unrealized gain 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,
	2022		2021
Change in fair value of interest rate swaps	$	0.1	$	4.7
Tax expense	—		(1.1)
Unrealized gain on designated cash flow hedge	$	0.1	$	3.6

The interest expense, recognized from accumulated other comprehensive loss from the monthly settlement of our interest rate swaps and amortization of the termination payments, included in our consolidated statements of operations were as follows (in millions):

	Three Months Ended March 31,
	2022		2021
Interest expense	$	0.1	$	4.8

We expect to recognize an additional $0.1 million of interest expense out of accumulated other comprehensive loss over the next twelve months.

Commodity Swaps

The components of loss on derivative activity in the consolidated statements of operations related to commodity swaps are (in millions):

	Three Months Ended March 31,
	2022		2021
Change in fair value of derivatives	$	(15.1)	$	(7.9)
Realized loss on derivatives	(16.1)		(75.5)
Loss on derivative activity	$	(31.2)	$	(83.4)

The fair value of derivative assets and liabilities related to commodity swaps are as follows (in millions):

	March 31, 2022		December 31, 2021
Fair value of derivative assets—current	$	68.1	$	22.4
Fair value of derivative assets—long-term	0.1		0.2
Fair value of derivative liabilities—current	(97.2)		(34.9)
Fair value of derivative liabilities—long-term	(0.6)		(2.2)
Net fair value of commodity swaps	$	(29.6)	$	(14.5)

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, 2022 (in millions). The remaining term of the contracts extend no later than July 2023.

		March 31, 2022
Commodity	Instruments	Unit	Volume	Net Fair Value
NGL (short contracts)	Swaps	Gals	(181.4)	$	(29.7)
Natural gas (short contracts)	Swaps	MMbtu	(3.7)	(3.9)
Natural gas (long contracts)	Swaps	MMbtu	2.8	2.9
Crude and condensate (short contracts)	Swaps	MMbbls	(4.7)	(59.3)
Crude and condensate (long contracts)	Swaps	MMbbls	4.0	60.4
Total fair value of commodity swaps				$	(29.6)

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 $68.2 million as of March 31, 2022 would be reduced to $0.7 million due to the offsetting of gross fair value payables against gross fair value receivables as allowed by the ISDAs.