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DERIVATIVE INSTRUMENTS (Tables) | 6 Months Ended
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Jun. 30, 2020
General Discussion of Derivative Instruments and Hedging Activities [Abstract] |
Schedule of open fixed price swap positions and natural gas basis swap positions | Below is a summary of the Company’s open fixed price swap positions as of June 30, 2020.
| Location | Daily Volume (MMBtu/day) |  | Weighted Average Price
Remaining 2020 | NYMEX Henry Hub | 357,000 |  |  | $ | 2.86 |
| Location | Daily Volume (Bbls/day) |  | Weighted Average Price
Remaining 2020 | NYMEX WTI | 3,000 |  |  | $ | 35.49 |
| Location | Daily Volume (Bbls/day) |  | Weighted Average Price
Remaining 2020 | Mont Belvieu C3 | 1,500 |  |  | $ | 20.27 |
The Company sold call options in exchange for a premium, and used the associated premiums to enhance the fixed price for a portion of the fixed price natural gas swaps primarily for 2020 listed above. Each call option has an established ceiling price. When the referenced settlement price is above the price ceiling established by these call options, the Company pays its counterparty an amount equal to the difference between the referenced settlement price and the price ceiling multiplied by the hedged contract volumes.
| Location | Daily Volume (MMBtu/day) |  | Weighted Average Price
2022 | NYMEX Henry Hub | 628,000 |  |  | $ | 2.90 |
2023 | NYMEX Henry Hub | 628,000 |  |  | $ | 2.90 |
| Location | Daily Volume (MMBtu/day) |  | Weighted Average Floor Price |  | Weighted Average Ceiling Price
2021 | NYMEX Henry Hub | 250,000 |  |  | $ | 2.46 |  |  | $ | 2.81 |
As of June 30, 2020, the Company had the following natural gas basis swap positions open:
| Gulfport Pays | Gulfport Receives | Daily Volume (MMBtu/day) |  | Weighted Average Fixed Spread
Remaining 2020 | Transco Zone 4 | NYMEX Plus Fixed Spread | 60,000 |  |  | $ | (0.05) |
Remaining 2020 | Fixed Spread | ONEOK Minus NYMEX | 10,000 |  |  | $ | (0.54) |
During the three months ended June 30, 2020, we early terminated oil fixed price swaps which represented approximately 6,000 BBls of oil per day for the remainder of 2020. The early termination resulted in a cash settlement of $40.5 million.
Schedule of purchase and sale agreement for sale of the company's non-core assets | See below for threshold and potential payment amounts.
Period | Threshold(1) | Payment to be received(2)
July 2020 - June 2021 | Greater than or equal to $60.65 | $ | 150,000 |
| Between $52.62 - $60.65 | Calculated Value(3)
| Less than or equal to $52.62 | $ | — |
(1) | Based on the "WTI NYMEX + Argus LLS Differential," as published by Argus Media. |  |  |
(2) | Payment will be assessed monthly from July 2020 through June 2021. If threshold is met, payment shall be received within five business days after the end of each calendar month. |  |  |
(3) | If average daily price, as defined in (1), is greater than $52.62 but less than $60.65, payment received will be $150,000 multiplied by a fraction, the numerator of which is the amount determined by subtracting $52.62 from such average daily price, and the denominator of which is $8.03. |  |  |
Schedule of derivative instruments in balance sheet | The following table presents the fair value of the Company’s derivative instruments on a gross basis at June 30, 2020 and December 31, 2019:
| June 30, 2020 |  | December 31, 2019
| (In thousands) |  |
Commodity Contracts: |  |  |
Short-term derivative asset | $ | 53,188 |  |  | $ | 125,383 |
Long-term derivative asset | 4,298 |  |  | — |
Short-term derivative liability | (8,540) |  |  | (303) |
Long-term derivative liability | (45,615) |  |  | (53,135) |
Total commodity derivative position | $ | 3,331 |  |  | $ | 71,945 |
Contingent consideration arrangement: |  |  |
Short-term derivative asset | $ | — |  |  | $ | 818 |
Long-term derivative asset | — |  |  | 563 |
Total contingent consideration derivative position | $ | — |  |  | $ | 1,381 |
Total net asset derivative position | $ | 3,331 |  |  | $ | 73,326 |
Schedule of net gain (loss) on derivatives | The following table presents the gain and loss recognized in net gain on natural gas, oil and NGL derivatives in the accompanying consolidated statements of operations for the three and six months ended June 30, 2020 and 2019.
| Net gain (loss) on derivative instruments |  |  |  |  |  |
| Three months ended June 30, |  |  |  | Six months ended June 30, |  |
| 2020 |  | 2019 |  | 2020 |  | 2019
| (In thousands) |  |  |  |  |  |
Natural gas derivatives | $ | 35,689 |  |  | $ | 152,475 |  |  | $ | 81,542 |  |  | $ | 136,044 |
Oil derivatives | (7,937) |  |  | 11,871 |  |  | 44,937 |  |  | 11,417 |
NGL derivatives | (781) |  |  | 6,794 |  |  | 139 |  |  | 3,634 |
Contingent consideration arrangement | — |  |  | — |  |  | (1,381) |  |  | — |
Total | $ | 26,971 |  |  | $ | 171,140 |  |  | $ | 125,237 |  |  | $ | 151,095 |
Schedule of recognized derivative assets | The following table presents the gross amounts of recognized derivative assets and liabilities in the consolidated balance sheets and the amounts that are subject to offsetting under master netting arrangements with counterparties, all at fair value.
| As of June 30, 2020 |  |  |  |
| Gross Assets (Liabilities) |  | Gross Amounts |  |
| Presented in the |  | Subject to Master |  | Net
| Consolidated Balance Sheets |  | Netting Agreements |  | Amount
| (In thousands) |  |  |  |
Derivative assets | $ | 57,486 |  |  | $ | (48,761) |  |  | $ | 8,725 |
Derivative liabilities | $ | (54,155) |  |  | $ | 48,761 |  |  | $ | (5,394) |
| As of December 31, 2019 |  |  |  |
| Gross Assets (Liabilities) |  | Gross Amounts |  |
| Presented in the |  | Subject to Master |  | Net
| Consolidated Balance Sheets |  | Netting Agreements |  | Amount
| (In thousands) |  |  |  |
Derivative assets | $ | 126,764 |  |  | $ | (53,438) |  |  | $ | 73,326 |
Derivative liabilities | $ | (53,438) |  |  | $ | 53,438 |  |  | $ | — |
Schedule of recognized derivative liabilities | The following table presents the gross amounts of recognized derivative assets and liabilities in the consolidated balance sheets and the amounts that are subject to offsetting under master netting arrangements with counterparties, all at fair value.
| As of June 30, 2020 |  |  |  |
| Gross Assets (Liabilities) |  | Gross Amounts |  |
| Presented in the |  | Subject to Master |  | Net
| Consolidated Balance Sheets |  | Netting Agreements |  | Amount
| (In thousands) |  |  |  |
Derivative assets | $ | 57,486 |  |  | $ | (48,761) |  |  | $ | 8,725 |
Derivative liabilities | $ | (54,155) |  |  | $ | 48,761 |  |  | $ | (5,394) |
| As of December 31, 2019 |  |  |  |
| Gross Assets (Liabilities) |  | Gross Amounts |  |
| Presented in the |  | Subject to Master |  | Net
| Consolidated Balance Sheets |  | Netting Agreements |  | Amount
| (In thousands) |  |  |  |
Derivative assets | $ | 126,764 |  |  | $ | (53,438) |  |  | $ | 73,326 |
Derivative liabilities | $ | (53,438) |  |  | $ | 53,438 |  |  | $ | — |

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- Definition Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note). + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4J -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708773-113959 Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4K -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708775-113959 Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 10 -Section 50 -Paragraph 4L -URI http://asc.fasb.org/extlink&oid=121590274&loc=SL5708777-113959 + Details
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