Derivative Instruments (Tables)
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9 Months Ended |
Sep. 30, 2022 |
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| Schedule of outstanding commodity derivatives for Antero Resources Corporation |
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Weighted |
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Average |
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Commodity / Settlement Period |
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Index |
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Contracted Volume |
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Price |
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Natural Gas |
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October-December 2022 |
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Henry Hub |
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1,105,897 |
MMBtu/day |
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$ |
2.48 |
/MMBtu |
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January-December 2023 |
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Henry Hub |
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43,000 |
MMBtu/day |
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2.37 |
/MMBtu |
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| Schedule of call option and embedded put option arrangements |
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Embedded |
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Call Option |
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Put Option |
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Commodity / Settlement Period |
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Index |
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Contracted Volume |
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Strike Price |
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Strike Price |
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Natural Gas |
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October-December 2022 |
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Henry Hub |
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59,000 |
MMBtu/day |
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$ |
2.545 |
/MMBtu |
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$ |
2.545 |
/MMBtu |
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January-December 2023 |
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Henry Hub |
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55,000 |
MMBtu/day |
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2.466 |
/MMBtu |
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2.466 |
/MMBtu |
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January-December 2024 |
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Henry Hub |
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53,000 |
MMBtu/day |
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2.477 |
/MMBtu |
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2.527 |
/MMBtu |
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January-December 2025 |
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Henry Hub |
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44,000 |
MMBtu/day |
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2.564 |
/MMBtu |
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2.614 |
/MMBtu |
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January-December 2026 |
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Henry Hub |
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32,000 |
MMBtu/day |
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2.629 |
/MMBtu |
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2.679 |
/MMBtu |
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| Schedule of natural gas basis swap positions which settle on pricing index to basis differential of NYMEX to TCO |
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Weighted Average |
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Commodity / Settlement Period |
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Index to Basis Differential |
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Contracted Volume |
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Hedged Differential |
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Natural Gas |
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October-December 2022 |
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NYMEX to TCO |
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60,000 |
MMBtu/day |
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$ |
0.515 |
/MMBtu |
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January-December 2023 |
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NYMEX to TCO |
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50,000 |
MMBtu/day |
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0.525 |
/MMBtu |
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January-December 2024 |
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NYMEX to TCO |
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50,000 |
MMBtu/day |
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0.530 |
/MMBtu |
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| Summary of the fair values of derivative instruments, which are not designated as hedges for accounting purposes |
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(Unaudited) |
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Balance Sheet |
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December 31, |
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September 30, |
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Location |
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2021 |
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2022 |
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Asset derivatives not designated as hedges for accounting purposes: |
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Commodity derivatives—current |
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Derivative instruments |
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$ |
— |
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— |
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Embedded derivatives—current |
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Derivative instruments |
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757 |
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954 |
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Commodity derivatives—noncurrent |
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Derivative instruments |
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— |
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— |
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Embedded derivatives—noncurrent |
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Derivative instruments |
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14,369 |
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7,327 |
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Total asset derivatives (1) |
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15,126 |
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8,281 |
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Liability derivatives not designated as hedges for accounting purposes: |
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Commodity derivatives—current (2) |
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Derivative instruments |
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559,851 |
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612,237 |
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Commodity derivatives—noncurrent (2) |
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Derivative instruments |
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181,806 |
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445,481 |
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Total liability derivatives (1) |
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741,657 |
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1,057,718 |
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Net derivatives liability (1) |
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$ |
(726,531) |
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(1,049,437) |
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| (1) |
The fair value of derivative instruments was determined using Level 2 inputs. |
| (2) |
As of December 31, 2021, approximately $55 million of commodity derivative liabilities, including $31 million of current commodity derivatives and $24 million of noncurrent commodity derivatives, are attributable to the Company’s consolidated VIE, Martica. As of September 30, 2022, approximately $84 million of commodity derivative liabilities, including $53 million of current commodity derivatives and $31 million of noncurrent commodity derivatives, are attributable to the Company’s consolidated VIE, Martica.
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| Schedule of gross amounts of recognized derivative assets and liabilities, the amounts offset under netting arrangements with counterparties, and the resulting net amounts |
The following table sets forth the gross values of recognized derivative assets and liabilities, the amounts offset under master netting arrangements with counterparties, and the resulting net amounts presented in the condensed consolidated balance sheets as of the dates presented, all at fair value (in thousands):
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(Unaudited) |
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December 31, 2021 |
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September 30, 2022 |
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Net Amounts of |
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Net Amounts of |
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Gross |
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Gross |
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Assets |
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Gross |
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Gross |
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Assets |
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Amounts |
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Amounts Offset |
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(Liabilities) on |
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Amounts |
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Amounts Offset |
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(Liabilities) on |
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Recognized |
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Recognized |
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Balance Sheet |
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Recognized |
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Recognized |
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Balance Sheet |
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Commodity derivative assets |
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$ |
2,177 |
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(2,177) |
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— |
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516 |
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(516) |
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— |
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Embedded derivative assets |
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15,126 |
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— |
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15,126 |
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8,281 |
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— |
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8,281 |
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Commodity derivative liabilities |
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(743,834) |
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2,177 |
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(741,657) |
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(1,058,234) |
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516 |
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(1,057,718) |
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| Summary of derivative fair value gains (losses) |
The following table sets forth a summary of derivative fair value gains and losses and where such values are recorded in the unaudited condensed consolidated statements of operations (in thousands):
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Statement of |
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Operations |
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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Location |
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2021 |
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2022 |
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2021 |
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2022 |
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Commodity derivative fair value losses (1) |
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Revenue |
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$ |
(1,238,384) |
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(500,557) |
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(2,228,076) |
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(1,732,720) |
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Embedded derivative fair value losses (1) |
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Revenue |
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(12,082) |
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(29,966) |
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(31,986) |
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(74,845) |
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| (1) |
The fair value of derivative instruments was determined using Level 2 inputs.
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| VIE, Martica |
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| Schedule of outstanding commodity derivatives |
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Weighted |
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Average |
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Commodity / Settlement Period |
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Index |
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Contracted Volume |
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Price |
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Natural Gas |
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October-December 2022 |
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Henry Hub |
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40,592 |
MMBtu/day |
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$ |
2.39 |
/MMBtu |
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January-December 2023 |
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Henry Hub |
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35,616 |
MMBtu/day |
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2.35 |
/MMBtu |
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January-December 2024 |
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Henry Hub |
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23,885 |
MMBtu/day |
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2.33 |
/MMBtu |
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January-March 2025 |
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Henry Hub |
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18,021 |
MMBtu/day |
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2.53 |
/MMBtu |
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Propane |
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October-December 2022 |
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Mont Belvieu Propane-OPIS Non-TET |
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952 |
Bbl/day |
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19.32 |
/Bbl |
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Natural Gasoline |
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October-December 2022 |
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Mont Belvieu Natural Gasoline-OPIS Non-TET |
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288 |
Bbl/day |
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34.86 |
/Bbl |
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January-December 2023 |
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Mont Belvieu Natural Gasoline-OPIS Non-TET |
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247 |
Bbl/day |
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40.74 |
/Bbl |
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Oil |
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October-December 2022 |
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West Texas Intermediate |
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105 |
Bbl/day |
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43.50 |
/Bbl |
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January-December 2023 |
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West Texas Intermediate |
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99 |
Bbl/day |
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44.88 |
/Bbl |
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January-December 2024 |
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West Texas Intermediate |
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43 |
Bbl/day |
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44.02 |
/Bbl |
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January-March 2025 |
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West Texas Intermediate |
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39 |
Bbl/day |
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45.06 |
/Bbl |
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