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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)
 3 Months Ended
Mar. 31, 2016
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

Our derivative financial instruments are included at their fair values in the consolidated statements of financial position as follows:
 
 
 
March 31,
2016
 
December 31,
2015
  
 
(in millions)
Other current assets
 
$
101.9
 
 
$
123.9
 
Other assets, net
 
 
26.2
 
 
 
39.7
 
Accounts payable and other(1)
 
 
(148.7
) 
 
 
(130.9
) 
Other long-term liabilities
 
 
(141.0
) 
 
 
(90.6
) 
  
 
$
(161.6
) 
 
$
(57.9
) 
 
(1)
Includes $12.6 million held of cash collateral at December 31, 2015.
Schedule of Derivative Balances by Counter Party Credit Quality
The table below summarizes our derivative balances by counterparty credit quality (any negative amounts represent our net obligations to pay the counterparty).
 
 
 
March 31,
2016
 
December 31,
2015
  
 
(in millions)
Counterparty Credit Quality(1)
 
 
  
 
 
 
  
 
AAA
 
$
0.1
 
 
$
—
 
AA(2)
 
 
(47.3
) 
 
 
(12.4
) 
A
 
 
(44.1
) 
 
 
(10.5
) 
Lower than A
 
 
(70.3
) 
 
 
(35.0
) 
  
 
$
(161.6
) 
 
$
(57.9
) 
 
(1)
As determined by nationally-recognized statistical ratings organizations.
(2)
Includes $12.6 million held of cash collateral at December 31, 2015.
Schedule of Credit Concentrations in Industry Sectors
At March 31, 2016 and December 31, 2015, we had credit concentrations in the following industry sectors, as presented below:
 
 
 
March 31,
2016
 
December 31,
2015
  
 
(in millions)
United States financial institutions and investment banking entities(1)
 
$
(95.3
) 
 
$
(30.9
) 
Non-United States financial institutions
 
 
(88.7
) 
 
 
(51.0
) 
Other
 
 
22.4
 
 
 
24.0
 
  
 
$
(161.6
) 
 
$
(57.9
) 
 
(1)
Includes $12.6 million held of cash collateral at December 31, 2015.
Effect of Derivative Instruments on the Consolidated Statements of Financial Position

Effect of Derivative Instruments on the Consolidated Statements of Financial Position

 
 
 
 
Asset Derivatives
 
Liability Derivatives
  
 
 
Fair Value at
 
Fair Value at
  
 
Financial Position Location
 
March 31,
2016
 
December 31,
2015
 
March 31,
2016
 
December 31,
2015
  
 
  
 
(in millions)
Derivatives designated as hedging instruments:(1)
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Interest rate contracts
 
 
Accounts payable and other
 
 
$
—
 
 
$
—
 
 
$
(118.3
) 
 
$
(85.2
) 
Interest rate contracts
 
 
Other long-term liabilities
 
 
 
—
 
 
 
—
 
 
 
(126.7
) 
 
 
(72.3
) 
  
 
 
 
 
 
—
 
 
 
—
 
 
 
(245.0
) 
 
 
(157.5
) 
Derivatives not designated as hedging instruments:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Commodity contracts
 
 
Other current assets
 
 
 
101.9
 
 
 
123.9
 
 
 
—
 
 
 
—
 
Commodity contracts
 
 
Other assets
 
 
 
26.2
 
 
 
39.7
 
 
 
—
 
 
 
—
 
Commodity contracts
 
 
Accounts payable and other(2)
 
 
 
—
 
 
 
—
 
 
 
(30.4
) 
 
 
(33.1
) 
Commodity contracts
 
 
Other long-term liabilities
 
 
 
—
 
 
 
—
 
 
 
(14.3
) 
 
 
(18.3
) 
  
 
 
 
 
 
128.1
 
 
 
163.6
 
 
 
(44.7
) 
 
 
(51.4
) 
Total derivative instruments
 
 
 
 
$
128.1
 
 
$
163.6
 
 
$
(289.7
) 
 
$
(208.9
) 
 
(1)
Includes items currently designated as hedging instruments. Excludes the portion of de-designated hedges which may have a component remaining in AOCI.
(2)
Liability derivatives exclude $12.6 million held of cash collateral at December 31, 2015.
Effect of Derivative Instruments on the Consolidated Statements of Income and Accumulated Other Comprehensive Income

 
       Derivatives in Cash Flow
        Hedging Relationships
 
Amount of Gain
(Loss) Recognized
in AOCI on
Derivative
(Effective Portion)
 
Location of Gain
(Loss) Reclassified from
AOCI to Earnings
(Effective Portion)
 
Amount of Gain
(Loss) Reclassified
from AOCI
to Earnings
(Effective Portion)
 
Location of Gain (Loss)
Recognized in Earnings on
Derivative (Ineffective
Portion and Amount
Excluded from
Effectiveness Testing)(1)
 
Amount of Gain
(Loss) Recognized
in Earnings on
Derivative (Ineffective
Portion and Amount
Excluded from
Effectiveness
Testing)(1)
  
 
  
 
(in millions)
 
  
 
  
For the three months ended March 31, 2016
 
 
  
 
 
 
  
 
 
 
  
 
Interest rate contracts
 
$
(85.6
) 
 
 
Interest expense
 
 
$
(10.1
) 
 
 
Interest expense
 
 
$
(1.9
) 
Commodity contracts
 
 
—
 
 
 
Commodity Costs
 
 
 
0.1
 
 
 
Commodity Costs
 
 
 
—
 
Total
 
$
(85.6
) 
 
 
 
 
$
(10.0
) 
 
 
 
 
$
(1.9
) 
For the three months ended March 31, 2015
 
 
  
 
 
 
  
 
 
 
  
 
Interest rate contracts
 
$
(145.2
) 
 
 
Interest expense
 
 
$
(5.4
) 
 
 
Interest expense
 
 
$
28.7
 
Commodity contracts
 
 
(3.6
) 
 
 
Commodity Costs
 
 
 
8.4
 
 
 
Commodity Costs
 
 
 
(4.0
) 
Total
 
$
(148.8
) 
 
 
 
 
$
3.0
 
 
 
 
 
$
24.7
 
 
(1)
Includes only the ineffective portion of derivatives that are designated as hedging instruments and does not include net gains or losses associated with derivatives that do not qualify for hedge accounting treatment.
Components of Accumulated Other Comprehensive Income/(Loss)
 
Cash Flow Hedges
  
 
2016
 
2015
  
 
(in millions)
Balance at January 1
 
$
(370.0
) 
 
$
(211.4
) 
Other comprehensive loss before reclassifications(1)
 
 
(87.6
) 
 
 
(145.1
) 
Amounts reclassified from AOCI(2)(3)
 
 
10.0
 
 
 
(1.0
) 
Net other comprehensive loss
 
$
(77.6
) 
 
$
(146.1
) 
Balance at March 31
 
$
(447.6
) 
 
$
(357.5
) 
 
(1)
Excludes NCI gain of $1.3 million reclassified from AOCI at March 31, 2015.
(2)
Excludes NCI loss of $2.0 million reclassified from AOCI at March 31, 2015.
(3)
For additional details on the amounts reclassified from AOCI, reference the Reclassifications from Accumulated Other Comprehensive Income table below.
Reclassifications from Accumulated Other Comprehensive Income

Reclassifications from Accumulated Other Comprehensive Income

 
 
For the three months
ended March 31,
  
 
2016
 
2015
  
 
(in millions)
Losses (gains) on cash flow hedges:
 
 
  
 
 
 
  
 
Interest Rate Contracts(1)
 
$
10.0
 
 
$
5.4
 
Commodity Contracts(2)(3)
 
 
—
 
 
 
(6.4
) 
Total Reclassifications from AOCI
 
$
10.0
 
 
$
(1.0
) 
 
(1)
Loss reported within “Interest expense, net” in the consolidated statements of income.
(2)
Loss (gain) reported within “Commodity costs” in the consolidated statements of income.
(3)
Excludes NCI loss of $2.0 million reclassified from AOCI for the three months ended March 31, 2015.
Effect of Derivative Instruments on Consolidated Statements of Income

Effect of Derivative Instruments on Consolidated Statements of Income

 
 
 
For the three months
ended March 31,
  
 
 
2016
 
2015
      Derivatives Not Designated
        as Hedging Instruments
 
Location of Gain or (Loss)
Recognized in Earnings
 
Amount of Gain or (Loss)
Recognized in Earnings(1)(2)
  
 
  
 
(in millions)
Commodity contracts
 
 
Transportation and other services(3)
 
 
$
0.8
 
 
$
2.7
 
Commodity contracts
 
 
Commodity sales
 
 
 
(2.4
) 
 
 
(17.3
) 
Commodity contracts
 
 
Commodity sales – affiliate
 
 
 
—
 
 
 
(0.2
) 
Commodity contracts
 
 
Commodity costs(4)
 
 
 
1.8
 
 
 
7.1
 
Other contracts
 
 
Other income/(expense)
 
 
 
—
 
 
 
5.0
 
Total
 
 
 
 
$
0.2
 
 
$
(2.7
) 
 
(1)
Does not include settlements associated with derivative instruments that settle through physical delivery.
(2)
Includes only net gains or losses associated with those derivatives that do not receive hedge accounting treatment and does not include the ineffective portion of derivatives that are designated as hedging instruments.
(3)
Includes settlement gains of $2.5 million and $6.6 million for the three months ended March 31, 2016 and 2015, respectively.
(4)
Includes settlement gains of $26.5 million and $25.7 million for the three months ended March 31, 2016 and 2015, respectively.
Offsetting of Financial Assets and Derivative Assets

Offsetting of Financial Assets and Derivative Assets

 
 
As of March 31, 2016
  
 
Gross
Amount of
Recognized
Assets
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Assets
Presented in the
Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net
Amount
  
 
(in millions)
Description:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Derivatives
 
$
128.1
 
 
$
—
 
 
$
128.1
 
 
$
(23.2
) 
 
$
104.9
 
 
 
 
 
As of December 31, 2015
  
 
Gross
Amount of
Recognized
Assets
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Assets
Presented in the
Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position(1)
 
Net
Amount
  
 
(in millions)
Description:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivatives
 
$
163.6
 
 
$
—
 
 
$
163.6
 
 
$
(41.5
) 
 
$
122.1
 
 
(1)
Includes $12.6 million of cash collateral held at December 31, 2015.
Offsetting of Financial Liabilities and Derivative Liabilities

Offsetting of Financial Liabilities and Derivative Liabilities

 
 
As of March 31, 2016
  
 
Gross
Amount of
Recognized
Liabilities
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Liabilities
Presented in the
Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position
 
Net
Amount
  
 
(in millions)
Description:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Derivatives
 
$
(289.7
) 
 
$
—
 
 
$
(289.7
) 
 
$
23.2
 
 
$
(266.5
) 
 
 
 
 
As of December 31, 2015
  
 
Gross
Amount of
Recognized
Liabilities(1)
 
Gross Amount
Offset in the
Statement of
Financial Position
 
Net Amount
of Liabilities
Presented in the
Statement of
Financial Position
 
Gross Amount
Not Offset in the
Statement of
Financial Position(1)
 
Net
Amount
  
 
(in millions)
Description:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Derivatives
 
$
(221.5
) 
 
$
—
 
 
$
(221.5
) 
 
$
41.5
 
 
$
(180.0
) 
 
(1)
Includes $12.6 million of cash collateral at December 31, 2015.
Table Setting Forth By Level Within The Fair Value Hierarchy Financial Assets And Liabilities
 
March 31, 2016
 
December 31, 2015
  
 
Level 1
 
Level 2
 
Level 3
 
Total
 
Level 1
 
Level 2
 
Level 3
 
Total
  
 
(in millions)
Interest rate contracts
 
$
—
 
 
$
(245.0
) 
 
$
—
 
 
$
(245.0
) 
 
$
—
 
 
$
(157.5
) 
 
$
—
 
 
$
(157.5
) 
Commodity contracts:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Financial
 
 
—
 
 
 
6.0
 
 
 
5.5
 
 
 
11.5
 
 
 
—
 
 
 
8.4
 
 
 
8.9
 
 
 
17.3
 
Physical
 
 
—
 
 
 
—
 
 
 
0.9
 
 
 
0.9
 
 
 
—
 
 
 
—
 
 
 
0.6
 
 
 
0.6
 
Commodity options
 
 
—
 
 
 
—
 
 
 
71.0
 
 
 
71.0
 
 
 
—
 
 
 
—
 
 
 
94.3
 
 
 
94.3
 
  
 
 
—
 
 
 
(239.0
) 
 
 
77.4
 
 
 
(161.6
) 
 
 
—
 
 
 
(149.1
) 
 
 
103.8
 
 
 
(45.3
) 
Cash collateral
 
 
 
 
 
 
 
 
 
 
 
—
 
 
 
 
 
 
 
 
 
 
 
 
(12.6
) 
Total
 
 
 
 
 
 
 
 
 
 
$
(161.6
) 
 
 
 
 
 
 
 
 
 
 
$
(57.9
) 
Schedule of Quantitative Information on Level 3 Fair Value Measurements

Quantitative Information About Level 3 Fair Value Measurements

 
 
Fair Value at
March 31,
2016(2)
 
Valuation
Technique
 
Unobservable
Input
 
Range(1)
          Contract Type
 
Lowest
 
Highest
 
Weighted
Average
 
Units
  
 
(in millions)
 
  
 
  
 
  
 
  
 
  
 
  
Commodity Contracts – Financial
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas
 
$
0.6
 
 
 
Market Approach
 
 
 
Forward Gas Price
 
 
 
1.80
 
 
 
3.27
 
 
 
2.69
 
 
 
MMBtu
 
NGLs
 
$
4.9
 
 
 
Market Approach
 
 
 
Forward NGL Price
 
 
 
0.17
 
 
 
0.92
 
 
 
0.42
 
 
 
Gal
 
Commodity Contracts – Physical
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas
 
$
(1.8
) 
 
 
Market Approach
 
 
 
Forward Gas Price
 
 
 
1.53
 
 
 
3.27
 
 
 
2.01
 
 
 
MMBtu
 
Crude Oil
 
$
0.3
 
 
 
Market Approach
 
 
 
Forward Crude Price
 
 
 
28.29
 
 
 
40.90
 
 
 
38.91
 
 
 
Bbl
 
NGLs
 
$
2.4
 
 
 
Market Approach
 
 
 
Forward NGL Price
 
 
 
0.17
 
 
 
0.92
 
 
 
0.41
 
 
 
Gal
 
Commodity Options
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas, Crude and NGLs
 
$
71.0
 
 
 
Option Model
 
 
 
Option Volatility
 
 
 
8
% 
 
 
100
% 
 
 
37
% 
 
 
 
Total Fair Value
 
$
77.4
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Prices are in dollars per Millions of British Thermal Units, or MMBtu, for natural gas; dollars per Gallon, or Gal, for NGLs; and dollars per barrel, or Bbl, for crude oil.
(2)
Fair values include credit valuation adjustment losses of approximately $0.2 million.

Quantitative Information About Level 3 Fair Value Measurements

 
 
Fair Value at
December 31,
2015(2)
 
Valuation
Technique
 
Unobservable
Input
 
Range(1)
          Contract Type
 
Lowest
 
Highest
 
Weighted
Average
 
Units
  
 
(in millions)
Commodity Contracts – Financial
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas
 
$
0.3
 
 
 
Market Approach
 
 
 
Forward Gas Price
 
 
 
2.27
 
 
 
3.07
 
 
 
2.64
 
 
 
MMBtu
 
NGLs
 
 
8.6
 
 
 
Market Approach
 
 
 
Forward NGL Price
 
 
 
0.16
 
 
 
0.93
 
 
 
0.41
 
 
 
Gal
 
Commodity Contracts – Physical
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas
 
 
(2.5
) 
 
 
Market Approach
 
 
 
Forward Gas Price
 
 
 
2.08
 
 
 
3.44
 
 
 
2.33
 
 
 
MMBtu
 
Crude Oil
 
 
—
 
 
 
Market Approach
 
 
 
Forward Crude Price
 
 
 
26.50
 
 
 
38.41
 
 
 
37.29
 
 
 
Bbl
 
NGLs
 
 
3.1
 
 
 
Market Approach
 
 
 
Forward NGL Price
 
 
 
0.16
 
 
 
1.20
 
 
 
0.40
 
 
 
Gal
 
Commodity Options
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Natural Gas, Crude and NGLs
 
 
94.3
 
 
 
Option Model
 
 
 
Option Volatility
 
 
 
13
% 
 
 
74
% 
 
 
36
% 
 
 
 
Total Fair Value
 
$
103.8
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
(1)
Prices are in dollars per Millions of British Thermal Units, or MMBtu, for natural gas; dollars per Gallon, or Gal, for NGLs; and dollars per barrel, or Bbl, for crude oil.
(2)
Fair values include credit valuation adjustment losses of approximately $0.3 million.
Schedule of Reconciliation of Changes in Fair Value of Level 3 Financial Assets and Liabilities

The table below provides a reconciliation of changes in the fair value of our Level 3 financial assets and liabilities measured on a recurring basis from January 1, 2016 to March 31, 2016. No transfers of assets between any of the Levels occurred during the period.
 
 
 
Commodity
Financial
Contracts
 
Commodity
Physical
Contracts
 
Commodity
Options
 
Total
  
 
(in millions)
Beginning balance as of January 1, 2016
 
$
8.9
 
 
$
0.6
 
 
$
94.3
 
 
$
103.8
 
Transfer in (out) of Level 3(1)
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
Gains or losses included in earnings:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Reported in Commodity sales
 
 
—
 
 
 
(6.7
) 
 
 
—
 
 
 
(6.7
) 
Reported in Commodity costs
 
 
0.4
 
 
 
8.5
 
 
 
(1.5
) 
 
 
7.4
 
Gains or losses included in other comprehensive income:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Purchases, issuances, sales and settlements:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Purchases
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
Sales
 
 
—
 
 
 
—
 
 
 
—
 
 
 
—
 
Settlements(2)
 
 
(3.8
) 
 
 
(1.5
) 
 
 
(21.8
) 
 
 
(27.1
) 
Ending balance as March 31, 2016
 
$
5.5
 
 
$
0.9
 
 
$
71.0
 
 
$
77.4
 
Amounts reported in Commodity sales
 
$
—
 
 
$
(2.4
) 
 
$
—
 
 
$
(2.4
) 
Amount of changes in net assets attributable to the change in derivative gains or losses related to assets and liabilities still held at the reporting date:
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Reported in Commodity sales
 
$
—
 
 
$
(2.7
) 
 
$
—
 
 
$
(2.7
) 
Reported in Commodity costs
 
$
0.4
 
 
$
4.8
 
 
$
(2.5
) 
 
 
2.7
 
 
(1)
Our policy is to recognize transfers as of the last day of the reporting period.
(2)
Settlements represent the realized portion of forward contracts.
Schedule of Fair Values of Expected Cash Flows of Outstanding Commodity Based Swaps and Physical Contracts

The following table provides summarized information about the fair values of expected cash flows of our outstanding commodity based swaps and physical contracts at March 31, 2016 and December 31, 2015.
 
 
 
At March 31, 2016
 
At December 31, 2015
 
Commodity
 
Notional(1)
 
Wtd. Average Price(2)
 
Fair Value(3)
 
Fair Value(3)
 
Receive
 
Pay
 
Asset
 
Liability
 
Asset
 
Liability
  
 
  
 
  
 
  
 
  
 
  
 
(in millions)
 
  
Portion of contracts maturing in 2016
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Swaps
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay fixed
 
 
Natural Gas
 
 
 
16,287
 
 
$
2.43
 
 
$
3.48
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
  
 
 
NGL
 
 
 
1,570,750
 
 
$
23.30
 
 
$
25.39
 
 
$
1.8
 
 
$
(5.1
) 
 
$
0.2
 
 
$
(8.4
) 
  
 
 
Crude Oil
 
 
 
464,000
 
 
$
40.65
 
 
$
65.19
 
 
$
0.1
 
 
$
(11.5
) 
 
$
—
 
 
$
(17.5
) 
Receive fixed/pay variable
 
 
NGL
 
 
 
1,894,000
 
 
$
27.74
 
 
$
22.68
 
 
$
11.0
 
 
$
(1.4
) 
 
$
18.3
 
 
$
(0.2
) 
  
 
 
Crude Oil
 
 
 
970,575
 
 
$
58.65
 
 
$
41.08
 
 
$
17.6
 
 
$
(0.6
) 
 
$
25.4
 
 
$
—
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
7,355,000
 
 
$
2.47
 
 
$
2.47
 
 
$
0.2
 
 
$
(0.2
) 
 
$
0.1
 
 
$
(0.1
) 
Physical Contracts
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay fixed
 
 
NGL
 
 
 
890,000
 
 
$
17.94
 
 
$
16.02
 
 
$
1.8
 
 
$
(0.1
) 
 
$
—
 
 
$
(0.2
) 
  
 
 
Crude Oil
 
 
 
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
(0.2
) 
Receive fixed/pay variable
 
 
NGL
 
 
 
869,166
 
 
$
22.46
 
 
$
24.95
 
 
$
0.1
 
 
$
(2.3
) 
 
$
1.9
 
 
$
(0.2
) 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
118,233,634
 
 
$
1.94
 
 
$
1.96
 
 
$
—
 
 
$
(2.1
) 
 
$
—
 
 
$
(2.8
) 
  
 
 
NGL
 
 
 
8,400,616
 
 
$
16.85
 
 
$
16.51
 
 
$
3.7
 
 
$
(0.8
) 
 
$
4.0
 
 
$
(2.4
) 
  
 
 
Crude Oil
 
 
 
681,040
 
 
$
38.84
 
 
$
38.38
 
 
$
0.7
 
 
$
(0.4
) 
 
$
0.7
 
 
$
(0.5
) 
Portion of contracts maturing in 2017
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Swaps
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay fixed
 
 
Natural Gas
 
 
 
76,530
 
 
$
2.49
 
 
$
2.97
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
  
 
 
NGL
 
 
 
757,500
 
 
$
16.63
 
 
$
21.05
 
 
$
0.1
 
 
$
(3.5
) 
 
$
—
 
 
$
(4.5
) 
  
 
 
Crude Oil
 
 
 
547,500
 
 
$
44.92
 
 
$
66.72
 
 
$
—
 
 
$
(11.8
) 
 
$
—
 
 
$
(10.9
) 
Receive fixed/pay variable
 
 
NGL
 
 
 
757,500
 
 
$
19.19
 
 
$
16.63
 
 
$
2.2
 
 
$
(0.3
) 
 
$
3.3
 
 
$
(0.1
) 
  
 
 
Crude Oil
 
 
 
638,750
 
 
$
63.63
 
 
$
44.92
 
 
$
11.9
 
 
$
—
 
 
$
10.9
 
 
$
—
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
12,550,000
 
 
$
2.75
 
 
$
2.70
 
 
$
0.8
 
 
$
(0.2
) 
 
$
0.5
 
 
$
(0.2
) 
Physical Contracts
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive fixed/pay variable
 
 
NGL
 
 
 
595
 
 
$
22.37
 
 
$
21.17
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
3,987,810
 
 
$
2.78
 
 
$
2.75
 
 
$
0.1
 
 
$
—
 
 
$
0.1
 
 
$
—
 
  
 
 
NGL
 
 
 
186,500
 
 
$
23.33
 
 
$
23.40
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Portion of contracts maturing in 2018
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Physical Contracts
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
2,187,810
 
 
$
2.92
 
 
$
2.89
 
 
$
0.1
 
 
$
—
 
 
$
0.1
 
 
$
—
 
Portion of contracts maturing in 2019
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Physical Contracts
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
2,187,810
 
 
$
3.00
 
 
$
2.97
 
 
$
0.1
 
 
$
—
 
 
$
0.1
 
 
$
—
 
Portion of contracts maturing in 2020
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Physical Contracts
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Receive variable/pay variable
 
 
Natural Gas
 
 
 
359,640
 
 
$
3.29
 
 
$
3.26
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
 
(1)
Volumes of natural gas are measured in MMBtu, whereas volumes of NGL and crude oil are measured in Bbl.
(2)
Weighted-average prices received and paid are in $/MMBtu for natural gas and $/Bbl for NGL and crude oil.
(3)
The fair value is determined based on quoted market prices at March 31, 2016 and December 31, 2015, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values exclude credit valuation adjustment gains of approximately $0.4 million and $0.5 million at March 31, 2016 and December 31, 2015, respectively, as well as cash collateral received.
Schedule of Fair Values of Expected Cash Flows of Outstanding Commodity Options
 
At March 31, 2016
 
At December 31, 2015
 
Commodity
 
Notional(1)
 
Strike
Price(2)
 
Market
Price(2)
 
Fair Value(3)
 
Fair Value(3)
 
Asset
 
Liability
 
Asset
 
Liability
  
 
  
 
  
 
  
 
  
 
  
 
(in millions)
 
  
Portion of option contracts maturing in 2016
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Puts (purchased)
 
 
Natural Gas
 
 
 
1,237,500
 
 
$
3.75
 
 
$
2.22
 
 
$
1.9
 
 
$
—
 
 
$
2.1
 
 
$
—
 
  
 
 
NGL
 
 
 
2,227,500
 
 
$
39.29
 
 
$
22.66
 
 
$
37.6
 
 
$
—
 
 
$
54.4
 
 
$
—
 
  
 
 
Crude Oil
 
 
 
605,000
 
 
$
75.91
 
 
$
41.68
 
 
$
20.7
 
 
$
—
 
 
$
27.7
 
 
$
—
 
Calls (written)
 
 
Natural Gas
 
 
 
1,237,500
 
 
$
4.98
 
 
$
2.22
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
  
 
 
NGL
 
 
 
2,227,500
 
 
$
45.09
 
 
$
22.66
 
 
$
—
 
 
$
(0.4
) 
 
$
—
 
 
$
(0.3
) 
  
 
 
Crude Oil
 
 
 
605,000
 
 
$
86.68
 
 
$
41.68
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Puts (written)
 
 
Natural Gas
 
 
 
1,237,500
 
 
$
3.75
 
 
$
2.22
 
 
$
—
 
 
$
(1.9
) 
 
$
—
 
 
$
(2.1
) 
  
 
 
NGL
 
 
 
68,750
 
 
$
39.06
 
 
$
23.25
 
 
$
—
 
 
$
(1.1
) 
 
$
—
 
 
$
(1.5
) 
Calls (purchased)
 
 
Natural Gas
 
 
 
1,237,500
 
 
$
4.98
 
 
$
2.22
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
  
 
 
NGL
 
 
 
68,750
 
 
$
46.41
 
 
$
23.25
 
 
$
—
 
 
$
—
 
 
$
—
 
 
$
—
 
Portion of option contracts maturing in 2017
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Puts (purchased)
 
 
NGL
 
 
 
1,277,500
 
 
$
25.26
 
 
$
23.44
 
 
$
5.1
 
 
$
—
 
 
$
5.8
 
 
$
—
 
  
 
 
Crude Oil
 
 
 
638,750
 
 
$
59.86
 
 
$
44.92
 
 
$
11.1
 
 
$
—
 
 
$
10.0
 
 
$
—
 
Calls (written)
 
 
NGL
 
 
 
1,277,500
 
 
$
29.46
 
 
$
23.44
 
 
$
—
 
 
$
(0.8
) 
 
$
—
 
 
$
(0.8
) 
  
 
 
Crude Oil
 
 
 
638,750
 
 
$
68.19
 
 
$
44.92
 
 
$
—
 
 
$
(0.9
) 
 
$
—
 
 
$
(0.6
) 
Portion of option contracts maturing in 2018
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Puts (purchased)
 
 
Crude Oil
 
 
 
91,250
 
 
$
42.00
 
 
$
47.03
 
 
$
0.5
 
 
$
—
 
 
$
—
 
 
$
—
 
Calls (written)
 
 
Crude Oil
 
 
 
91,250
 
 
$
51.75
 
 
$
47.03
 
 
$
—
 
 
$
(0.5
) 
 
$
—
 
 
$
—
 
 
(1)
Volumes of natural gas are measured in MMBtu, whereas volumes of NGL and crude oil are measured in Bbl.
(2)
Strike and market prices are in $/MMBtu for natural gas and in $/Bbl for NGL and crude oil.
(3)
The fair value is determined based on quoted market prices at March 31, 2016 and December 31, 2015, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values exclude credit valuation adjustment losses of approximately $0.3 million and $0.4 million at March 31, 2016 and December 31, 2015, respectively, as well as cash collateral received.
Schedule of Current Interest Rate Derivatives
The following table provides information about our current interest rate derivatives for the specified periods.
 
 
 
Accounting Treatment
 
Notional
 
Average
Fixed
Rate(1)
 
Fair Value(2) at
           Date of Maturity & Contract Type
 
March 31,
2016
 
December 31,
2015
  
 
 
(dollars in millions)
Contracts maturing in 2017
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Interest Rate Swaps – Pay Fixed
 
 
Cash Flow Hedge
 
 
$
500
 
 
 
2.21
% 
 
$
(5.9
) 
 
$
(7.0
) 
Contracts maturing in 2018
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Interest Rate Swaps – Pay Fixed
 
 
Cash Flow Hedge
 
 
$
810
 
 
 
2.24
% 
 
$
(11.1
) 
 
$
(6.6
) 
Contracts maturing in 2019
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
Interest Rate Swaps – Pay Fixed
 
 
Cash Flow Hedge
 
 
$
620
 
 
 
2.96
% 
 
$
(10.9
) 
 
$
(6.0
) 
Contracts settling prior to maturity
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
 
 
  
 
2016 – Pre-issuance Hedges
 
 
Cash Flow Hedge
 
 
$
500
 
 
 
4.21
% 
 
$
(112.3
) 
 
$
(80.4
) 
2017 – Pre-issuance Hedges
 
 
Cash Flow Hedge
 
 
$
500
 
 
 
3.69
% 
 
$
(79.7
) 
 
$
(49.2
) 
2018 – Pre-issuance Hedges
 
 
Cash Flow Hedge
 
 
$
350
 
 
 
3.08
% 
 
$
(31.2
) 
 
$
(12.2
) 
 
(1)
Interest rate derivative contracts are based on the one-month or three-month London Interbank Offered Rate, or LIBOR.
(2)
The fair value is determined from quoted market prices at March 31, 2016 and December 31, 2015, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values exclude credit valuation adjustment gains of approximately $6.1 million and $3.9 million at March 31, 2016 and December 31, 2015, respectively.