| DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | 13. DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES Our net income and cash flows are subject to volatility stemming from fluctuations in commodity prices of natural gas, NGLs, condensate, crude oil and fractionation margins. Fractionation margins represent the relative difference between the price we receive from NGL and condensate sales and the corresponding cost of natural gas we purchase for processing. Our exposure to commodity price risk exists within both of our segments. We use derivative financial instruments (i.e., futures, forwards, swaps, options, and other financial instruments with similar characteristics) to manage the risks associated with market fluctuations in commodity prices, as well as to reduce the volatility in our cash flows. Based on our risk management policies, all of our derivative financial instruments are employed in connection with an underlying asset, liability and/or forecasted transaction and are not entered into with the objective of speculating on commodity prices. We have hedged a portion of our exposure to the variability in future cash flows associated with commodity price risks in future periods in accordance with our risk management policies. Our derivative instruments that are designated for hedge accounting under authoritative guidance are classified as cash flow hedges. Derivative Positions Our derivative financial instruments are included at their fair values in the consolidated statements of financial position as follows: June 30, December 31, (in millions) Other current assets $ 61.2 $ 117.3 Other assets, net 12.2 39.2 Accounts payable and other (1) (30.5 ) (45.7 ) Other long-term liabilities (10.6 ) (18.3 ) $ 32.3 $ 92.5 (1) Includes $12.6 million of cash collateral at December 31, 2015. The changes in the assets and liabilities associated with our derivatives are primarily attributable to the effects of new derivative transactions we have entered at prevailing market prices, settlement of maturing derivatives and the change in forward market prices of our remaining hedges. Our portfolio of derivative financial instruments is largely comprised of natural gas, NGL and crude oil sales and purchase contracts. The table below summarizes our derivative balances by counterparty credit quality (any negative amounts represent our net obligations to pay the counterparty): June 30, December 31, (in millions) Counterparty Credit Quality (1) AA (2) $ 32.4 $ 67.6 A 2.8 24.1 Lower than A (2.9 ) 0.8 $ 32.3 $ 92.5 (1) As determined by nationally-recognized statistical ratings organizations. (2) Includes $12.6 million of cash collateral at December 31, 2015. As the net value of our derivative financial instruments has decreased as a result of the settlement of maturing derivatives, our outstanding financial exposure to third parties has also decreased. When credit thresholds are met pursuant to the terms of our International Swaps and Derivatives Association, Inc., or ISDA®, financial contracts, we have the right to require collateral from our counterparties. We include any cash collateral received in the balances listed above. At June 30, 2016, we did not have any cash collateral on our asset exposures. At December 31, 2015, our short-term liabilities included $12.6 million relating to cash collateral on our asset exposures. Cash collateral is classified as “Restricted cash” in our consolidated statements of financial position. As of December 31, 2015, all of our cash collateral was held directly by EEP. At June 30, 2016, we provided no letters of credit relating to our liability exposures pursuant to the margin thresholds in effect under our ISDA® agreements. At December 31, 2015, we provided letters of credit totaling $7.5 million. The ISDA® agreements and associated credit support, which govern our financial derivative transactions, contain no credit rating downgrade triggers that would accelerate the maturity dates of our outstanding transactions. A change in ratings is not an event of default under these instruments, and the maintenance of a specific minimum credit rating is not a condition to transacting under the ISDA® agreements. In the event of a credit downgrade, additional collateral may be required to be posted under the agreement if we are in a liability position to our counterparty, but the agreement will not automatically terminate and require immediate settlement of all future amounts due. The ISDA® agreements, in combination with our master netting agreements, and credit arrangements governing our commodity swaps require that collateral be posted per tiered contractual thresholds based on the credit rating of each counterparty. We generally provide letters of credit to satisfy such collateral requirements under our ISDA® agreements. These agreements will require additional collateral postings of up to 100% on net liability positions in the event of a credit downgrade below investment grade. Automatic termination clauses which exist are related only to non-performance activities, such as the refusal to post collateral when contractually required to do so. When we are holding an asset position, our counterparties are likewise required to post collateral on their liability (our asset) exposures, also determined by tiered contractual collateral thresholds. Counterparty collateral may consist of cash or letters of credit, both of which must be fulfilled with immediately available funds. In the event that our credit ratings were to decline below the lowest level of investment grade, as determined by Standard & Poor’s and Moody’s, we would be required to provide additional amounts under our existing letters of credit to meet the requirements of our ISDA® agreements. For example, if our credit ratings had been below the lowest level of investment grade at June 30, 2016, we would have been required to provide additional letters of credit in the amount of $10.4 million related to our open positions. At June 30, 2016, and December 31, 2015, we had credit concentrations in the following industry sectors, as presented below: June 30, December 31, (in millions) United States financial institutions and investment banking entities (1) $ 32.0 $ 80.8 Non-United States financial institutions (10.5 ) (12.3 ) Integrated oil companies (1.4 ) 0.6 Other 12.2 23.4 $ 32.3 $ 92.5 (1) Includes $12.6 million of cash collateral at December 31, 2015. Gross derivative balances are presented below before the effects of collateral received or posted and without the effects of master netting arrangements. Both our assets and liabilities are adjusted for non-performance risk, which is statistically derived. This credit valuation adjustment model considers existing derivative asset and liability balances in conjunction with contractual netting and collateral arrangements, current market data such as credit default swap rates and bond spreads and probability of default assumptions to quantify an adjustment to fair value. For credit modeling purposes, collateral received is included in the calculation of our assets, while any collateral posted is excluded from the calculation of the credit adjustment. Our credit exposure for these over-the-counter, or OTC, derivatives is directly with our counterparty and continues until the maturity or termination of the contracts. Effect of Derivative Instruments on the Consolidated Statements of Financial Position Asset Derivatives Liability Derivatives Fair Value at Fair Value at Financial Position Location June 30, December 31, June 30, December 31, (in millions) Derivatives not designated as hedging instruments: Commodity contracts Other current assets $ 61.2 $ 117.3 $ $ Commodity contracts Other assets, net 12.2 39.2 Commodity contracts Accounts payable and other (1) (30.5 ) (33.1 ) Commodity contracts Other long-term liabilities (10.6 ) (18.3 ) Total derivative instruments $ 73.4 $ 156.5 $ (41.1 ) $ (51.4 ) (1) Liability derivatives exclude $12.6 million of cash collateral at December 31, 2015. Accumulated Other Comprehensive Income We record the change in fair value of our highly effective cash flow hedges in AOCI until the derivative financial instruments are settled, at which time they are reclassified to earnings. As of June 30, 2016 and December 31, 2015, we included in AOCI unrecognized losses of approximately $0.5 million and $0.4 million, respectively, associated with derivative financial instruments that qualified for and were classified as cash flow hedges of forecasted transactions that were subsequently de-designated, settled, or terminated. These losses are reclassified to earnings over the periods during which the originally hedged forecasted transactions affect earnings. During the six months ended June 30, 2015, unrealized commodity hedge gains of $0.6 million were de-designated as a result of the hedges no longer meeting hedge accounting criteria. At June 30, 2016, we had no de-designated commodity hedges. We estimate that the unrealized net gains and losses from our cash flow hedging will have no impact on the value reclassified from AOCI to earnings during the next 12 months. Effect of Derivative Instruments on the Consolidated Statements of Income and Accumulated Other Comprehensive Income Derivatives in Cash Flow Amount of Gain Location of Gain (Loss) Amount of Gain Location of Gain (Loss) (1) Amount of Gain (1) (in millions) For the three months ended June 30, 2016 Commodity contracts $ Cost of natural gas and $ Cost of natural gas and $ For the three months ended June 30, 2015 Commodity contracts $ (7.7 ) Cost of natural gas and natural gas liquids $ 7.1 Cost of natural gas and $ For the six months ended June 30, 2016 Interest Rate contracts $ Interest expense $ (0.1 ) Interest expense $ Commodity contracts Cost of natural gas and 0.1 Cost of natural gas and $ $ $ For the six months ended June 30, 2015 Commodity contracts $ (11.3 ) Cost of natural gas and $ 15.5 Cost of natural gas and $ (4.0 ) (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 $ (0.9 ) $ 11.6 Other comprehensive income (loss) before reclassifications (1) 2.3 Amounts reclassified from AOCI (2) (3) (8.0 ) Tax benefit 0.1 Net other comprehensive loss $ $ (5.6 ) Balance at June 30 $ (0.9 ) $ 6.0 (1) Excludes NCI gain of $2.2 million reclassified from AOCI at June 30, 2015. (2) Excludes NCI loss $7.5 million reclassified from AOCI at June 30, 2015. (3) For additional details on the amounts reclassified from AOCI, reference the Reclassifications from Accumulated Other Comprehensive Income Reclassifications from Accumulated Other Comprehensive Income For the three months For the six months 2016 2015 2016 2015 (in millions) Losses (gains) on cash flow hedges: Commodity Contracts (1) (2) (3) $ $ (3.7 ) $ $ (8.0 ) Total Reclassifications from AOCI $ $ (3.7 ) $ $ (8.0 ) (1) Loss (gain) reported within “Cost of natural gas and natural gas liquids” in the consolidated statements of income. (2) Excludes NCI loss $3.4 million reclassified from AOCI for the three months ended June 30, 2015. (3) Excludes NCI loss of $7.5 million reclassified from AOCI for the six months ended June 30, 2015. Effect of Derivative Instruments on Consolidated Statements of Income For the three months ended June 30, For the six months 2016 2015 2016 2015 Derivatives Not Location of Gain or (Loss) Amount of Gain or (1) (2) Amount of Gain or (1) (2) (in millions) Commodity contracts Commodity sales $ (1.1 ) $ 2.1 $ (3.5 ) $ (15.2 ) Commodity contracts Commodity sales affiliate (0.1 ) (0.3 ) Commodity contracts Cost of natural gas and natural gas liquids (3) (26.6 ) (8.5 ) (24.8 ) 3.6 Total $ (27.7 ) $ (6.5 ) $ (28.3 ) $ (11.9 ) (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 $18.1 million and $18.0 million for the three months ended June 30, 2016 and 2015, respectively, and settlement gains of $44.6 million and $43.7 million for the six months ended June 30, 2016 and 2015, respectively. We record the fair market value of our derivative financial and physical instruments in the consolidated statements of financial position as current and long-term assets or liabilities on a gross basis. However, the terms of the ISDA®, which govern our financial contracts and our other master netting agreements, allow the parties to elect in respect of all transactions under the agreement, in the event of a default and upon notice to the defaulting party, for the non-defaulting party to set-off all settlement payments, collateral held and any other obligations (whether or not then due), which the non-defaulting party owes to the defaulting party. The effect of the rights of set-off are outlined below: Offsetting of Financial Assets and Derivative Assets As of June 30, 2016 Gross Gross Amount Net Amount of Gross Amount Net Amount (in millions) Description: Derivatives $ 73.4 $ $ 73.4 $ (25.0 ) $ 48.4 As of December 31, 2015 Gross Gross Amount Net Amount of Gross Amount (1) Net Amount (in millions) Description: Derivatives $ 156.5 $ $ 156.5 $ (41.5 ) $ 115.0 (1) Includes $12.6 million of cash collateral at December 31, 2015. Offsetting of Financial Liabilities and Derivative Liabilities As of June 30, 2016 Gross Gross Amount Net Amount of Gross Amount Net Amount (in millions) Description: Derivatives $ (41.1 ) $ $ (41.1 ) $ 25.0 $ (16.1 ) As of December 31, 2015 Gross (1) Gross Amount Net Amount of Gross Amount (1) Net Amount (in millions) Description: Derivatives $ (64.0 ) $ $ (64.0 ) $ 41.5 $ (22.5 ) (1) Includes $12.6 million of cash collateral at December 31, 2015. Inputs to Fair Value Derivative Instruments The following table sets forth by level within the fair value hierarchy of our net financial assets and liabilities that were accounted for at fair value on a recurring basis as of June 30, 2016 and December 31, 2015. We classify financial assets and liabilities in their entirety based on the lowest level of input that is significant to the fair value measurement. Our assessment of the significance of a particular input to the fair value measurement requires judgment and may affect our valuation of the financial assets and liabilities and their placement within the fair value hierarchy. June 30, 2016 December 31, 2015 Level 1 Level 2 Level 3 Total Level 1 Level 2 Level 3 Total (in millions) Commodity contracts: Financial $ $ (0.1 ) $ 0.7 $ 0.6 $ $ 1.3 $ 8.9 $ 10.2 Physical (0.5 ) (0.5 ) 0.6 0.6 Commodity options 32.2 32.2 94.3 94.3 $ $ (0.1 ) $ 32.4 $ 32.3 $ $ 1.3 $ 103.8 $ 105.1 Cash collateral (12.6 ) Total $ 32.3 $ 92.5 Qualitative Information about Level 2 Fair Value Measurements We categorize, as Level 2, the fair value of assets and liabilities that we measure with either directly or indirectly observable inputs as of the measurement date, where pricing inputs are other than quoted prices in active markets for the identical instrument. This category includes both OTC transactions valued using exchange traded pricing information in addition to assets and liabilities that we value using either models or other valuation methodologies derived from observable market data. These models are primarily industry-standard models that consider various inputs including: (1) quoted prices for assets and liabilities; (2) time value; and (3) current market and contractual prices for the underlying instruments, as well as other relevant economic measures. Substantially all of these inputs are observable in the marketplace throughout the full term of the assets and liabilities, can be derived from observable data, or are supported by observable levels at which transactions are executed in the marketplace. Qualitative Information about Level 3 Fair Value Measurements Data from pricing services and published indices are used to measure the fair value of our Level 3 derivative instruments on a recurring basis. We may also use these inputs with internally developed methodologies that result in our best estimate of fair value. The inputs listed in the table below would have a direct impact on the fair values of the listed instruments. The significant unobservable inputs used in the fair value measurement of the commodity derivatives (natural gas, NGLs and crude) are forward commodity prices. The significant unobservable inputs used in determining the fair value measurement of options are price and volatility. Forward commodity price in isolation has a direct relationship to the fair value of a commodity contract in a long position and an inverse relationship to a commodity contract in a short position. Volatility has a direct relationship to the fair value of an option contract. Generally, a change in the estimate of forward commodity prices is unrelated to a change in the estimate of volatility of prices. A change to the credit valuation has an inverse relationship to the fair value of our derivative contracts. Quantitative Information About Level 3 Fair Value Measurements Contract Type Fair Value at June 30, Valuation Technique Unobservable Input Range (1) Units Lowest Highest Weighted (in millions) Commodity Contracts Financial Natural Gas $ 1.4 Market Approach Forward Gas Price 2.74 3.73 3.22 MMBtu NGLs (0.7 ) Market Approach Forward NGL Price 0.24 1.03 0.50 Gal Commodity Contracts Physical Natural Gas (0.4 ) Market Approach Forward Gas Price 2.56 3.34 2.83 MMBtu Crude Oil (2.2 ) Market Approach Forward Crude Price 35.22 51.13 47.24 Bbl NGLs 2.1 Market Approach Forward NGL Price 0.24 1.44 0.55 Gal Commodity Options Natural Gas, Crude and NGLs 32.2 Option Model Option Volatility 7 % 91 % 37 % Total Fair Value $ 32.4 (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. Quantitative Information About Level 3 Fair Value Measurements Contract Type Fair Value at December 31, (2) Valuation Technique Unobservable Input Range (1) Units Lowest Highest Weighted (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 Oil 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 MMBtu for natural gas, dollars per gallon, or Gal, for NGLs, and Bbl for crude oil. (2) Fair values include credit valuation adjustment losses of approximately $0.3 million. Level 3 Fair Value Reconciliation 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 June 30, 2016. No transfers of assets between any of the Levels occurred during the period. Commodity Commodity Commodity 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 (14.5 ) (14.5 ) Reported in Cost of natural gas and natural gas liquids (1.9 ) 16.9 (23.8 ) (8.8 ) Gains or losses included in other comprehensive income: Purchases, issuances, sales and settlements: Purchases Sales 0.7 0.7 Settlements (2) (6.3 ) (3.5 ) (39.0 ) (48.8 ) Ending balance as of June 30, 2016 $ 0.7 $ (0.5 ) $ 32.2 $ 32.4 Amounts reported in Commodity sales $ $ (3.5 ) $ $ (3.5 ) Amount of changes in net assets attributable to the change in unrealized gains or losses related to assets and liabilities still held at the reporting date: Reported in Commodity sales $ $ (4.4 ) $ $ (4.4 ) Reported in Cost of natural gas and natural gas liquids $ (2.4 ) $ 4.6 $ (20.8 ) $ (18.6 ) (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. Fair Value Measurements of Commodity Derivatives The following table provides summarized information about the fair values of expected cash flows of our outstanding commodity based swaps and physical contracts at June 30, 2016 and December 31, 2015: At June 30, 2016 At December 31, 2015 Wtd. Average Price (2) Fair Value (3) Fair Value (3) Commodity Notional (1) Receive Pay Asset Liability Asset Liability (in millions) Portion of contracts maturing in 2016 Swaps Receive variable/pay fixed Natural Gas 16,287 $ 3.08 $ 3.48 $ $ $ $ NGL 1,203,400 $ 30.79 $ 31.48 $ 1.4 $ (2.2 ) $ 0.2 $ (8.4 ) Crude Oil 304,800 $ 49.52 $ 66.64 $ 0.3 $ (5.6 ) $ $ (17.5 ) Receive fixed/pay variable NGL 2,513,400 $ 23.59 $ 22.79 $ 5.7 $ (3.7 ) $ 18.3 $ (0.2 ) Crude Oil 512,800 $ 59.70 $ 49.04 $ 6.1 $ (0.6 ) $ 18.2 $ Receive variable/pay variable Natural Gas 6,536,000 $ 3.18 $ 3.15 $ 0.3 $ (0.1 ) $ 0.1 $ (0.1 ) Physical Contracts Receive variable/pay fixed NGL 535,284 $ 26.41 $ 23.91 $ 1.4 $ (0.1 ) $ $ (0.2 ) Crude Oil $ $ $ $ $ $ (0.2 ) Receive fixed/pay variable NGL 1,165,923 $ 19.12 $ 21.91 $ 0.2 $ (3.4 ) $ 1.9 $ (0.2 ) Receive variable/pay variable Natural Gas 68,727,634 $ 2.77 $ 2.78 $ 0.1 $ (0.8 ) $ $ (2.8 ) NGL 6,459,247 $ 22.70 $ 22.22 $ 3.8 $ (0.7 ) $ 4.0 $ (2.4 ) Crude Oil 949,604 $ 44.46 $ 46.75 $ 1.0 $ (3.1 ) $ 0.7 $ (0.5 ) Portion of contracts maturing in 2017 Swaps Receive variable/pay fixed Natural Gas 76,530 $ 2.97 $ 2.97 $ $ $ $ NGL 1,042,500 $ 20.93 $ 21.52 $ 1.0 $ (1.6 ) $ $ (4.5 ) Crude Oil 638,750 $ 52.41 $ 64.29 $ 0.2 $ (7.8 ) $ $ (10.9 ) Receive fixed/pay variable NGL 1,452,500 $ 18.84 $ 19.86 $ 0.7 $ (2.2 ) $ 3.3 $ (0.1 ) Crude Oil 638,750 $ 63.63 $ 52.41 $ 7.7 $ (0.7 ) $ 10.9 $ Receive variable/pay variable Natural Gas 12,550,000 $ 3.25 $ 3.16 $ 1.2 $ (0.1 ) $ 0.5 $ (0.2 ) Physical Contracts Receive variable/pay fixed NGL 45,000 $ 23.80 $ 21.95 $ 0.1 $ $ $ Receive fixed/pay variable NGL 10,820 $ 28.00 $ 25.09 $ $ $ $ Receive variable/pay variable Natural Gas 10,067,810 $ 3.12 $ 3.10 $ 0.2 $ $ 0.1 $ NGL 792,372 $ 28.42 $ 27.37 $ 0.9 $ $ $ Portion of contracts maturing in 2018 Physical Contracts Receive variable/pay variable Natural Gas 2,187,810 $ 3.04 $ 3.01 $ 0.1 $ $ 0.1 $ Portion of contracts maturing in 2019 Physical Contracts Receive variable/pay variable Natural Gas 2,187,810 $ 3.04 $ 3.01 $ 0.1 $ $ 0.1 $ Portion of contracts maturing in 2020 Physical Contracts Receive variable/pay variable Natural Gas 359,640 $ 3.29 $ 3.27 $ $ $ $ (1) Volumes of natural gas are measured in MMBtu, whereas volumes of NGLs and crude oil are measured in Bbl. (2) Weighted-average prices received and paid are in $/MMBtu for natural gas and $/Bbl for NGLs and crude oil. (3) The fair value is determined based on quoted market prices at June 30, 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 $0.3 million and $0.6 million at June 30, 2016 and December 31, 2015, respectively, as well as cash collateral received. The following table provides summarized information about the fair values of expected cash flows of our outstanding commodity options at June 30, 2016 and December 31, 2015: At June 30, 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 828,000 $ 3.75 $ 3.02 $ 0.6 $ $ 2.1 $ NGL 1,490,400 $ 39.29 $ 27.02 $ 19.2 $ $ 54.4 $ Crude Oil 404,800 $ 75.91 $ 49.95 $ 10.5 $ $ 27.7 $ Calls (written) Natural Gas 828,000 $ 4.98 $ 3.02 $ $ $ $ NGL 1,490,400 $ 45.09 $ 27.02 $ $ (0.5 ) $ $ (0.3 ) Crude Oil 404,800 $ 86.68 $ 49.95 $ $ $ $ Puts (written) Natural Gas 828,000 $ 3.75 $ 3.02 $ $ (0.6 ) $ $ (2.1 ) NGL 119,600 $ 37.04 $ 28.02 $ $ (1.2 ) $ $ (1.5 ) Calls (purchased) Natural Gas 828,000 $ 4.98 $ 3.02 $ $ $ $ NGL 119,600 $ 42.09 $ 28.02 $ 0.1 $ $ $ Portion of option contracts maturing in 2017 Puts (purchased) NGL 1,642,500 $ 25.90 $ 28.66 $ 3.3 $ $ 5.8 $ Crude Oil 638,750 $ 59.86 $ 52.41 $ 7.8 $ $ 10.0 $ Calls (written) NGL 1,642,500 $ 30.06 $ 28.66 $ $ (4.7 ) $ $ (0.8 ) Crude Oil 638,750 $ 68.19 $ 52.41 $ $ (1.7 ) $ $ (0.6 ) Portion of option contracts maturing in 2018 Puts (purchased) Crude Oil 91,250 $ 42.00 $ 53.81 $ 0.3 $ $ $ Calls (written) Crude Oil 91,250 $ 51.75 $ 53.81 $ $ (0.8 ) $ $ (1) Volumes of natural gas are measured in MMBtu, whereas volumes of NGLs and crude oil are measured in Bbl. (2) Strike and market prices are in $/MMBtu for natural gas and in $/Bbl for NGLs and crude oil. (3) The fair value is determined based on quoted market prices at June 30, 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 $0.1 million and $0.4 million at June 30, 2016 and December 31, 2015, respectively, as well as cash collateral received. |
