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Derivative Instruments | 9 Months Ended
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Sep. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | DERIVATIVE INSTRUMENTS: CNX enters into interest rate swap agreements to manage its exposure to interest rate volatility. These swaps change the variable-rate cash flow exposure on the debt obligations to fixed cash flows. The change in fair value of the interest rate swap agreements is accounted for on a mark-to-market basis with the changes in fair value recorded in current period earnings. In March 2020, CNX entered into interest rate swaps related to $175,000 of borrowings under the Cardinal States Facility and CSG Holdings Facility (See Note 9 - Long-Term Debt). In order to manage exposure to interest rate volatility, each respective entity entered into an interest rate swap for the full outstanding principal amounts inclusive of a put option at 25 basis points. The underlying notional for each swap and put option reduced over time based upon the expected amortization profile for each respective credit facility. In addition, CSG Holdings entered into a call option commencing March 31, 2023. In August 2021, these swaps were terminated in conjunction with the repayment and termination of both the Cardinal States Facility and the CSG Holdings Facility (See Note 9 - Long-Term Debt). In June 2019, CNX entered into an interest rate swap agreement related to $160,000 of borrowings under the CNX Credit Facility (See Note 7 - Revolving Credit Facilities) which has the economic effect of modifying the variable-interest obligation into a fixed-interest obligation over a three-year period. In March 2020, this swap was terminated and replaced via a new interest rate swap, effective immediately, into a new four-year interest rate swap inclusive of a put option at zero basis points. Also executed in March 2020 was a new four-year $250,000 interest rate swap, inclusive of a put option at zero basis points, effective April 3, 2020. In December 2020, CNX executed an offsetting $250,000 interest rate swap, effective immediately, which expires in April 2024. Consistent with the previous interest rate swap agreements, the $250,000 interest rate swaps were entered into to manage CNX's exposure to interest rate volatility. CNX enters into financial derivative instruments (over-the-counter swaps) to manage its exposure to natural gas price fluctuations. Typically, CNX "sells" swaps under which it receives a fixed price from counterparties and pays a floating market price. In order to enhance production flexibility, during the first quarter of 2021, CNX purchased, rather than sold, financial swaps for the period April through October 2021 under which CNX will pay a fixed price to and receive a floating price from its hedge counterparties. Swaps purchased have the effect of reducing total hedged volumes for the period of the swap. Natural gas commodity hedges are accounted for on a mark-to-market basis with changes in fair value recorded in current period earnings. CNX is exposed to credit risk in the event of non-performance by counterparties. The creditworthiness of counterparties is subject to continuing review. The Company has not experienced any issues of non-performance by derivative counterparties. None of the Company's counterparty master agreements currently require CNX to post collateral for any of its positions. However, as stated in the counterparty master agreements, if CNX's obligations with one of its counterparties cease to be secured on the same basis as similar obligations with the other lenders under the credit facility, CNX would have to post collateral for instruments in a liability position in excess of defined thresholds. All of the Company's derivative instruments are subject to master netting arrangements with our counterparties. CNX recognizes all financial derivative instruments as either assets or liabilities at fair value in the Consolidated Balance Sheets on a gross basis. Each of the Company's counterparty master agreements allows, in the event of default, the ability to elect early termination of outstanding contracts. If early termination is elected, CNX and the applicable counterparty would net settle all open hedge positions. The total notional amounts of CNX's derivative instruments were as follows:
| September 30, |  | December 31, |  | Forecasted to
| 2021 |  | 2020 |  | Settle Through
Natural Gas Commodity Swaps (Bcf) | 1,728.5 |  |  | 1,256.9 |  |  | 2027
Natural Gas Basis Swaps (Bcf) | 1,239.4 |  | * | 1,294.1 |  |  | 2027
Interest Rate Swaps | $ | 410,000 |  |  | $ | 569,972 |  |  | 2024
*Net of purchased natural gas basis swaps of 3.4 Bcf. The gross fair value of CNX's derivative instruments was as follows:
| September 30, |  | December 31,
| 2021 |  | 2020
Current Assets: |  |  |
Commodity Derivative Instruments: |  |  |
Commodity Swaps | $ | — |  |  | $ | 53,668 |
Basis Only Swaps | 83,841 |  |  | 30,848 |
Interest Rate Swaps | 29 |  |  | 141 |
Total Current Assets | $ | 83,870 |  |  | $ | 84,657 |
Other Non-Current Assets: |  |  |
Commodity Derivative Instruments: |  |  |
Commodity Swaps | $ | 6,665 |  |  | $ | 134,661 |
Basis Only Swaps | 172,511 |  |  | 52,903 |
Interest Rate Swaps | — |  |  | 673 |
Total Other Non-Current Assets | $ | 179,176 |  |  | $ | 188,237 |
Current Liabilities: |  |  |
Commodity Derivative Instruments: |  |  |
Commodity Swaps | $ | 1,133,730 |  |  | $ | 23,506 |
Basis Only Swaps | 31,413 |  |  | 14,491 |
Interest Rate Swaps | 3,454 |  |  | 4,332 |
Total Current Liabilities | $ | 1,168,597 |  |  | $ | 42,329 |
Non-Current Liabilities: |  |  |
Commodity Derivative Instruments: |  |  |
Commodity Swaps | $ | 834,009 |  |  | $ | 59,388 |
Basis Only Swaps | 19,987 |  |  | 57,150 |
Interest Rate Swaps | 4,771 |  |  | 10,752 |
Total Non-Current Liabilities | $ | 858,767 |  |  | $ | 127,290 |
The effect of commodity derivative instruments on the Company's Consolidated Statements of Income was as follows:
|  | For the Three Months Ended |  | For the Nine Months Ended
|  | September 30, |  | September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Cash (Paid) Received in Settlement of Commodity Derivative Instruments: |  |  |  |  |  |  |  |
Natural Gas: |  |  |  |  |  |  |  |
Commodity Swaps |  | $ | (161,887) |  |  | $ | 72,062 |  |  | $ | (171,829) |  |  | $ | 382,891 |
Basis Swaps |  | 30,796 |  |  | 18,248 |  |  | 32,784 |  |  | 836 |
Total Cash (Paid) Received in Settlement of Commodity Derivative Instruments |  | (131,091) |  |  | 90,310 |  |  | (139,045) |  |  | 383,727 |
Unrealized (Loss) Gain on Commodity Derivative Instruments: |  |  |  |  |  |  |  |
Natural Gas: |  |  |  |  |  |  |  |
Commodity Swaps |  | (1,339,362) |  |  | (369,121) |  |  | (2,066,509) |  |  | (550,694) |
Basis Swaps |  | (36,817) |  |  | 109,977 |  |  | 192,840 |  |  | 49,972 |
Total Unrealized Loss on Commodity Derivative Instruments |  | (1,376,179) |  |  | (259,144) |  |  | (1,873,669) |  |  | (500,722) |
(Loss) Gain on Commodity Derivative Instruments: |  |  |  |  |  |  |  |
Natural Gas: |  |  |  |  |  |  |  |
Commodity Swaps |  | (1,501,249) |  |  | (297,059) |  |  | (2,238,338) |  |  | (167,803) |
Basis Swaps |  | (6,021) |  |  | 128,225 |  |  | 225,624 |  |  | 50,808 |
Total Loss on Commodity Derivative Instruments |  | $ | (1,507,270) |  |  | $ | (168,834) |  |  | $ | (2,012,714) |  |  | $ | (116,995) |
The effect of interest rate swaps on Interest Expense in the Company's Consolidated Statements of Income was as follows:
|  | For the Three Months Ended |  | For the Nine Months Ended
|  | September 30, |  | September 30,
|  | 2021 |  | 2020 |  | 2021 |  | 2020
Cash Paid in Settlement of Interest Rate Swaps |  | $ | (2,154) |  |  | $ | (1,257) |  |  | $ | (4,621) |  |  | $ | (1,850) |
Unrealized Gain (Loss) on Interest Rate Swaps |  | 1,416 |  |  | (152) |  |  | 6,075 |  |  | (14,389) |
(Loss) Gain on Interest Rate Swaps |  | $ | (738) |  |  | $ | (1,409) |  |  | $ | 1,454 |  |  | $ | (16,239) |
Cash Received in Settlement of Commodity Derivative Instruments for the nine months ended September 30, 2020 includes $54,982 related to the monetization of certain NYMEX commodity swaps. The monetization resulted from reducing the contract swap prices of certain 2022, 2023 and 2024 NYMEX natural gas swap contracts. The notional quantities of the contracts were not changed by this monetization. In addition, Cash Received in Settlement of Commodity Derivative Instruments for the nine months ended September 30, 2020 included $5,851 related to the monetization and termination of approximately 8 million MMBtus of NYMEX natural gas hedges and a similar quantity of financial basis hedges that were to settle at various times from October through November of 2020. Net proceeds received from the monetizations are classified as operating cash flows in the Consolidated Statements of Cash Flows. The Company also enters into fixed price natural gas sales agreements that are satisfied by physical delivery. These physical commodity contracts qualify for the normal purchases and normal sales exception and are not subject to derivative instrument accounting.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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