DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | 3 Months Ended |
Mar. 31, 2015 |
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES [Abstract] | |
DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES | 13. DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES |
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Our net income and cash flows are subject to volatility stemming from fluctuations in commodity prices of natural gas, NGLs, condensate 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 through 2020 in accordance with our risk management policies. Our derivative instruments that qualify for hedge accounting under authoritative guidance are classified as cash flow hedges. |
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Derivative Positions |
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Our derivative financial instruments are included at their fair values in the consolidated statements of financial position as follows: |
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| | March 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2015 | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other current assets | | $ | 133.5 | | | $ | 164.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other assets, net | | | 76.4 | | | | 91.5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Accounts payable and other (1) | | | (61.7 | ) | | | (74.4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other long-term liabilities | | | (21.0 | ) | | | (22.5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Due from General Partner and affiliates | | | 0.1 | | | | 0.3 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | $ | 127.3 | | | $ | 159.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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-1 | Includes $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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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. |
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The table below summarizes our derivative balances by counterparty credit quality (negative amounts represent our net obligations to pay the counterparty). |
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| | March 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2015 | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Counterparty Credit Quality (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AAA | | $ | 0.4 | | | $ | 0.1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
AA (2) | | | 69.5 | | | | 74.4 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
A | | | 47.4 | | | | 67.1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Lower than A | | | 10 | | | | 18 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | $ | 127.3 | | | $ | 159.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(1) | As determined by nationally-recognized statistical ratings organizations. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(2) | Includes $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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As the net value of our derivative financial instruments has decreased in response to changes in forward commodity prices, 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. As of March 31, 2015, and December 31, 2014, we were holding cash collateral of $22.6 million and $28.4 million on our asset exposures, respectively. Cash collateral is classified as “Restricted cash” in our consolidated statements of financial position. When we are in a position of posting collateral to cover our counterparties' exposure to our non-performance, the collateral is provided through letters of credit, which are not reflected above. |
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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. |
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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. |
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At March 31, 2015, and December 31, 2014, we had credit concentrations in the following industry sectors, as presented below: |
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| | March 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
2015 | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
United States financial institutions and investment banking entities (1) | | $ | 80.3 | | | $ | 88.5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Non-United States financial institutions | | | 19 | | | | 30.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Integrated oil companies | | | 0.1 | | | | 1.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other | | | 27.9 | | | | 38.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | $ | 127.3 | | | $ | 159.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(1) | Includes $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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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. |
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Effect of Derivative Instruments on the Consolidated Statements of Financial Position |
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| | | | Asset Derivatives | | | Liability Derivatives | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Fair Value at | | | Fair Value at | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Financial Position | | March 31, | | | December 31, | | | March 31, | | | December 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Location | 2015 | 2014 | 2015 | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives designated as cash flow hedging instruments (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Other current assets | | $ | 20.7 | | | $ | 26.1 | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Other assets | | | — | | | | 2.1 | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | 20.7 | | | | 28.2 | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Derivatives not designated as hedging instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Other current assets | | | 112.8 | | | | 138.6 | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Other assets | | | 76.4 | | | | 89.4 | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Accounts payable and other (2) | | | — | | | | — | | | | (39.1 | ) | | | (46.0 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Other long-term liabilities | | | — | | | | — | | | | (21.0 | ) | | | (22.5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Due from general partner | | | 0.1 | | | | 0.3 | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
and affiliates | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | 189.3 | | | | 228.3 | | | | (60.1 | ) | | | (68.5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Total derivative instruments | | | | $ | 210 | | | $ | 256.5 | | | $ | (60.1 | ) | | $ | (68.5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(1) | Includes items currently designated as hedging instruments. Excludes the portion of de-designated hedges which may have a component remaining in AOCI. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(2) | Excludes total of $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Accumulated Other Comprehensive Income |
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Also included in AOCI, as of March 31, 2015, are unrecognized gains of approximately $0.5 million associated with derivative financial instruments that qualified for and were classified as cash flow hedges of forecasted transactions that were subsequently de-designated. These gains are reclassified to earnings over the periods during which the originally hedged forecasted transactions affect earnings. |
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During the three-month periods ended March 31, 2015 and 2014, unrealized commodity hedge gains of $0.6 million and losses of $0.1 million, respectively, were de-designated as a result of the hedges no longer meeting hedge accounting criteria. We estimate that approximately $21.7 million, representing unrealized net gains from our cash flow hedging activities based on pricing and positions at March 31, 2015, will be reclassified from AOCI to earnings during the next 12 months. |
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Effect of Derivative Instruments on the Consolidated Statements of Income and Accumulated Other Comprehensive Income |
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Derivatives in Cash Flow | | Amount of Gain (Loss) | | | Location of Gain (Loss) | | Amount of Gain (Loss) | | | Location of Gain | | Amount of Gain | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Hedging Relationships | Recognized in | Reclassified from | Reclassified from | (Loss) Recognized in | (Loss) Recognized in | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| AOCI on Derivative | AOCI to Earnings | AOCI to Earnings | Earnings on Derivative | Earnings on | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| (Effective Portion) | (Effective Portion) | (Effective Portion) | (Ineffective Portion and | Derivative | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Amount Excluded from | (Ineffective Portion | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | Effectiveness Testing) (1) | and Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Excluded from | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Effectiveness | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Testing) (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
For the three-month period ended March 31, 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | $ | (3.6 | ) | | Cost of natural gas and | | $ | 8.4 | | | Cost of natural gas and | | $ | (4.0 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
natural gas liquids | natural gas liquids | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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For the three-month period ended March 31, 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | $ | (0.1 | ) | | Cost of natural gas and | | $ | (6.5 | ) | | Cost of natural gas and | | $ | 1.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
natural gas liquids | natural gas liquids | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(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. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Components of Accumulated Other Comprehensive Income/(Loss) |
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| | Cash Flow Hedges | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2015 | | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Balance at January 1, | | $ | 11.6 | | | $ | (3.1 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Other Comprehensive Income before reclassifications (1) | | | 2.8 | | | | (2.4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts reclassified from AOCI (2) (3) | | | (4.3 | ) | | | 2.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Net other comprehensive loss | | $ | (1.5 | ) | | $ | 0.2 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Balance at March 31, | | $ | 10.1 | | | $ | (2.9 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(1) | Excludes NCI gain of $2.7 million and loss of $3.7 million reclassified from AOCI at March 31, 2015 and 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(2) | Excludes NCI loss of $4.1 million and gain of $3.9 million reclassified from AOCI at March 31, 2015 and 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(3) | For additional details on the amounts reclassified from AOCI, reference the Reclassifications from Accumulated Other Comprehensive Income table below. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Reclassifications from Accumulated Other Comprehensive Income |
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| | For the three-month period | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
ended March 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 2015 | | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Losses (gains) on cash flow hedges: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Contracts (1) (2) | | $ | (4.3 | ) | | $ | 2.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Reclassifications from AOCI | | $ | (4.3 | ) | | $ | 2.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(1) | Loss (gain) reported within “Cost of natural gas and natural gas liquids” in the consolidated statements of income. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(2) | Excludes NCI loss of $4.1 million and NCI gain of $3.9 million reclassified from AOCI for the three-month periods ended March 31, 2015 and 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Effect of Derivative Instruments on Consolidated Statements of Income |
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| | | | For the three-month | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
period ended March 31, | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 2015 | | | 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives Not Designated | | Location of Gain or (Loss) | | Amount of Gain or (Loss) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Recognized in Earnings (1) | Recognized in Earnings (2) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
as Hedging Instruments | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Operating revenue | | $ | (17.3 | ) | | $ | 0.8 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Operating revenue — affiliate | | | (0.2 | ) | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity contracts | | Cost of natural gas and natural gas liquids (3) | | | 12.1 | | | | (6.4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Total | | | | $ | (5.4 | ) | | $ | (5.6 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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(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 qualify for hedge accounting treatment and does not include the ineffective portion of derivatives that are designated as hedging instruments. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(3) | Includes settlements gains and (losses) of $25.7 million and ($8.5) million for the three-month periods ended March 31, 2015 and 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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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 governs 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. |
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Offsetting of Financial Assets and Derivative Assets | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | As of March 31, 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross | | | Gross Amount | | | Net Amount of Assets | | Gross Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Amount of | | | Offset in the | | | Presented in the | | Not Offset in the | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Recognized | | | Statement of | | | Statement of | | Statement of | | Net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Assets | | | Financial Position | | | Financial Position | | Financial Position(1) | | Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives | | | | | $ | 210 | | $ | | — | | | $ | 210 | | | $ | (76.5 | ) | | $ | 133.5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | As of December 31, 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross | | | Gross Amount | | Net Amount of Assets | | Gross Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Amount of | | | Offset in the | | Presented in the | | Not Offset in the | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Recognized | | | Statement of | | Statement of | | Statement of | | Net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Assets | | | Financial Position | | Financial Position | | Financial Position(1) | | Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives | | | | | $ | 256.5 | | $ | | — | | | $ | 256.5 | | | $ | (91.8 | ) | | $ | 164.7 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
___________________ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Includes $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Offsetting of Financial Liabilities and Derivative Liabilities | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | | | As of March 31, 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross | | | Gross Amount | | | Net Amount of Liabilities | | Gross Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Amount of | | | Offset in the | | | Presented in the | | Not Offset in the | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Recognized | | | Statement of | | | Statement of | | Statement of | | Net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Liabilities (1) | | | Financial Position | | | Financial Position | | Financial Position (1) | | Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives | | | | | $ | (82.7 | ) | $ | | — | | | $ | (82.7 | ) | | $ | 76.5 | | | $ | (6.2 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | As of December 31, 2014 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Gross | | | Gross Amount | | Net Amount of Liabilities | | Gross Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Amount of | | | Offset in the | | Presented in the | | Not Offset in the | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Recognized | | | Statement of | | Statement of | | Statement of | | Net | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Liabilities (1) | | | Financial Position | | Financial Position | | Financial Position (1) | | Amount | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Description: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Derivatives | | | | | $ | (96.9 | ) | $ | | — | | | $ | (96.9 | ) | | $ | 91.8 | | | $ | (5.1 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
___________________ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Includes $22.6 million and $28.4 million of cash collateral at March 31, 2015 and December 31, 2014, respectively. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Inputs to Fair Value Derivative Instruments |
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The following table sets forth by level within the fair value hierarchy our financial assets and liabilities that were accounted for at fair value on a recurring basis as of March 31, 2015, and December 31, 2014. 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. |
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| | | | 31-Mar-15 | | | 31-Dec-14 | | | | | | | | | | |
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| | | Level 1 | | Level 2 | | Level 3 | | Collateral | | Total | | | Level 1 | | | Level 2 | | Level 3 | | Collateral | | Total | | | | | | | | | | |
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| | | | (in millions) | | | | | | | | |
Commodity contracts: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Financial | | | $ | | — | | | $ | 13.1 | | | $ | 30.3 | | | $ | — | | | $ | 43.4 | | $ | | — | | | $ | 19.1 | | | $ | 42.7 | | | $ | — | | | $ | 61.8 | | | | | | | | | | | |
Physical | | | | | — | | | | — | | | | 7 | | | | — | | | | 7 | | | | — | | | | — | | | | 19.5 | | | | — | | | | 19.5 | | | | | | | | | | | |
Commodity options | | | | | — | | | | — | | | | 99.5 | | | | — | | | | 99.5 | | | | — | | | | — | | | | 106.7 | | | | — | | | | 106.7 | | | | | | | | | | | |
| | | $ | | — | | | $ | 13.1 | | | $ | 136.8 | | | $ | — | | | $ | 149.9 | | $ | | — | | | $ | 19.1 | | | $ | 168.9 | | | $ | — | | | $ | 188 | | | | | | | | | | | |
Cash Collateral | | | | | — | | | | - | | | | — | | | | (22.6 | ) | | | (22.6 | ) | | | — | | | | — | | | | — | | | | (28.4 | ) | | | (28.4 | ) | | | | | | | | | | |
Total | | | $ | | — | | | $ | 13.1 | | | $ | 136.8 | | | $ | (22.6 | ) | | $ | 127.3 | | $ | | — | | | $ | 19.1 | | | $ | 168.9 | | | $ | (28.4 | ) | | $ | 159.6 | | | | | | | | | | | |
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Qualitative Information about Level 2 Fair Value Measurements |
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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. |
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Qualitative Information about Level 3 Fair Value Measurements |
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Data from pricing services and published indices are used to value our Level 3 derivative instruments, which are fair-valued 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 Oil) are forward commodity prices. The significant unobservable inputs used in determining the fair value measurement of options are price and volatility. Increases/(decreases) in the forward commodity price in isolation would result in significantly higher/(lower) fair values for long positions, with offsetting impacts to short positions. Increases/(decreases) in volatility would increase/(decrease) the value for the holder of the option. 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 adjustment would change the fair value of the positions in opposite directions. |
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Quantitative Information About Level 3 Fair Value Measurements | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | Fair Value at (2) | | | | | | | Range (1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | March 31, | | Valuation | | Unobservable | | | | | | | Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Contract Type | | 2015 | | Technique | | Input | | | Lowest | | Highest | | Average | Units | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Contracts - Financial | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas | | | | | $ | 1.6 | | | Market Approach | | Forward Gas Price | | | | 2.23 | | | | 3.56 | | | | 2.79 | | MMBtu | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NGLs | | | | | $ | 28.7 | | | Market Approach | | Forward NGL Price | | | | 0.18 | | | | 1.14 | | | | 0.63 | | Gal | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Contracts - Physical | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas | | | | | $ | 1.9 | | | Market Approach | | Forward Gas Price | | | | 2.23 | | | | 4.24 | | | | 2.69 | | MMBtu | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Crude Oil | | | | | $ | (0.7 | ) | | Market Approach | | Forward Crude Oil Price | | | | 38.21 | | | | 53.7 | | | | 48.97 | | Bbl | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NGLs | | | | | $ | 5.8 | | | Market Approach | | Forward NGL Price | | | | 0.08 | | | | 1.4 | | | | 0.43 | | Gal | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Options | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas, Crude and NGLs | | | | | $ | 99.5 | | | Option Model | | Option Volatility | | | | 18 | % | | | 112 | % | | | 33 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Fair Value | | | | | $ | 136.8 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
_______________________________________ | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(1) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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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) | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Fair values are presented in millions of dollars and include credit valuation adjustments of approximately $0.8 million of losses. | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Quantitative Information About Level 3 Fair Value Measurements | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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| | | Fair Value at | | | | | | | Range(1) | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | December 31, | | Valuation | | Unobservable | | | | | | | Weighted | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Contract Type | | 2014(2) | | Technique | | Input | | | Lowest | | Highest | | Average | Units | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Contracts - Financial | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas | | | | | $ | 0.6 | | | Market Approach | | Forward Gas Price | | | | 2.55 | | | | 3.72 | | | | 3.04 | | MMBtu | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NGLs | | | | | $ | 42.1 | | | Market Approach | | Forward NGL Price | | | | 0.48 | | | | 1.14 | | | | 0.64 | | Gal | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Contracts - Physical | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas | | | | | $ | 1.5 | | | Market Approach | | Forward Gas Price | | | | 1.55 | | | | 4.08 | | | | 3.08 | | MMBtu | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Crude Oil | | | | | $ | (0.9 | ) | | Market Approach | | Forward Crude Oil Price | | | | 49.57 | | | | 55.6 | | | | 53.51 | | Bbl | | | | | | | | | | | | | | | | | | | | | | | | | | | |
NGLs | | | | | $ | 18.9 | | | Market Approach | | Forward NGL Price | | | | 0.06 | | | | 1.21 | | | | 0.54 | | Gal | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Commodity Options | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Natural Gas, Crude and NGLs | | | | | $ | 106.7 | | | Option Model | | Option Volatility | | | | 19 | % | | | 94 | % | | | 36 | % | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Total Fair Value | | | | | $ | 168.9 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
_______________________________ | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(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 adjustments of approximately $1.0 million of losses. | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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Level 3 Fair Value Reconciliation |
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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, 2015 to March 31, 2015. No transfers of assets between any of the Levels occurred during the period. |
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| | | | | Commodity | | Commodity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Financial | | Physical | | Commodity | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | Contracts | | Contracts | | Options | | Total | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | (in millions) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Beginning balance as of January 1, 2015 | | | | | $ | 42.7 | | | $ | 19.5 | | | $ | 106.7 | | | $ | 168.9 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Transfer out of Level 3 (1) | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gains or losses included in earnings: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reported in Operating revenue | | | | | | — | | | | 1.5 | | | | — | | | | 1.5 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reported in Cost of natural gas and natural gas liquids | | | | | | 0.2 | | | | 4.9 | | | | 4 | | | | 9.1 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Gains or losses included in other comprehensive income: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reported in Other comprehensive income (loss), net of tax | | | | | | (1.4 | ) | | | — | | | | — | | | | (1.4 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchases, issuances, sales and settlements: | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Purchases | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Sales | | | | | | — | | | | — | | | | — | | | | — | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Settlements (2) | | | | | | (11.2 | ) | | | (18.9 | ) | | | (11.2 | ) | | | (41.3 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Ending balance as of March 31, 2015 | | | | | $ | 30.3 | | | $ | 7 | | | $ | 99.5 | | | $ | 136.8 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Amounts reported in Operating revenue | | | | | $ | — | | | $ | (17.5 | ) | | $ | — | | | $ | (17.5 | ) | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
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 Operating revenue | | | | | $ | — | | | $ | 2.6 | | | $ | — | | | $ | 2.6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Reported in Cost of natural gas and natural gas liquids | | | | | $ | 2.2 | | | $ | 3.1 | | | $ | 7.7 | | | $ | 13 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
_________________ | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(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 |
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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, 2015 and December 31, 2014. |
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| | | | At March 31, 2015 | | At December 31, 2014 | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | 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 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay fixed | | Natural Gas | | | 1,541,324 | | | $ | 2.61 | | | $ | 2.98 | | | $ | — | | | $ | (0.6 | ) | | $ | — | | | $ | (0.7 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 504,250 | | | $ | 33.12 | | | $ | 40.52 | | | $ | 0.1 | | | $ | (3.8 | ) | | $ | — | | | $ | (6.8 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 739,750 | | | $ | 52.35 | | | $ | 83.3 | | | $ | — | | | $ | (22.9 | ) | | $ | — | | | $ | (27.4 | ) | | | | | | | | | | | | | | | | | | | | |
| | Receive fixed/pay variable | | Natural Gas | | | 1,728,938 | | | $ | 2.91 | | | $ | 2.71 | | | $ | 0.4 | | | $ | — | | | $ | 3.7 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 1,550,500 | | | $ | 46.19 | | | $ | 31 | | | $ | 24 | | | $ | (0.5 | ) | | $ | 39.2 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 915,000 | | | $ | 90.93 | | | $ | 52.62 | | | $ | 35 | | | $ | — | | | $ | 42.4 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 68,310,000 | | | $ | 2.56 | | | $ | 2.54 | | | $ | 2.6 | | | $ | (1.5 | ) | | $ | 1.5 | | | $ | (1.7 | ) | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay fixed | | Natural Gas | | | 155,150 | | | $ | 2.39 | | | $ | 2.19 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 80,000 | | | $ | 32.76 | | | $ | 41.89 | | | $ | — | | | $ | (0.7 | ) | | $ | — | | | $ | (3.6 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 11,000 | | | $ | 48.18 | | | $ | 51.64 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive fixed/pay variable | | Natural Gas | | | 406,373 | | | $ | 2.46 | | | $ | 2.51 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 398,525 | | | $ | 26.68 | | | $ | 21.93 | | | $ | 1.9 | | | $ | (0.1 | ) | | $ | 19.8 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 109,000 | | | $ | 52.59 | | | $ | 50.02 | | | $ | 0.3 | | | $ | — | | | $ | 0.5 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 192,448,455 | | | $ | 2.61 | | | $ | 2.61 | | | $ | 1.6 | | | $ | (0.5 | ) | | $ | 2.2 | | | $ | (1.0 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 10,861,860 | | | $ | 18.5 | | | $ | 18.15 | | | $ | 3.9 | | | $ | (0.1 | ) | | $ | 3.7 | | | $ | (1.0 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 654,682 | | | $ | 46.53 | | | $ | 47.97 | | | $ | 1 | | | $ | (1.9 | ) | | $ | 0.3 | | | $ | (1.7 | ) | | | | | | | | | | | | | | | | | | | | |
Portion of contracts maturing in 2016 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay fixed | | Natural Gas | | | 363,514 | | | $ | 2.75 | | | $ | 3.41 | | | $ | — | | | $ | (0.2 | ) | | $ | — | | | $ | (0.1 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 415,950 | | | $ | 58.02 | | | $ | 82.69 | | | $ | — | | | $ | (10.2 | ) | | $ | — | | | $ | (8.1 | ) | | | | | | | | | | | | | | | | | | | | |
| | Receive fixed/pay variable | | Natural Gas | | | 465,600 | | | $ | 3.32 | | | $ | 3.16 | | | $ | 0.1 | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 823,500 | | | $ | 39.64 | | | $ | 27.63 | | | $ | 9.8 | | | $ | — | | | $ | 9.3 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 415,950 | | | $ | 85.08 | | | $ | 58.02 | | | $ | 11.2 | | | $ | — | | | $ | 9.1 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 44,959,000 | | | $ | 2.93 | | | $ | 2.91 | | | $ | 2 | | | $ | (1.1 | ) | | $ | 0.5 | | | $ | (0.3 | ) | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive fixed/pay variable | | Natural Gas | | | 63,591 | | | $ | 3.12 | | | $ | 2.98 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 4,398 | | | $ | 29.86 | | | $ | 25.91 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 59,944,568 | | | $ | 3.05 | | | $ | 3.04 | | | $ | 0.9 | | | $ | (0.4 | ) | | $ | 0.7 | | | $ | (0.4 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 8,944,071 | | | $ | 18 | | | $ | 17.89 | | | $ | 0.9 | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Portion of contracts maturing in 2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Swaps | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay fixed | | Natural Gas | | | 24,030 | | | $ | 3.24 | | | $ | 3.48 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 547,500 | | | $ | 23.81 | | | $ | 25.86 | | | $ | — | | | $ | (1.1 | ) | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 547,500 | | | $ | 61.3 | | | $ | 66.72 | | | $ | — | | | $ | (2.9 | ) | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive fixed/pay variable | | NGL | | | 547,500 | | | $ | 23.59 | | | $ | 23.81 | | | $ | 0.3 | | | $ | (0.5 | ) | | $ | 0.7 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 547,500 | | | $ | 66.78 | | | $ | 61.3 | | | $ | 2.9 | | | $ | — | | | $ | 0.8 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 2,700,000 | | | $ | 3.44 | | | $ | 3.37 | | | $ | 0.2 | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 28,047,550 | | | $ | 3.36 | | | $ | 3.35 | | | $ | 0.3 | | | $ | (0.1 | ) | | $ | 0.2 | | | $ | (0.1 | ) | | | | | | | | | | | | | | | | | | | | |
Portion of contracts maturing in 2018 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 5,787,810 | | | $ | 3.57 | | | $ | 3.56 | | | $ | 0.1 | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Portion of contracts maturing in 2019 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 2,187,810 | | | $ | 3.56 | | | $ | 3.53 | | | $ | 0.1 | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Portion of contracts maturing in 2020 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Physical Contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Receive variable/pay variable | | Natural Gas | | | 359,640 | | | $ | 3.88 | | | $ | 3.85 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
______________________________ | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
(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, 2015, and December 31, 2014, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values are presented in millions of dollars and exclude credit valuation adjustments of approximately $0.1 million of losses at March 31, 2015 and $0.4 million of losses at December 31, 2014, as well as cash collateral received. | | | | | | | | | | | | | | | | | | | | |
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| The following table provides summarized information about the fair value of expected cash flows of our outstanding commodity options at March 31, 2015 and December 31, 2014. | | | | | | | | | | | | | | | | | | | | | |
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| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | At March 31, 2015 | | At December 31, 2014 |
| | | | | | | | Strike | | Market | | Fair Value (3) | | Fair Value (3) | | | | | | | | | | | | | | | | | | | | |
| | | | Commodity | | Notional (1) | | Price (2) | | Price (2) | | Asset | | Liability | | Asset | | Liability | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | (in millions) | | | | | | | | | | | | | | | | | | | | |
Portion of option contracts maturing in 2015 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Puts (purchased) | | Natural Gas | | | 3,025,000 | | | $ | 3.9 | | | $ | 2.78 | | | $ | 3.5 | | | $ | — | | | $ | 3.8 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 1,732,500 | | | $ | 43.32 | | | $ | 26.68 | | | $ | 29.3 | | | $ | — | | | $ | 40.2 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 550,000 | | | $ | 81.56 | | | $ | 52.55 | | | $ | 16 | | | $ | — | | | $ | 18.8 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Calls (written) | | Natural Gas | | | 962,500 | | | $ | 5.05 | | | $ | 2.78 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 1,113,750 | | | $ | 45.8 | | | $ | 26.06 | | | $ | — | | | $ | (0.2 | ) | | $ | — | | | $ | (0.6 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 550,000 | | | $ | 88.39 | | | $ | 52.55 | | | $ | — | | | $ | — | | | $ | — | | | $ | (0.4 | ) | | | | | | | | | | | | | | | | | | | | |
| | Puts (written) | | Natural Gas | | | 3,025,000 | | | $ | 3.9 | | | $ | 2.79 | | | $ | — | | | $ | (3.5 | ) | | $ | — | | | $ | (3.8 | ) | | | | | | | | | | | | | | | | | | | | |
| | Calls (purchased) | | Natural Gas | | | 962,500 | | | $ | 5.05 | | | $ | 2.78 | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Portion of option contracts maturing in 2016 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Puts (purchased) | | Natural Gas | | | 1,647,000 | | | $ | 3.75 | | | $ | 3.11 | | | $ | 1.3 | | | $ | — | | | $ | 1 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 2,836,500 | | | $ | 39.24 | | | $ | 26.46 | | | $ | 39.9 | | | $ | — | | | $ | 39.3 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 805,200 | | | $ | 75.91 | | | $ | 58.23 | | | $ | 15.6 | | | $ | — | | | $ | 14.7 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Calls (written) | | Natural Gas | | | 1,647,000 | | | $ | 4.98 | | | $ | 3.11 | | | $ | — | | | $ | (0.1 | ) | | $ | — | | | $ | (0.1 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | NGL | | | 2,836,500 | | | $ | 45.14 | | | $ | 26.46 | | | $ | — | | | $ | (2.4 | ) | | $ | — | | | $ | (3.2 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 805,200 | | | $ | 86.68 | | | $ | 58.23 | | | $ | — | | | $ | (0.5 | ) | | $ | — | | | $ | (2.7 | ) | | | | | | | | | | | | | | | | | | | | |
| | Puts (written) | | Natural Gas | | | 1,647,000 | | | $ | 3.75 | | | $ | 3.11 | | | $ | — | | | $ | (1.3 | ) | | $ | — | | | $ | (1.0 | ) | | | | | | | | | | | | | | | | | | | | |
| | Calls (purchased) | | Natural Gas | | | 1,647,000 | | | $ | 4.98 | | | $ | 3.11 | | | $ | 0.1 | | | $ | — | | | $ | 0.1 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
Portion of option contracts maturing in 2017 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Puts (purchased) | | NGL | | | 547,500 | | | $ | 21.7 | | | $ | 23.81 | | | $ | 1 | | | $ | — | | | $ | 1.2 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 547,500 | | | $ | 63 | | | $ | 61.3 | | | $ | 5.1 | | | $ | — | | | $ | 4.1 | | | $ | — | | | | | | | | | | | | | | | | | | | | | |
| | Calls (written) | | NGL | | | 547,500 | | | $ | 25.34 | | | $ | 23.81 | | | $ | — | | | $ | (1.2 | ) | | $ | — | | | $ | (0.7 | ) | | | | | | | | | | | | | | | | | | | | |
| | | | Crude Oil | | | 547,500 | | | $ | 71.45 | | | $ | 61.3 | | | $ | — | | | $ | (2.5 | ) | | $ | — | | | $ | (3.3 | ) | | | | | | | | | | | | | | | | | | | | |
______________________________ | | | | | | | | | | | | | | | | | | | | |
(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, 2015, and December 31, 2014, respectively, discounted using the swap rate for the respective periods to consider the time value of money. Fair values are presented in millions of dollars and exclude any credit valuation adjustments of approximately $0.6 million and $0.7 million of losses at March 31, 2015 and December 31, 2014, respectively, as well as cash collateral received. | | | | | | | | | | | | | | | | | | | | |
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