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Derivative Activities | 9 Months Ended
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Sep. 30, 2015
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative Activities | (11) DERIVATIVE ACTIVITIES 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 do not utilize complex derivatives, as we typically utilize commodity swaps or collars 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 asset of $334.8 million at September 30, 2015. These contracts expire monthly through December 2017. In 2013 and 2014, we sold crude oil derivative swap contracts (“sold swaps”) and in third quarter 2015, we entered into purchased crude oil swaps (“re-purchased swaps”) for certain of the sold swaps to lock in derivative gains for fourth quarter 2015. The following table sets forth our commodity-based derivative volumes by year as of September 30, 2015, excluding our basis swaps which are discussed separately below:
Period |  | Contract Type |  | Volume Hedged |  | Weighted Average Hedge Price
Natural Gas |  |  |  |  |  |
2015 |  | Collars |  | 145,000 Mmbtu/day |  | $ 4.07–$ 4.56
2015 |  | Swaps |  | 727,500 Mmbtu/day |  | $ 3.63
2016 |  | Swaps |  | 630,000 Mmbtu/day |  | $ 3.42
2017 |  | Swaps |  | 20,000 Mmbtu/day |  | $ 3.49
Crude Oil |  |  |  |  |  |
2015 |  | Sold Swaps |  | 11,250 bbls/day |  | $ 85.87
2015 |  | Re-Purchased Swaps |  | 2,500 bbls/day |  | $ 40.19
2016 |  | Swaps |  | 3,999 bbls/day |  | $ 66.09
2017 |  | Swaps |  | 500 bbls/day |  | $ 55.00
NGLs (C3-Propane) |  |  |  |  |  |
2015 |  | Swaps |  | 12,000 bbls/day |  | $ 0.55/gallon
2016 |  | Swaps |  | 5,500 bbls/day |  | $ 0.60/gallon
NGLs (NC4-Normal Butane) |  |  |  |  |  |
2015 |  | Swaps |  | 3,500 bbls/day |  | $ 0.72/gallon
2016 |  | Swaps |  | 2,500 bbls/day |  | $ 0.72/gallon
NGLs (C5-Natural Gasoline) |  |  |  |  |  |
2015 |  | Swaps |  | 4,000 bbls/day |  | $ 1.16/gallon
2016 |  | Swaps |  | 2,500 bbls/day |  | $ 1.23/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. If the derivative does not qualify as a hedge or is not designated as a hedge, changes in fair value of these non-hedge derivatives are recognized in earnings as derivative fair value income or loss. Basis Swap Contracts In addition to the collars and swaps above, at September 30, 2015, we had natural gas basis swap contracts which lock in the differential between NYMEX and certain of our physical pricing indices primarily in Appalachia. These contracts settle monthly through March 2017 and include a total volume of 37,285,000 Mmbtu. The fair value of these contracts was a loss of $2.0 million on September 30, 2015. Derivative Assets and Liabilities The combined fair value of derivatives included in the accompanying consolidated balance sheets as of September 30, 2015 and December 31, 2014 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):
|  |  | September 30, 2015 |
|  |  | 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 |  | $ | 213,837 |  |  | $ | — |  |  | $ | 213,837 |
| –collars |  |  | 19,657 |  |  |  | — |  |  |  | 19,657 |
| –basis swaps |  |  | 1,875 |  |  |  | (3,458 | ) |  |  | (1,583 | )
Crude oil | –sold swaps |  |  | 66,494 |  |  |  | — |  |  |  | 66,494 |
| –re-purchased swaps |  |  | 1,287 |  |  |  | — |  |  |  | 1,287 |
NGLs | –C3 swaps |  |  | 13,933 |  |  |  | — |  |  |  | 13,933 |
| –NC4 swaps |  |  | 6,004 |  |  |  | — |  |  |  | 6,004 |
| –C5 swaps |  |  | 13,546 |  |  |  | — |  |  |  | 13,546 |
|  |  | $ | 336,633 |  |  | $ | (3,458 | ) |  | $ | 333,175 |
|  |  | September 30, 2015 |
|  |  | 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 | –basis swaps |  | $ | (3,862 | ) |  | $ | 3,458 |  |  | $ | (404 | )
|  |  | $ | (3,862 | ) |  | $ | 3,458 |  |  | $ | (404 | )
|  |  | December 31, 2014 |
|  |  | 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 |  | $ | 198,740 |  |  | $ | — |  |  | $ | 198,740 |
| –collars |  |  | 57,460 |  |  |  | — |  |  |  | 57,460 |
| –basis swaps |  |  | 2,442 |  |  |  | (755 | ) |  |  | 1,687 |
Crude oil | –swaps |  |  | 128,578 |  |  |  | — |  |  |  | 128,578 |
NGLs | –C3 swaps |  |  | 14,727 |  |  |  | — |  |  |  | 14,727 |
| –C5 swaps |  |  | 2,171 |  |  |  | — |  |  |  | 2,171 |
|  |  | $ | 404,118 |  |  | $ | (755 | ) |  | $ | 403,363 |
|  |  | December 31, 2014 |
|  |  | 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 | –basis swaps |  | $ | (755 | ) |  | $ | 755 |  |  | $ | — |
|  |  | $ | (755 | ) |  | $ | 755 |  |  | $ | — |
For the three and nine months ended September 30, 2014, the realized gains from our cash flow hedges (for those derivatives that previously qualified for hedge accounting which were reclassified from AOCI into revenue) is summarized below (in thousands):
|  | Three Months Ended September 30, |  |  |  | Nine Months Ended September 30, |
|  | 2014 |  |  |  | 2014 |
Swaps | $ | 1,255 |  |  | $ | 3,144 |
Collars |  | 2,249 |  |  |  | 7,436 |
Income taxes |  | (1,332 | ) |  |  | (4,122 | )
| $ | 2,172 |  |  | $ | 6,458 |
The effects of our non-hedge derivatives (those derivatives that do not qualify for hedge accounting) on our consolidated statements of operations are summarized below (in thousands):
|  | Three Months Ended September 30, |  |  |  | Nine Months Ended September 30, |
|  | Derivative Fair Value Income (Loss) |  |  |  | Derivative Fair Value Income (Loss) |
| 2015 |  |  |  | 2014 |  |  |  | 2015 |  |  |  | 2014 |
Swaps | $ | 198,245 |  |  | $ | 105,767 |  |  | $ | 281,921 |  |  | $ | 23,173 |
Re-purchased swaps |  | 1,683 |  |  |  | — |  |  |  | 1,683 |  |  |  | — |
Collars |  | 5,626 |  |  |  | 30,119 |  |  |  | 12,391 |  |  |  | (7,997 | )
Basis swaps |  | (3,550 | ) |  |  | 6,171 |  |  |  | (5,943 | ) |  |  | (44,078 | )
Total | $ | 202,004 |  |  | $ | 142,057 |  |  | $ | 290,052 |  |  | $ | (28,902 | )

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