Our market risk exposure relates primarily to commodity prices and, from time to time, we use various derivative instruments to manage our exposure to this commodity price risk from sales of our crude oil and natural gas.  All of the present derivative counterparties are also lenders or affiliates of lenders participating in our Credit Agreement.  We are exposed to credit loss in the event of nonperformance by the derivative counterparties; however, we currently anticipate that each of our derivative counterparties will be able to fulfill their contractual obligations.  We are required to provide additional collateral to the derivative counterparties and we do require collateral from our derivative counterparties.

 

We have elected to designate our commodity derivative contracts as hedging instruments; therefore, all changes in the fair value of derivative contracts were recognized currently in earnings during the periods presented.  The cash flows of all of our commodity derivative contracts are included in on the Condensed Consolidated Statements of Cash Flows.

 

We entered into commodity contracts for crude oil and natural gas which related to a portion of our expected future production.  The crude oil contracts are based on West Texas Intermediate (“WTI”) crude oil prices and the natural gas contracts are based off the Henry Hub prices, both of which are quoted off the New York Mercantile Exchange (“NYMEX”).  The open contracts as of  are presented in the following tables:

 

 

Crude Oil:    Open Swap Contracts, Priced off WTI (NYMEX)
Period		Notional Quantity (Bbls/day) (1)		Notional Quantity (Bbls) (1)		Weighted Average Strike Price
Apr 2020 - May 2020		10,000		610,000		$ 60.92

 

 

Crude Oil:    Open Call Contracts - Bought, Priced off WTI (NYMEX)
Period		Notional Quantity (Bbls/day) (1)		Notional Quantity (Bbls) (1)		Strike Price
Apr 2020 - May 2020		10,000		610,000		$ 61.00
June 2020 - Dec. 2020		10,000		2,140,000		$ 67.50

 

 

 

 

 

 

Crude Oil:    Open Collar Contracts - Priced off WTI (NYMEX)
Period		Notional Quantity (Bbls/day) (1)		Notional Quantity (Bbls) (1)		Put Option Weighted Strike Price (Bought)		Call Option Weighted Strike Price (Sold)
June 2020 - Dec. 2020		10,000		2,140,000		$ 45.00		$ 63.51

 

 

Natural Gas: Open Collar Contracts, Priced off Henry Hub (NYMEX)
Period		Notional Quantity (MMBtu/day) (2)		Notional Quantity (MMBtu) (2)		Put Option Strike Price (Bought)		Call Option Strike Price (Sold)
May 2020 - Dec. 2022		40,000		39,000,000		$ 1.83		$ 3.00

 

 

Natural Gas: Open Call Contracts, Bought, Priced off Henry Hub (NYMEX)
Period		Notional Quantity (MMBtu/day) (2)		Notional Quantity (MMBtu) (2)		Strike Price
May 2020 - Dec. 2022		40,000		39,000,000		$ 3.00

 

 

The following amounts were recorded in the Condensed Consolidated Balance Sheets in the categories presented and include the fair value of open contracts, and closed contracts which had yet settled (in thousands):

 

 

	March 31,		December 31,
	2020		2019
Prepaid expenses and other assets	$ 64,039		$ 7,266
Other assets (long-term)	2,847		2,653
Accrued liabilities	—		1,785
Other liabilities (long-term)	1,245		—

 

 

The amounts recorded on the Condensed Consolidated Balance Sheets are on a gross basis.  If these were recorded on a net settlement basis, it would have resulted in any material differences in reported amounts.

 

Changes in the fair value and settlements of our commodity derivative contracts were as follows (in thousands):

 

	Three Months Ended March 31,
	2020		2019
Derivative (gain) loss	$ (61,912)		$ 48,886

 

 

Cash receipts on commodity derivative contract settlements, net, are included within on the Condensed Consolidated Statements of Cash Flows and were as follows (in thousands):

 

		Three Months Ended March 31,
		2020				2019
Cash receipts on derivative settlements, net		$	4,404			$	11,948