We use commodity-based derivative contracts to manage exposure to commodity price fluctuations. We do not enter into these arrangements for speculative or trading purposes. We utilize commodity swaps, collars, three-way collars or swaptions to (1) reduce the effect of price volatility of the commodities we produce and sell and (2) support our annual capital budget and expenditure plans. The fair value of our derivative contracts, represented by the estimated amount that would be realized upon termination, based on a comparison of the contract price and a reference price, generally the New York Mercantile Exchange (“NYMEX”) for natural gas and crude oil or Mont Belvieu for NGLs, approximated a net loss of $44.9 million at March 31, 2021. These contracts expire monthly through September 2022. The following table sets forth our commodity-based derivative volumes by year as of March 31, 2021, excluding our basis and freight swaps and divestiture contingent consideration which are discussed separately below:

Period

Contract Type

Volume Hedged

Weighted Average Hedge Price

Swap

Sold Put

Floor

Ceiling

Natural Gas ⁽¹⁾

2021

Swaps

550,000 Mmbtu/day

2.76

April – October 2021

Collars

360,000 Mmbtu/day

$ 2.52

$ 3.00

2021

Three-way Collars

240,000 Mmbtu/day

$ 1.99

$ 2.33

$ 2.60

Crude Oil ⁽¹⁾

2021

Swaps

6,165 bbls/day

51.73

January – September 2022

Swaps

1,661 bbls/day

56.70

NGLs (C3-Propane)

April – September 2021

Swaps

4,311 bbls/day

0.70/gallon

April – June 2021

Collars

5,000 bbls/day

0.50/gallon

0.61/gallon

NGLs (NC4-Normal Butane)

April – June 2021

Swaps

2,000 bbls/day

0.82/gallon

NGLs (C5-Natural Gasoline)

April – September 2021

Swaps

3,828 bbls/day

1.05/gallon

Every derivative instrument is required to be recorded on the balance sheet as either an asset or a liability measured at its fair value. We recognize all changes in fair value of these derivatives as earnings in derivative fair value income or loss in the periods in which they occur.

In addition to the swaps, collars and swaptions described above, at March 31, 2021 we had natural gas basis swap contracts which lock in the differential between NYMEX Henry Hub and certain of our physical pricing indices. These contracts settle monthly through December 2024 and include a total volume of 208,300,000 Mmbtu. The fair value of these contracts was a gain of $9.5 million at March 31, 2021.

At March 31, 2021, we also had propane spread swap contracts which lock in the differential between Mont Belvieu and international propane indices. The contracts settle monthly through 2022. The fair value of these contracts was a gain of $472,000 at March 31, 2021.

In connection with our international propane sales, we utilize propane swaps. To further hedge our propane price, at March 31, 2021, we had freight swap contracts on the Baltic Exchange which lock in the freight rate for a specific trade route. These contracts settle monthly and cover 5,000 metric tons per month in second quarter 2021 and 10,000 metric tons for the remainder of 2021. The fair value of these contracts equal to a gain of $125,000 at March 31, 2021.

In addition to the derivatives described above, our right to receive contingent consideration in conjunction with the sale of our North Louisiana assets was determined to be a derivative financial instrument that is not designated as a hedging instrument. The contingent consideration of up to $75.0 million is based on future achievement of natural gas and oil prices based on published indexes and realized NGLs prices of the buyer for the years 2021, 2022 and 2023. All changes in the fair value are recognized as a gain or loss in earnings in the period they occur in derivative fair value income or loss in our consolidated statements of operations.

The combined fair value of derivatives included in the accompanying consolidated balance sheets as of March 31, 2021 and December 31, 2020 is summarized below. The assets and liabilities are netted where derivatives with both gain and loss positions are held by a single counterparty and we have master netting arrangements. The tables below provide additional information relating to our master netting arrangements with our derivative counterparties (in thousands):

		March 31, 2021
		Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet			Net Amounts of Assets Presented in the Balance Sheet
Derivative assets:
Natural gas	–swaps	$	12,881	$	(10,200	)	$	2,681
	–swaptions		—		(1,325	)		(1,325	)
	–collars		1,029		(582	)		447
	–three-way collars		228		—			228
	–basis swaps		12,156		(5,252	)		6,904
Crude oil	–swaps		1,105		(665	)		440
NGLs	–C3 propane spread swaps		4,376		(4,376	)		—
	–C3 propane swaps		192		(192	)		—
	−C5 natural gasoline swaps		250		(250	)		—
Freight	−swaps		132		(44	)		88
Divestiture contingent consideration			19,890		—			19,890
		$	52,239	$	(22,886	)	$	29,353

		March 31, 2021
		Gross Amounts of Recognized (Liabilities)			Gross Amounts Offset in the Balance Sheet		Net Amounts of (Liabilities) Presented in the Balance Sheet
Derivative (liabilities):
Natural gas	–swaps	$	(9,164	)	$	10,200	$	1,036
	–swaptions		(5,823	)		1,325		(4,498	)
	–collars		—			582		582
	–three-way collars		(14,258	)		—		(14,258	)
	–basis swaps		(2,639	)		5,252		2,613
Crude oil	–swaps		(10,857	)		665		(10,192	)
	–swaptions		(1,323	)		—		(1,323	)
NGLs	–C3 propane spread swaps		(3,904	)		4,376		472
	–C3 propane swaps		(4,989	)		192		(4,797	)
	–C3 collars		(4,618	)		—		(4,618	)
	–NC4 normal swaps		(839	)		—		(839	)
	–C5 natural gasoline swaps		(8,743	)		250		(8,493	)
Freight	–swaps		(7	)		44		37
		$	(67,164	)	$	22,886	$	(44,278	)

		December 31, 2020
		Gross Amounts of Recognized Assets		Gross Amounts Offset in the Balance Sheet			Net Amounts of Assets Presented in the Balance Sheet
Derivative assets:
Natural gas	–swaps	$	33,559	$	(16,821	)	$	16,738
	–collars		7,016		(2,329	)		4,687
	–three-way collars		535		(6,139	)		(5,604	)
	–basis swaps		7,894		(3,502	)		4,392
Crude oil	–swaps		2,465		(829	)		1,636
NGLs	–C3 propane spread swaps		4,863		(4,863	)		—
	–C3 propane collars		—		(107	)		(107	)
Freight	–swaps		2,310		—			2,310
Divestiture contingent consideration			15,960		—			15,960
		$	74,602	$	(34,590	)	$	40,012

		December 31, 2020
		Gross Amounts of Recognized (Liabilities)			Gross Amounts Offset in the Balance Sheet		Net Amounts of (Liabilities) Presented in the Balance Sheet
Derivative (liabilities):
Natural gas	–swaps	$	(10,120	)	$	16,821	$	6,701
	–swaptions		(9,803	)		—		(9,803	)
	–collars		—			2,329		2,329
	–three-way collars		(18,353	)		6,139		(12,214	)
	–basis swaps		(4,197	)		3,502		(695	)
Crude oil	–swaps		(5,471	)		829		(4,642	)
NGLs	–C3 propane spread swaps		(4,069	)		4,863		794
	–C3 propane swaps		(8,243	)		—		(8,243	)
	–C3 propane collars		(3,086	)		107		(2,979	)
	–C5 natural gasoline swaps		(4,897	)		—		(4,897	)
	–C5 natural gasoline calls		(546	)		—		(546	)
	–NC4 butane swaps		(651	)		—		(651	)
	–NC4 butane collars		(401	)		—		(401	)
Freight	–swaps		(1,206	)		—		(1,206	)
		$	(71,043	)	$	34,590	$	(36,453	)

The effects of our derivatives on our consolidated statements of operations are summarized below (in thousands):

		Derivative Fair Value (Loss) Income
		Three Months Ended March 31,
		2021			2020
Commodity swaps	$	(52,764	)	$	228,354
Swaptions		2,657			666
Three-way collars		873			(11,362	)
Collars		(13,288	)		—
Calls		(775	)		275
Basis swaps		2,155			21,343
Freight swaps		(667	)		(6,101	)
Divestiture contingent consideration		3,930			—
Total	$	(57,879	)	$	233,175