Energy Transfer 2010 Annual Report Download - page 93

Download and view the complete annual report

Please find page 93 of the 2010 Energy Transfer annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 187

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144
  • 145
  • 146
  • 147
  • 148
  • 149
  • 150
  • 151
  • 152
  • 153
  • 154
  • 155
  • 156
  • 157
  • 158
  • 159
  • 160
  • 161
  • 162
  • 163
  • 164
  • 165
  • 166
  • 167
  • 168
  • 169
  • 170
  • 171
  • 172
  • 173
  • 174
  • 175
  • 176
  • 177
  • 178
  • 179
  • 180
  • 181
  • 182
  • 183
  • 184
  • 185
  • 186
  • 187

The table below summarizes our commodity-related financial derivative instruments and fair values as well as
the effect of an assumed hypothetical 10% change in the underlying price of the commodity. Notional volumes
are presented in MMBtu for natural gas and gallons for propane/ethane. Dollar amounts are in thousands.
December 31,
2010 2009
Notional
Volume
Fair Value
Asset
(Liability)
Effect of
Hypothetical
10%
Change
Notional
Volume
Fair Value
Asset
(Liability)
Effect of
Hypothetical
10%
Change
Mark-to-Market Derivatives
Natural Gas:
Basis Swaps
IFERC/NYMEX (38,897,500) $ (2,334) $ 304 72,325,000 $ 24,554 $ 491
Swing Swaps IFERC (19,720,000) (2,086) 2,228 (38,935,000) 1,718 2,142
Fixed Swaps/Futures (2,570,000) (11,488) 1,176 4,852,500 9,949 3,126
Options — Puts — — — 2,640,000 837 447
Options — Calls (3,000,000) 62 7 (2,640,000) (819) 314
Propane:
Forwards/Swaps 1,974,000 275 258 6,090,000 3,348 785
Fair Value Hedging Derivatives
Natural Gas:
Basis Swaps
IFERC/NYMEX (28,050,000) 722 322 (22,625,000) (4,178) 2
Fixed Swaps/Futures (39,105,000) 8,599 16,837 (27,300,000) (13,285) 15,669
Cash Flow Hedging Derivatives
Natural Gas:
Basis Swaps
IFERC/NYMEX — — — (13,225,000) (1,640) 81
Fixed Swaps/Futures (210,000) 232 93 (22,800,000) (4,464) 13,197
Options — Puts 26,760,000 10,545 7,125 — — —
Options — Calls (26,760,000) 4,812 1,565 — — —
Propane:
Forwards/Swaps 32,466,000 6,589 4,196 20,538,000 8,443 2,609
Our consolidated balance sheets also reflect assets and liabilities related to commodity derivatives that have
previously been de-designated as cash flow hedges or for which offsetting positions have been entered. Those
amounts are not subject to change based on changes in prices.
The fair values of the commodity-related financial positions have been determined using independent third party
prices, readily available market information, broker quotes and appropriate valuation techniques. Non-trading
positions offset physical exposures to the cash market; none of these offsetting physical exposures are included in
the above tables. Price-risk sensitivities were calculated by assuming a theoretical 10% change (increase or
decrease) in price regardless of term or historical relationships between the contractual price of the instruments
and the underlying commodity price. Results are presented in absolute terms and represent a potential gain or
loss in our consolidated results of operations or in other comprehensive income. In the event of an actual 10%
change in prompt month natural gas prices, the fair value of our total derivative portfolio may not change by 10%
due to factors such as when the financial instrument settles and the location to which the financial instrument is
tied (i.e., basis swaps) and the relationship between prompt month and forward months.
91