Derivatives and Risk Management (Tables)

3 Months Ended

Mar. 31, 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 March 31, 2020:


Financial Protection on Production
		Weighted Average Price per MMBtu
	Volume (Bcf)	Swaps		Sold Puts		Purchased Puts		Sold Calls		Basis Differential		Fair Value at March 31, 2020 (in millions)
Natural Gas
2020
Fixed price swaps	279	$	2.50	$	—	$	—	$	—	$	—	$	181	⁽¹⁾
Two-way costless collars	23	—		—		2.50		2.79		—		3
Three-way costless collars	136	—		2.08		2.42		2.70		—		15
Total	438											$	199
2021
Fixed price swaps	36	$	2.53	$	—	$	—	$	—	$	—	$	5
Two-way costless collars	29	—		—		2.28		2.77		—		(1)
Three-way costless collars	265	—		2.18		2.49		2.84		—		(20)
Total	330											$	(16)
2022
Two-way costless collars	29	$	—	$	—	$	2.10	$	2.83	$	—	$	—
Three-way costless collars	91	—		2.10		2.46		2.86		—		(2)
Total	120											$	(2)
2023

Three-way costless collars	2	$	—	$	2.15	$	2.55	$	3.35	$	—	$	—

Basis Swaps
2020	199	$	—	$	—	$	—	$	—	$	(0.44)	$	(3)
2021	103	—		—		—		—		(0.03)		12
2022	88	—		—		—		—		(0.48)		(4)
Total	390											$	5

(1)Includes $9 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 March 31, 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 March 31, 2020 (in millions)
				Swaps			Sold Puts			Purchased Puts			Sold Calls
Oil
2020
Fixed price swaps⁽¹⁾	2,442	$	57.75		$	—		$	—		$	—		$	66
Two-way costless collars	731	—			—			56.88			59.81			19
Three-way costless collars	1,210	—			43.94			53.17			58.05			9
Total	4,383													$	94
2021
Fixed price swaps	2,328	$	53.72		$	—		$	—		$	—		$	39
Three-way costless collars	1,445	—			43.52			53.25			58.14			10
Total	3,773													$	49
2022
Fixed price swaps	438	$	51.74		$	—		$	—		$	—		$	5
Three-way costless collars	666	—			42.50			53.20			58.00			4
Total	1,104													$	9

Ethane
2020
Fixed price swaps	6,952	$	8.59		$	—		$	—		$	—		$	21
2021
Fixed price swaps	3,017	$	7.40		$	—		$	—		$	—		$	2

Propane
2020
Fixed price swaps	4,049	$	23.06		$	—		$	—		$	—		$	43
Two-way costless collars	275	—			—			25.20			29.40			4
Total	4,324													$	47
2021
Fixed price swaps	2,460	$	21.77		$	—		$	—		$	—		$	17

(1)Includes 186 MBbls of purchased fixed price oil swaps at $57.46 per barrel with a fair value of ($5) million and 2,628 MBbls of sold fixed price oil swaps at $57.73 per barrel with a fair value of $71 million.


Other Derivative Contracts
	Volume (Bcf)	Weighted Average Strike Price per MMBtu		Fair Value at March 31, 2020 (in millions)





Sold Call Options – Natural Gas (Net)
2020	51	$	2.83	$	(2)
2021	57	3.15		(7)
2022	58	3.00		(6)
2023	17	2.84		(3)
2024	9	3.00		(2)
Total	192			$	(20)

໿


	Volume (MBbls)	Weighted Average Strike Price per Bbl		Fair Value at March 31, 2020 (in millions)
Sold Call Options – Oil
2021	226	$	60.00	$	—


	Volume (Bcf)	Weighted Average Strike Price per MMBtu								Fair Value at March 31, 2020 (in millions)
				Swaps			Basis Differential
Storage ⁽¹⁾
2020
Purchased fixed price swaps	3	$	2.00		$	—		$	(1)
Purchased basis swaps	1	—			(0.49)			—
Sold fixed price swaps	2	1.99			—			—
Sold basis swaps	1	—			(0.51)			—
Total	7							$	(1)
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 at a later date.


Purchased Fixed Price Swaps – Marketing (Natural Gas) ⁽¹⁾	Volume (Bcf)	Weighted Average Strike Price per MMBtu		Fair Value at March 31, 2020 (in millions)
2020	6	$	2.44	$	(2)
2021	6	2.44		—
Total	12			$	(2)

(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 March 31, 2020 and December 31, 2019:


Derivative Assets
		Fair Value
(in millions)	Balance Sheet Classification	March 31, 2020			December 31, 2019
Derivatives not designated as hedging instruments:

Purchased fixed price swaps – natural gas	Derivative assets	$	1		$	—
Fixed price swaps – natural gas	Derivative assets	181		⁽¹⁾	77		⁽¹⁾
Fixed price swaps – oil	Derivative assets	80			4
Fixed price swaps – ethane	Derivative assets	22			11
Fixed price swaps – propane	Derivative assets	48			21
Two-way costless collars – natural gas	Derivative assets	13			10
Two-way costless collars – oil	Derivative assets	28			5
Two-way costless collars – propane	Derivative assets	4			2
Three-way costless collars – natural gas	Derivative assets	189			126
Three-way costless collars – oil	Derivative assets	36			3
Basis swaps – natural gas	Derivative assets	22			17
Purchased call options – natural gas	Derivative assets	3			1
Fixed price swaps – natural gas storage	Derivative assets	—			1

Fixed price swaps – natural gas	Other long-term assets	5			7
Fixed price swaps – oil	Other long-term assets	35			1
Fixed price swaps – ethane	Other long-term assets	1			—
Fixed price swaps – propane	Other long-term assets	12			3
Two-way costless collars – natural gas	Other long-term assets	5			4


Three-way costless collars – natural gas	Other long-term assets	71			74
Three-way costless collars – oil	Other long-term assets	29			7
Basis swaps – natural gas	Other long-term assets	5			15
Purchased call options – natural gas	Other long-term assets	1			2
Total derivative assets		$	791		$	391

(1) Includes $9 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 both March 31, 2020 and December 31, 2019. 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	March 31, 2020		December 31, 2019
Derivatives not designated as hedging instruments:
Purchased fixed price swaps – natural gas	Derivative liabilities	$	3	$	1
Purchased fixed price swaps – oil	Derivative liabilities	5		—
Fixed price swaps – natural gas	Derivative liabilities	—		1
Fixed price swaps – oil	Derivative liabilities	—		6

Two-way costless collars – natural gas	Derivative liabilities	10		4
Two-way costless collars – oil	Derivative liabilities	9		5
Three-way costless collars – natural gas	Derivative liabilities	194		84
Three-way costless collars – oil	Derivative liabilities	24		4
Basis swaps – natural gas	Derivative liabilities	12		17
Sold call options – natural gas	Derivative liabilities	9		3
Interest rate swaps	Derivative liabilities	1		—
Purchased fixed price swaps – natural gas storage	Derivative liabilities	1		—

Fixed price swaps – oil	Other long-term liabilities	—		2
Two-way costless collars – natural gas	Other long-term liabilities	6		4

Three-way costless collars – natural gas	Other long-term liabilities	73		72
Three-way costless collars – oil	Other long-term liabilities	18		8
Basis swap – natural gas	Other long-term liabilities	10		9
Sold call options – natural gas	Other long-term liabilities	15		15
Sold call options – oil	Other long-term liabilities	—		1
Total derivative liabilities		$	390	$	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 months ended March 31, 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 March 31,
						2020			2019

		(in millions)
Purchased fixed price swaps – natural gas	Gain (Loss) on Derivatives	$	(1)	$	—
Purchased fixed price swaps – oil	Gain (Loss) on Derivatives	(5)		4
Fixed price swaps – natural gas	Gain (Loss) on Derivatives	103		(2)
Fixed price swaps – oil	Gain (Loss) on Derivatives	118		(13)
Fixed price swaps – ethane	Gain (Loss) on Derivatives	12		7
Fixed price swaps – propane	Gain (Loss) on Derivatives	36		(4)
Two-way costless collars – natural gas	Gain (Loss) on Derivatives	(4)		(1)
Two-way costless collars – oil	Gain (Loss) on Derivatives	19		(7)
Two-way costless collars – propane	Gain (Loss) on Derivatives	2		—
Three-way costless collars – natural gas	Gain (Loss) on Derivatives	(51)		2
Three-way costless collars – oil	Gain (Loss) on Derivatives	25		—
Basis swaps – natural gas	Gain (Loss) on Derivatives	(1)		(10)
Purchased call options – natural gas	Gain (Loss) on Derivatives	1		—
Sold call options – natural gas	Gain (Loss) on Derivatives	(6)		2
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)		—
Interest rate swaps	Gain (Loss) on Derivatives	(1)		—
Total gain (loss) on unsettled derivatives				$	246		$	(22)

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 March 31,
						2020			2019

		(in millions)
Purchased fixed price swaps – natural gas	Gain (Loss) on Derivatives	$	(1)	$	—
Purchased fixed price swaps – oil	Gain (Loss) on Derivatives	—		(1)
Fixed price swaps – natural gas	Gain (Loss) on Derivatives	5		(6)
Fixed price swaps – oil	Gain (Loss) on Derivatives	9		2
Fixed price swaps – ethane	Gain (Loss) on Derivatives	6		1
Fixed price swaps – propane	Gain (Loss) on Derivatives	10		2
Two-way costless collars – natural gas	Gain (Loss) on Derivatives	6		(1)
Two-way costless collars – oil	Gain (Loss) on Derivatives	3		1
Two-way costless collars – propane	Gain (Loss) on Derivatives	1		—
Three-way costless collars – natural gas	Gain (Loss) on Derivatives	36		(4)
Three-way costless collars – oil	Gain (Loss) on Derivatives	1		—
Basis swaps – natural gas	Gain (Loss) on Derivatives	16		(4)



Fixed price swaps – natural gas storage	Gain (Loss) on Derivatives	1		—
Total gain (loss) on settled derivatives				$	93		$	(10)

Total gain (loss) on derivatives				$	339		$	(32)

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

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

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