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BTEGF Baytex Energy

Filed: 28 Jul 21, 5:26pm

Exhibit 99.1
Baytex Energy Corp.
Condensed Consolidated Interim Statements of Financial Position
(thousands of Canadian dollars) (unaudited)
As at
NotesJune 30, 2021December 31, 2020
ASSETS
Current assets
Cash$1,375 $— 
Trade and other receivables165,185 107,477 
Financial derivatives166,469 5,057 
173,029 112,534 
Non-current assets
Exploration and evaluation assets4181,563 191,865 
Oil and gas properties54,066,595 3,077,548 
Other plant and equipment7,733 7,996 
Lease assets9,242 11,098 
Deferred income tax asset13 7,055 
$4,438,162 $3,408,096 
LIABILITIES
Current liabilities
Trade and other payables$200,355 $155,955 
Financial derivatives16186,922 26,792 
Lease obligations4,105 4,289 
Asset retirement obligations811,751 11,820 
403,133 198,856 
Non-current liabilities
Financial derivatives1611,749 — 
Credit facilities6485,005 649,221 
Long-term notes71,095,775 1,132,868 
Lease obligations5,017 6,787 
Asset retirement obligations8699,344 748,563 
Deferred income tax liability13146,335 93,588 
2,846,358 2,829,883 
SHAREHOLDERS’ EQUITY
Shareholders' capital95,736,518 5,729,418 
Contributed surplus10,395 14,345 
Accumulated other comprehensive income611,770 618,976 
Deficit(4,766,879)(5,784,526)
1,591,804 578,213 
$4,438,162 $3,408,096 

Subsequent event (note 7)

See accompanying notes to the condensed consolidated interim financial statements.





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Baytex Energy Corp.
Condensed Consolidated Interim Statements of Income (Loss) and Comprehensive Income (Loss)
(thousands of Canadian dollars, except per common share amounts and weighted average common shares) (unaudited)

Three Months Ended June 30Six Months Ended June 30
Notes2021 2020 2021 2020 
Revenue, net of royalties
Petroleum and natural gas sales12$442,354 $152,689 $827,056 $489,303 
Royalties(81,531)(29,156)(148,481)(85,876)
360,823 123,533 678,575 403,427 
Expenses
Operating82,901 73,680 163,449 178,150 
Transportation7,486 5,031 16,274 15,373 
Blending and other19,967 5,460 37,087 26,817 
General and administrative10,610 7,438 19,343 17,213 
Exploration and evaluation43,005 1,831 3,952 2,091 
Depletion and depreciation103,055 104,540 205,067 285,926 
Impairment (reversal) loss4, 5(1,126,414)— (1,126,414)2,716,349 
Share-based compensation102,770 2,993 5,751 5,776 
Financing and interest1427,354 30,230 54,804 69,450 
Financial derivatives loss (gain)16123,507 55,662 230,259 (67,183)
Foreign exchange (gain) loss15(2,256)(45,973)(5,061)53,919 
Gain on dispositions(274)(11)(3,980)(148)
Other (income) expense(506)24 (1,726)(2,007)
(748,795)240,905 (401,195)3,301,726 
Net income (loss) before income taxes1,109,618 (117,372)1,079,770 (2,898,299)
Income tax expense (recovery)13
Current income tax expense568 89 408 558 
Deferred income tax expense (recovery)56,051 21,002 61,715 (262,177)
56,619 21,091 62,123 (261,619)
Net income (loss)$1,052,999 $(138,463)$1,017,647 $(2,636,680)
Other comprehensive income (loss)
Foreign currency translation adjustment(107)(53,452)(7,206)120,487 
Comprehensive income (loss)$1,052,892 $(191,915)$1,010,441 $(2,516,193)
Net income (loss) per common share11
Basic$1.87 $(0.25)$1.81 $(4.71)
Diluted$1.85 $(0.25)$1.79 $(4.71)
Weighted average common shares (000's)11
Basic564,156 560,512 563,126 560,158 
Diluted569,931 560,512 568,115 560,158 
    

See accompanying notes to the condensed consolidated interim financial statements.

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Baytex Energy Corp.
Condensed Consolidated Interim Statements of Changes in Equity
(thousands of Canadian dollars) (unaudited)

NotesShareholders’
capital
Contributed
surplus
Accumulated other comprehensive incomeDeficitTotal equity
Balance at December 31, 2019$5,718,835 $17,712 $556,224 $(3,345,562)$2,947,209 
Vesting of share awards7,873 (7,873)— —  
Share-based compensation— 4,637 — — 4,637 
Comprehensive income (loss)— — 120,487 (2,636,680)(2,516,193)
Balance at June 30, 2020$5,726,708 $14,476 $676,711 $(5,982,242)$435,653 
Balance at December 31, 2020$5,729,418 $14,345 $618,976 $(5,784,526)$578,213 
Vesting of share awards97,100 (7,100)— —  
Share-based compensation10— 3,150 — — 3,150 
Comprehensive (loss) income— — (7,206)1,017,647 1,010,441 
Balance at June 30, 2021$5,736,518 $10,395 $611,770 $(4,766,879)$1,591,804 

See accompanying notes to the condensed consolidated interim financial statements.
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Baytex Energy Corp.
Condensed Consolidated Interim Statements of Cash Flows
(thousands of Canadian dollars) (unaudited)

Three Months Ended June 30Six Months Ended June 30
Notes2021 2020 2021 2020 
CASH PROVIDED BY (USED IN):
Operating activities
Net income (loss) for the period$1,052,999 $(138,463)$1,017,647 $(2,636,680)
Adjustments for:
Non-cash share-based compensation101,646 2,375 3,150 4,637 
Unrealized foreign exchange (gain) loss15(1,792)(45,516)(4,322)54,005 
Exploration and evaluation43,005 1,831 3,952 2,091 
Depletion and depreciation103,055 104,540 205,067 285,926 
Impairment (reversal) loss4, 5(1,126,414)— (1,126,414)2,716,349 
Non-cash financing, accretion, and early redemption expense143,800 2,843 6,847 13,528 
Non-cash other income8(676)— (1,664)— 
Unrealized financial derivatives loss (gain)1684,483 69,286 170,467 (26,709)
Gain on dispositions(274)(11)(3,980)(148)
Deferred income tax expense (recovery)1356,051 21,002 61,715 (262,177)
Asset retirement obligations settled8(993)(628)(2,410)(4,869)
Change in non-cash working capital(3,014)8,565 (37,199)62,438 
171,876 25,824 292,856 208,391 
Financing activities
Increase (decrease) in credit facilities(117,939)31,426 (160,660)187,347 
Payments on lease obligations(919)(1,468)(2,001)(2,984)
Net proceeds from issuance of long-term notes —  652,150 
Redemption of long-term notes7(6,787)— (6,787)(833,672)
(125,645)29,958 (169,448)2,841 
Investing activities
Additions to exploration and evaluation assets4(428)(72)(644)(3,860)
Additions to oil and gas properties5(61,057)(9,780)(144,429)(182,769)
Additions to other plant and equipment(320)(1,375)(411)(1,987)
Property acquisitions — (25)— 
Proceeds from dispositions18 11 246 51 
Change in non-cash working capital16,931 (44,566)23,230 (28,239)
(44,856)(55,782)(122,033)(216,804)
Change in cash1,375 — 1,375 (5,572)
Cash, beginning of period —  5,572 
Cash, end of period$1,375 $— $1,375 $— 
Supplementary information
Interest paid$16,764 $29,183 $47,601 $51,780 
Income taxes paid$ $— $ $— 

See accompanying notes to the condensed consolidated interim financial statements.

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Baytex Energy Corp.
Notes to the Condensed Consolidated Interim Financial Statements
For the periods ended June 30, 2021 and 2020
(all tabular amounts in thousands of Canadian dollars, except per common share amounts) (unaudited)

1.REPORTING ENTITY
Baytex Energy Corp. (the “Company” or “Baytex”) is an oil and gas corporation engaged in the acquisition, development and production of oil and natural gas in the Western Canadian Sedimentary Basin and Texas, United States. The Company’s common shares are traded on the Toronto Stock Exchange under the symbol BTE. The Company’s head and principal office is located at 2800, 520 – 3rd Avenue S.W., Calgary, Alberta, T2P 0R3, and its registered office is located at 2400, 525 – 8th Avenue S.W., Calgary, Alberta, T2P 1G1.

2.BASIS OF PRESENTATION
The condensed consolidated interim financial statements ("consolidated financial statements") have been prepared in accordance with International Accounting Standards 34, Interim Financial Reporting, under International Financial Reporting Standards ("IFRS") as issued by the International Accounting Standards Board (the "IASB"). These condensed consolidated financial statements do not include all the necessary annual disclosures as prescribed by IFRS and should be read in conjunction with the annual consolidated financial statements as at and for the year ended December 31, 2020.

The consolidated financial statements were approved by the Board of Directors of Baytex on July 28, 2021.

The consolidated financial statements have been prepared on a historical cost basis, with the exception of derivative financial instruments which have been measured at fair value. The consolidated financial statements are presented in Canadian dollars which is the functional currency of the Company. References to “US$” are to United States ("U.S.") dollars. All financial information is rounded to the nearest thousand, except per share amounts or when otherwise indicated.

The audited consolidated financial statements of the Company as at and for the year ended December 31, 2020 are available through its filings on SEDAR at www.sedar.com and through the U.S. Securities and Exchange Commission at www.sec.gov.

Significant Accounting Policies

The accounting policies, critical accounting judgments and significant estimates used in preparation of the 2020 annual financial statements have been applied in the preparation of these consolidated financial statements.

Current Environment and Estimation Uncertainty

Management makes judgements and assumptions about the future in deriving estimates used in preparation of these consolidated financial statements in accordance with IFRS. Sources of estimation uncertainty include estimates used to determine economically recoverable oil, natural gas, and natural gas liquids reserves, the recoverable amount of long-lived assets or cash generating units, the fair value of financial derivatives, the provision for asset retirement obligations and the provision for income taxes and the related deferred tax assets and liabilities.

During the six months ended June 30, 2021, the global economy continued to show signs of recovery from the impacts of the COVID-19 pandemic. The outlook for crude oil demand has improved due to the easing of restrictions combined with the distribution of vaccines in developed countries. Global spot prices for crude oil have recovered to pre-pandemic levels as optimism for demand recovery improves and have also been supported by limited production growth from independent producers. While we have benefited from these recent improvements in crude oil prices there is a degree of uncertainty related to COVID-19 that has been considered in our estimates for the period ended June 30, 2021.


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3.    SEGMENTED FINANCIAL INFORMATION

Baytex's reportable segments are determined based on the geographic location and nature of the underlying operations:

Canada includes the exploration for, and the development and production of, crude oil and natural gas in Western Canada;
U.S. includes the exploration for, and the development and production of, crude oil and natural gas in the U.S.; and
Corporate includes corporate activities and items not allocated between operating segments.
CanadaU.S.CorporateConsolidated
Three Months Ended June 302021 20202021 20202021 20202021 2020
Revenue, net of royalties
Petroleum and natural gas sales$254,026 $73,325 $188,328 $79,364 $ $— $442,354 $152,689 
Royalties(26,193)(6,157)(55,338)(22,999) — (81,531)(29,156)
227,833 67,168 132,990 56,365  — 360,823 123,533 
Expenses
Operating61,793 49,162 21,108 24,518  — 82,901 73,680 
Transportation7,486 5,031  —  — 7,486 5,031 
Blending and other19,967 5,460  —  — 19,967 5,460 
General and administrative —  — 10,610 7,438 10,610 7,438 
Exploration and evaluation3,005 1,831  —  — 3,005 1,831 
Depletion and depreciation63,088 57,650 38,663 44,972 1,304 1,918 103,055 104,540 
Impairment reversal(684,000)— (442,414)—  — (1,126,414)— 
Share-based compensation —  — 2,770 2,993 2,770 2,993 
Financing and interest —  — 27,354 30,230 27,354 30,230 
Financial derivatives loss —  — 123,507 55,662 123,507 55,662 
Foreign exchange gain —  — (2,256)(45,973)(2,256)(45,973)
Gain on dispositions(274)(11) —  — (274)(11)
Other income(676)—  — 170 24 (506)24 
(529,611)119,123 (382,643)69,490 163,459 52,292 (748,795)240,905 
Net income (loss) before income taxes757,444 (51,955)515,633 (13,125)(163,459)(52,292)1,109,618 (117,372)
Income tax expense (recovery)
Current income tax expense — 568 89  — 568 89 
Deferred income tax expense (recovery)60,556 6,421 48,996 21,002 (53,501)(6,421)56,051 21,002 
60,556 6,421 49,564 21,091 (53,501)(6,421)56,619 21,091 
Net income (loss)$696,888 $(58,376)$466,069 $(34,216)$(109,958)$(45,871)$1,052,999 $(138,463)
Total oil and natural gas capital expenditures (1)
$30,369 $2,918 $31,098 $6,923 $ $— $61,467 $9,841 
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CanadaU.S.CorporateConsolidated
Six Months Ended June 302021 20202021 20202021 20202021 2020
Revenue, net of royalties
Petroleum and natural gas sales$493,448 $268,169 $333,608 $221,134 $ $— $827,056 $489,303 
Royalties(50,857)(21,675)(97,624)(64,201) — (148,481)(85,876)
442,591 246,494 235,984 156,933  — 678,575 403,427 
Expenses
Operating123,154 128,084 40,295 50,066  — 163,449 178,150 
Transportation16,274 15,373  —  — 16,274 15,373 
Blending and other37,087 26,817  —  — 37,087 26,817 
General and administrative —  — 19,343 17,213 19,343 17,213 
Exploration and evaluation3,952 2,091  —  — 3,952 2,091 
Depletion and depreciation133,562 180,398 68,928 101,642 2,577 3,886 205,067 285,926 
Impairment (reversal) loss(684,000)1,855,000 (442,414)861,349 — (1,126,414)2,716,349 
Share-based compensation —  — 5,751 5,776 5,751 5,776 
Financing and interest —  — 54,804 69,450 54,804 69,450 
Financial derivatives loss (gain) —  — 230,259 (67,183)230,259 (67,183)
Foreign exchange (gain) loss —  — (5,061)53,919 (5,061)53,919 
Gain on dispositions(3,980)(148) —  — (3,980)(148)
Other income(1,664)—  — (62)(2,007)(1,726)(2,007)
(375,615)2,207,615 (333,191)1,013,057 307,611 81,054 (401,195)3,301,726 
818,206 (1,961,121)569,175 (856,124)(307,611)(81,054)1,079,770 (2,898,299)
Income tax expense (recovery)
Current income tax (recovery) expense(296)469 704 89  — 408 558 
Deferred income tax expense (recovery)68,976 (85,276)54,660 (164,994)(61,921)(11,907)61,715 (262,177)
68,680 (84,807)55,364 (164,905)(61,921)(11,907)62,123 (261,619)
Net income (loss)$749,526 $(1,876,314)$513,811 $(691,219)$(245,690)$(69,147)$1,017,647 $(2,636,680)
Total oil and natural gas capital expenditures (1)
$72,669 $125,989 $72,183 $60,589 $ $— $144,852 $186,578 
(1)Includes additions to exploration and evaluation assets, oil and gas properties, and property acquisitions, net of proceeds from divestitures.

June 30, 2021December 31, 2020
Canadian assets$2,251,609 $1,646,412 
U.S. assets2,163,109 1,737,533 
Corporate assets23,444 24,151 
Total consolidated assets$4,438,162 $3,408,096 

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4.    EXPLORATION AND EVALUATION ASSETS
June 30, 2021December 31, 2020
Balance, beginning of period$191,865 $320,210 
Capital expenditures644 4,490 
Property swaps(78)468 
Impairment (113,058)
Exploration and evaluation expense(3,952)(14,011)
Transfer to oil and gas properties (note 5)(4,434)(8,585)
Foreign currency translation(2,482)2,351 
Balance, end of period$181,563 $191,865 

At June 30, 2021, there were no indicators of impairment or impairment reversal for exploration and evaluation assets in any of the Company's CGUs.

At March 31, 2020, the Company identified indicators of impairment for the exploration and evaluation assets within each of its six CGUs. The estimated recoverable amount was below the carrying value of the exploration and evaluation assets in the Conventional, Peace River, Lloydminster, Viking, and Eagle Ford CGUs and an impairment loss of $127.9 million was recorded at March 31, 2020. The recoverable amount of each CGU was based on its fair value less costs of disposal ("FVLCD") and was estimated with reference to arm's length transactions in comparable locations and the discounted cash flows associated with the Company's future development plans. The following table indicates the impairment loss booked for each CGU at March 31, 2020.
Impairment loss at
March 31, 2020
Conventional CGU$4,000 
Peace River CGU20,000 
Lloydminster CGU42,000 
Viking CGU13,000 
Eagle Ford CGU48,861 
$127,861 

At December 31, 2020, the Company estimated the recoverable amount of the exploration and evaluation assets within each of its six CGUs due to the ongoing volatility in future oil and natural gas prices. The recoverable amount supported the carrying amount for the Conventional, Peace River, Lloydminster, and Duvernay CGUs and no impairment loss or impairment reversal was recorded. The recoverable amount for the Viking and Eagle Ford CGUs exceeded their carrying amounts which resulted in an impairment reversal of $14.8 million at December 31, 2020. The recoverable amount of each CGU was based on its FVLCD and was estimated with reference to arm's length transaction in comparable locations and the discounted cash flows associated with the Company's future development plans. The following table indicates the impairment reversal booked for the Viking and Eagle Ford CGUs at December 31, 2020.
Impairment Reversal at December 31, 2020
Viking CGU$2,000 
Eagle Ford CGU12,803 
$14,803 

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5.    OIL AND GAS PROPERTIES
CostAccumulated
depletion
Net book value
Balance, December 31, 2019$11,128,297 $(5,740,408)$5,387,889 
Capital expenditures275,850 — 275,850 
Transfers from exploration and evaluation assets (note 4)8,585 — 8,585 
Change in asset retirement obligations (note 8)94,994 — 94,994 
Property swaps(1,190)178 (1,012)
Impairment— (2,247,162)(2,247,162)
Foreign currency translation(82,860)120,123 37,263 
Depletion— (478,859)(478,859)
Balance, December 31, 2020$11,423,676 $(8,346,128)$3,077,548 
Capital expenditures144,429 — 144,429 
Property acquisitions156 — 156 
Transfers from exploration and evaluation assets (note 4)4,434 — 4,434 
Change in asset retirement obligations (note 8)(46,165)— (46,165)
Property swaps(21,283)21,312 29 
Impairment reversal— 1,126,414 1,126,414 
Foreign currency translation(114,516)76,756 (37,760)
Depletion— (202,490)(202,490)
Balance, June 30, 2021$11,390,731 $(7,324,136)$4,066,595 

Baytex recorded an impairment reversal of $1.1 billion for its oil and gas properties at June 30, 2021 and a net impairment loss of $2.2 billion for the year ended December 31, 2020.

At June 30, 2021, we identified indicators of impairment reversal for oil and gas properties in each of our six CGU's due to the increase in forecasted commodity prices. The recoverable amount for each of our six CGUs exceeded their carrying amounts which resulted in an impairment reversal of $1.1 billion recorded at June 30, 2021. The recoverable amount for each CGU was based on its FVLCD which was estimated using a discounted cash flow model of proved plus probable cash flows from an independent reserve report prepared as at December 31, 2020 and was adjusted by management for operations between December 31, 2020 and June 30, 2021. The after-tax discount rates applied to the cash flows were between 10% and 16%.

At June 30, 2021, the recoverable amount of the Company's CGUs were calculated using the following benchmark reference prices for the years 2021 to 2030 adjusted for commodity differentials specific to the Company. The prices and costs subsequent to 2030 have been adjusted for inflation at an annual rate of 2.0%.
2021202220232024202520262027202820292030
WTI crude oil (US$/bbl)71.33 67.20 63.95 63.23 64.50 65.79 67.10 68.44 69.81 71.21 
WCS heavy oil (CA$/bbl)72.22 66.84 61.73 60.70 61.91 63.15 64.42 65.70 67.02 68.36 
LLS crude oil (US$/bbl)72.17 68.53 65.80 65.10 66.39 67.71 69.05 70.42 71.82 73.26 
Edmonton par oil (CA$/bbl)83.20 78.27 74.06 73.05 74.51 76.00 77.52 79.07 80.66 82.27 
Henry Hub gas (US$/mmbtu)3.42 3.19 2.92 2.96 3.02 3.08 3.14 3.21 3.27 3.34 
AECO gas (CA$/mmbtu)3.46 3.13 2.72 2.71 2.76 2.82 2.88 2.94 2.99 3.05 
Exchange rate (CAD/USD)1.24 1.25 1.25 1.25 1.25 1.25 1.25 1.25 1.25 1.25 

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The following table summarizes the recoverable amount and impairment reversal at June 30, 2021 and demonstrates the sensitivity of the estimated recoverable amount of the Company's CGUs comprising oil and gas properties to reasonably possible changes in key assumptions inherent in the estimate.
Recoverable amountImpairment
reversal
Change in discount rate of 1%Change in oil price of $2.50/bblChange in gas price of $0.25/mcf
Conventional CGU$57,891 $15,000 $1,000 $1,000 $8,000 
Peace River CGU238,714 154,000 4,000 40,000 2,500 
Lloydminster CGU340,730 154,000 12,500 52,000 — 
Duvernay CGU (1)
115,157 5,000 45,000 44,500 44,500 
Viking CGU1,338,985 356,000 47,000 89,500 4,500 
Eagle Ford CGU2,015,118 442,415 109,400 103,900 24,400 
$4,106,595 $1,126,415 $218,900 $330,900 $83,900 
(1)     The impairment reversal for the Duvernay CGU was limited to total accumulated impairments less subsequent depletion of $5.0 million.

At March 31, 2020, the Company identified indicators of impairment for each of its six CGUs due to a significant decline in forecasted commodity prices. The recoverable amount was not sufficient to support the carrying amount which resulted in an impairment of $2.6 billion recorded at March 31, 2020. The recoverable amount of each CGU was based on its FVLCD which was estimated using a discounted cash flow model of proved plus probable cash flows from an independent reserve report prepared as at December 31, 2019 and was adjusted for operations between December 31, 2019 and March 31, 2020. The after-tax discount rates applied to the cash flows were between 8% and 14%.

The recoverable amount of the Company's CGUs were calculated at March 31, 2020 using the following benchmark reference prices for the years 2020 to 2029 adjusted for commodity differentials specific to the Company. The prices and costs subsequent to 2029 have been adjusted for inflation at an annual rate of 2%.
2020202120222023202420252026202720282029
WTI crude oil (US$/bbl)29.17 40.45 49.17 53.28 55.66 56.87 58.01 59.17 60.35 61.56 
WCS heavy oil (CA$/bbl)19.21 34.65 46.34 51.25 54.28 55.72 56.96 58.22 59.51 60.82 
LLS crude oil (US$/bbl)32.17 43.80 52.55 56.68 59.10 60.35 61.52 62.72 63.94 65.19 
Edmonton par oil (CA$/bbl)29.22 46.85 59.27 65.02 68.43 69.81 71.24 72.70 74.19 75.71 
Henry Hub gas (US$/mmbtu)2.10 2.58 2.79 2.86 2.93 3.00 3.07 3.13 3.19 3.25 
AECO gas (CA$/mmbtu)1.74 2.20 2.38 2.45 2.53 2.60 2.66 2.72 2.79 2.85 
Exchange rate (CAD/USD)1.41 1.37 1.34 1.34 1.34 1.33 1.33 1.33 1.33 1.33 

The following table demonstrates the sensitivity of the estimated recoverable amount of the Company's CGUs to reasonably possible changes in key assumptions inherent in the estimate.
Recoverable amountImpairment lossChange in discount rate of 1%Change in oil price of $2.50/bblChange in gas price of $0.25/mcf
Conventional CGU$37,444 $41,000 $3,000 $3,500 $8,500 
Peace River CGU109,631 345,000 9,500 53,500 3,000 
Lloydminster CGU227,967 470,000 25,000 69,500 — 
Duvernay CGU61,197 5,000 5,500 9,500 1,500 
Viking CGU962,134 915,000 57,000 123,000 4,000 
Eagle Ford CGU1,576,423 812,488 120,750 141,500 32,000 
$2,974,796 $2,588,488 $220,750 $400,500 $49,000 

At December 31, 2020, the Company estimated the recoverable amount of each of its six CGUs due to the volatility in commodity prices during the year and a reduction in future development costs per well for the Viking and Eagle Ford CGUs. The recoverable amount supported the carrying amount for the Conventional, Peace River, Lloydminster, and Duvernay CGUs and no impairment or impairment reversal was recorded. The recoverable amount for the Viking and Eagle Ford CGUs exceeded their carrying amounts which resulted in an impairment reversal of $341.3 million recorded at December 31, 2020. The recoverable amount for each CGU was based on its FVLCD which was estimated using a discounted cash flow model of proved plus probable cash flows from an independent reserve report prepared as at December 31, 2020. The after-tax discount rates applied to the cash flows were between 10% and 17%.

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The recoverable amount of the Company's CGUs were calculated at December 31, 2020 using the following benchmark reference prices for the years 2021 to 2030 adjusted for commodity differentials specific to the Company. The prices and costs subsequent to 2030 have been adjusted for inflation at an annual rate of 2%.
2021202220232024202520262027202820292030
WTI crude oil (US$/bbl)47.17 50.17 53.17 54.97 56.07 57.19 58.34 59.50 60.69 61.91 
WCS heavy oil (CA$/bbl)44.63 48.18 52.10 54.10 55.19 56.29 57.42 58.57 59.74 60.93 
LLS crude oil (US$/bbl)49.50 52.85 55.87 57.69 58.82 59.97 61.15 62.34 63.56 64.83 
Edmonton par oil (CA$/bbl)55.76 59.89 63.48 65.76 67.13 68.53 69.95 71.40 72.88 74.34 
Henry Hub gas (US$/mmbtu)2.83 2.87 2.90 2.96 3.02 3.08 3.14 3.20 3.26 3.33 
AECO gas (CA$/mmbtu)2.78 2.70 2.61 2.65 2.70 2.76 2.81 2.87 2.92 2.98 
Exchange rate (CAD/USD)1.30 1.31 1.31 1.31 1.31 1.31 1.31 1.31 1.31 1.31 

The following table demonstrates the sensitivity of the estimated recoverable amount of the Company's CGUs to reasonably possible changes in key assumptions inherent in the estimate.
Recoverable amountImpairment
reversal
Change in discount rate of 1%Change in oil price of $2.50/bblChange in gas price of $0.25/mcf
Conventional CGU$54,265 $— $1,000 $3,000 $9,000 
Peace River CGU104,225 — 1,000 49,500 3,000 
Lloydminster CGU212,979 — 7,000 57,500 500 
Duvernay CGU70,491 — 5,500 12,000 1,500 
Viking CGU1,026,026 116,000 34,500 106,500 5,000 
Eagle Ford CGU1,609,562 225,326 91,600 157,500 38,400 
$3,077,548 $341,326 $140,600 $386,000 $57,400 

6.    CREDIT FACILITIES
June 30, 2021December 31, 2020
Credit facilities - U.S. dollar denominated (1)
$140,419 $140,815 
Credit facilities - Canadian dollar denominated346,204 510,358 
Credit facilities - principal486,623 651,173 
Unamortized debt issuance costs(1,618)(1,952)
Credit facilities$485,005 $649,221 
(1)U.S. dollar denominated credit facilities balance was US$113.2 million as at June 30, 2021 (December 31, 2020 - US$110.4 million).

Baytex has US$575 million of revolving credit facilities (the "Revolving Facilities") and a $300 million non-revolving secured term loan (the "Term Loan") (collectively the "Credit Facilities"). The Credit Facilities mature on April 2, 2024 and will automatically be extended to June 4, 2024 providing Baytex has either refinanced, or has the ability to repay, the outstanding 2024 long-term notes with existing credit capacity as of April 1, 2024.

The extendible secured Revolving Facilities are comprised of a US$50 million operating loan and a US$325 million syndicated revolving loan for Baytex and a US$200 million syndicated revolving loan for Baytex's wholly-owned subsidiary, Baytex Energy USA, Inc. The $300 million Term Loan is secured by the assets of Baytex's wholly-owned subsidiary, Baytex Energy Limited Partnership.

The Credit Facilities are not borrowing base facilities and do not require annual or semi-annual reviews. The Credit Facilities contain standard commercial covenants in addition to the financial covenants detailed below. There are no mandatory principal payments required prior to maturity which could be extended upon Baytex's request. Advances (including letters of credit) under the Credit Facilities can be drawn in either Canadian or U.S. funds and bear interest at the bank’s prime lending rate, bankers’ acceptance discount rates or London Interbank Offered Rates ("LIBOR"), plus applicable margins.

The LIBOR benchmark transition begins on December 31, 2021. Certain tenors of the U.S. dollar LIBOR benchmark will no longer be published as of December 31, 2021 while some tenors will continue to be published through mid-2023. We expect the U.S. dollar LIBOR benchmarks to be replaced with an alternative that will apply to our U.S. dollar borrowing at our option. We do not expect this change to have a material impact to Baytex as U.S. dollar borrowings under the credit facilities can also bear interest at the U.S. base loan rate.

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At June 30, 2021, Baytex had $14.7 million of outstanding letters of credit (December 31, 2020 - $15.0 million) under the Credit Facilities.

At June 30, 2021, Baytex was in compliance with all of the covenants contained in the Credit Facilities and is forecasting compliance with these covenants based on current forward commodity prices. The following table summarizes the financial covenants applicable to the Credit Facilities and Baytex's compliance therewith as at June 30, 2021.
Covenant DescriptionPosition as at June 30, 2021Covenant
Senior Secured Debt (1) to Bank EBITDA (2) (Maximum Ratio)
0.8:1.03.5:1.0
Interest Coverage (3) (Minimum Ratio)
6.0:1.02.0:1.0
(1)"Senior Secured Debt" is defined as the principal amount of the credit facilities and other secured obligations identified in the credit agreement. As at June 30, 2021, the Company's Senior Secured Debt totaled $501.4 million which included $486.6 million of principal amounts outstanding and $14.7 million of letters of credit.
(2)"Bank EBITDA" is calculated based on terms and definitions set out in the credit agreement which adjusts net income or loss for financing and interest expense, income tax, non-recurring losses, certain specific unrealized and non-cash transactions (including depletion, depreciation, exploration and evaluation expense, impairment, deferred income tax expense or recovery, unrealized gains and losses on financial derivatives and foreign exchange, and share-based compensation) and is calculated based on a trailing twelve month basis including the impact of material acquisitions as if they had occurred at the beginning of the twelve month period. Bank EBITDA for the twelve months ended June 30, 2021 was $592.2 million.
(3)"Interest Coverage" is computed as the ratio of Bank EBITDA to financing and interest expense, excluding accretion of debt issue costs and asset retirement obligations, and is calculated on a trailing twelve month basis. Financing and interest expense, excluding accretion of debt issue costs and asset retirement obligations, for the twelve months ended June 30, 2021 was $98.3 million.

7.    LONG-TERM NOTES
June 30, 2021December 31, 2020
5.625% notes (US$394,200 – principal) due June 1, 2024$488,986 $510,200 
8.75% notes (US$500,000 – principal) due April 1, 2027620,225 637,750 
Total long-term notes - principal (1)
1,109,211 1,147,950 
Unamortized debt issuance costs(13,436)(15,082)
Total long-term notes - net of unamortized debt issuance costs$1,095,775 $1,132,868 
(1)The decrease in the principal amount of long-term notes outstanding from December 31, 2020 to June 30, 2021 is the result of principal repayments of $7.1 million and changes in the reported amount of U.S. denominated debt of $31.6 million.

The long-term notes do not contain any significant financial maintenance covenants but do contain a debt incurrence covenant that restricts the Company's ability to raise additional debt beyond the existing Credit Facilities and long-term notes.

During the three months ended June 30, 2021, we redeemed and cancelled US$5.8 million principal of the 5.625% Notes at a discount and recorded a gain of $0.4 million. Subsequent to June 30, 2021, we amended the 2014 note indenture to expand our permitted secured indebtedness to align these amounts with the 2020 indenture. We also used free cash flow generated in the first half of 2021 to repurchase and cancel US$100.0 million principal amount of the 5.625% Notes due 2024 at the call price of 100.938%, plus accrued interest, effective July 28, 2021.

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8.    ASSET RETIREMENT OBLIGATIONS
June 30, 2021December 31, 2020
Balance, beginning of period$760,383 $667,974 
Liabilities incurred6,609 15,189 
Liabilities settled(2,410)(7,168)
Liabilities acquired from property acquisitions131 — 
Liabilities divested(257)(721)
Property swaps(3,526)(525)
Accretion (note 14)5,665 8,978 
Government grants (1)
(1,664)(2,128)
Change in estimate(323)(12,771)
Changes in discount rates and inflation rates (2)
(52,451)92,576 
Foreign currency translation(1,062)(1,021)
Balance, end of period$711,095 $760,383 
Less current portion of asset retirement obligations11,751 11,820 
Non-current portion of asset retirement obligations$699,344 $748,563 
(1)    During the six months ended June 30, 2021, Baytex recognized $1.7 million of non-cash other income and a reduction in asset retirement obligations related to government grants provided by the Government of Alberta and the Government of Saskatchewan ($2.1 million for the year ended December 31, 2020).
(2)    The discount and inflation rates at June 30, 2021 were 1.8% and 1.7%, respectively, compared to 1.2% and 1.5% at December 31, 2020.

9.    SHAREHOLDERS' CAPITAL
The authorized capital of Baytex consists of an unlimited number of common shares without nominal or par value and 10.0 million preferred shares without nominal or par value, issuable in series. Baytex establishes the rights and terms of the preferred shares upon issuance. At June 30, 2021, no preferred shares have been issued by the Company and all common shares issued were fully paid.

The holders of common shares may receive dividends as declared from time to time and are entitled to one vote per share at any meeting of the holders of common shares. All common shares rank equally with regard to the Company's net assets in the event the Company is wound-up or terminated.
Number of Common Shares
(000s)
Amount
Balance, December 31, 2019558,305 $5,718,835 
Vesting of share awards2,922 10,583 
Balance, December 31, 2020561,227 $5,729,418 
Vesting of share awards2,955 7,100 
Balance, June 30, 2021564,182 $5,736,518 

10.    SHARE AWARD INCENTIVE PLAN
For the three and six months ended June 30, 2021 the Company recorded total compensation expense related to the share awards of $2.8 million and $5.8 million respectively ($3.0 million and $5.8 million for the three and six months ended June 30, 2020). Included in compensation expense related to share awards for the three and six months ended June 30, 2021 is $1.1 million and $2.6 million of cash compensation expense related to the incentive award plan, deferred share unit plan and the associated equity total return swaps ($0.6 million and $1.1 million for the three and six months ended June 30, 2020).

Share Award Plans

Baytex has a share award plan pursuant to which it issues restricted and performance awards. A restricted award entitles the holder of each award to receive one common share of Baytex at the time of vesting. A performance award entitles the holder of each award to receive between zero and two common shares on vesting; the number of common shares issued is determined by a multiplier. The multiplier, which ranges between zero and two, is calculated based on a number of factors determined and approved by the Board of Directors on an annual basis. The restricted awards and performance awards vest in equal tranches on the first, second and third anniversaries of the grant date.

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The weighted average fair value of share awards granted was $1.29 per restricted and performance award for the six months ended June 30, 2021 ($1.48 per restricted and performance award for the six months ended June 30, 2020).

The number of share awards outstanding is detailed below:
(000s)Number of restricted awards
Number of performance awards(1)
Total number of share awards
Balance, December 31, 20193,801 3,135 6,936 
Granted2,239 3,253 5,492 
Vested and converted to common shares(1,730)(1,192)(2,922)
Forfeited(188)(1,108)(1,296)
Balance, December 31, 20204,122 4,088 8,210 
Granted— 4,023 4,023 
Vested and converted to common shares(1,839)(1,143)(2,982)
Forfeited(103)(66)(169)
Balance, June 30, 20212,180 6,902 9,082 
(1)     Based on underlying awards before applying the payout multiplier which can range from 0x to 2x.

Incentive Award Plan

Baytex has a cash-settled incentive award plan (the "Incentive Award" plan) whereby the holder of each incentive award is entitled to receive a cash payment equal to the value of one Baytex common share at the time of vesting. The incentive awards vest in equal tranches on the first, second and third anniversaries of the grant date. The cumulative expense is recognized at fair value at each period end and is included in trade and other payables.

During the six months ended June 30, 2021, Baytex granted 4.9 million awards under the Incentive Award plan at a fair value of $1.29 per award (2.9 million awards granted at a fair value of $1.50 per incentive award for the six months ended June 30, 2020). At June 30, 2021 there were 6.5 million awards outstanding under the Incentive Award plan.

Deferred Share Unit Plan

Baytex has a deferred share unit plant (the "DSU" plan) whereby each Director of Baytex is entitled to receive a cash payment equal to the value of one Baytex common share on the date on which they cease to be a member of the Board. The awards vest immediately upon being granted and are expensed in full on the grant date. The units are recognized at fair value at each period end and are included in trade and other payables.

During the six months ended June 30, 2021, Baytex granted 0.9 million awards under the DSU plan at a fair value of $1.29 per award. At June 30, 2021, there were 0.8 million awards outstanding under the DSU plan.

The Company uses equity total return swaps on the equivalent number of Baytex common shares in order to fix the aggregate cost of the Incentive Award plan and the DSU plan at the fair value determined on the grant date. The carrying value of the financial derivatives includes the unrealized fair value of the equity total return swaps which was an asset of $4.2 million at June 30, 2021 (December 31, 2020 - liability of $1.1 million).

11.    NET LOSS PER SHARE
Baytex calculates basic income or loss per share based on the net income or loss attributable to shareholders using the weighted average number of shares outstanding during the period. Diluted income or loss per share amounts reflect the potential dilution that could occur if share awards and share options were converted to common shares. The treasury stock method is used to determine the dilutive effect of share awards and share options whereby the potential conversion of share awards and share options and the amount of compensation expense, if any, attributed to future services are assumed to be used to purchase common shares at the average market price during the period.
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Three Months Ended June 30
20212020
Net incomeWeighted average common shares (000s)Net income per shareNet lossWeighted average common shares
(000s)
Net loss per share
Net income (loss) - basic$1,052,999 564,156 $1.87 $(138,463)560,512 $(0.25)
Dilutive effect of share awards 5,775  — — — 
Net income (loss) - diluted$1,052,999 569,931 $1.85 $(138,463)560,512 $(0.25)
Six Months Ended June 30
20212020
Net incomeWeighted average common shares (000s)Net income per shareNet lossWeighted average common shares (000s)Net loss per share
Net income (loss) - basic$1,017,647 563,126 $1.81 $(2,636,680)560,158 $(4.71)
Dilutive effect of share awards 4,989  — — — 
Net income (loss) - diluted$1,017,647 568,115 $1.79 $(2,636,680)560,158 $(4.71)

For the three and six months ended June 30, 2021, no share awards were excluded from the calculation of diluted income per share as their effect was dilutive. For the three and six months ended June 30, 2020, all share awards were excluded from the calculation of diluted loss per share as their effect was anti-dilutive given the Company recorded a net loss.

12.     PETROLEUM AND NATURAL GAS SALES

Petroleum and natural gas sales from contracts with customers for the Company's Canadian and U.S. operating segments is set forth in the following table.
Three Months Ended June 30
20212020
CanadaU.S.TotalCanadaU.S.Total
Light oil and condensate$106,269 $158,390 $264,659 $42,231 $61,043 $103,274 
Heavy oil129,782  129,782 24,003 — 24,003 
NGL3,786 16,796 20,582 847 8,035 8,882 
Natural gas sales14,189 13,142 27,331 6,244 10,286 16,530 
Total petroleum and natural gas sales$254,026 $188,328 $442,354 $73,325 $79,364 $152,689 
Six Months Ended June 30
20212020
CanadaU.S.TotalCanadaU.S.Total
Light oil and condensate$217,814 $263,986 $481,800 $151,314 $182,198 $333,512 
Heavy oil238,820  238,820 99,846 — 99,846 
NGL8,150 29,939 38,089 2,196 16,877 19,073 
Natural gas sales28,664 39,683 68,347 14,813 22,059 36,872 
Total petroleum and natural gas sales$493,448 $333,608 $827,056 $268,169 $221,134 $489,303 

Included in accounts receivable at June 30, 2021 is $145.1 million of accrued production revenue related to delivered volumes (December 31, 2020 - $81.3 million).

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13.    INCOME TAXES
The provision for income taxes has been computed as follows:
Six Months Ended June 30
2021 2020 
Net income (loss) before income taxes$1,079,770 $(2,898,299)
Expected income taxes at the statutory rate of 24.89% (2020 – 25.89%)268,755 (750,370)
(Increase) decrease in income tax recovery resulting from:
Share-based compensation784 1,200 
Effect of foreign exchange(656)6,968 
Effect of change in income tax rates 22,269 
Effect of rate adjustments for foreign jurisdictions(17,339)36,097 
Effect of change in deferred tax benefit not recognized(191,235)400,423 
Effect of U.S. tax change 20,160 
Adjustments and assessments1,814 1,634 
Income tax expense (recovery)$62,123 $(261,619)
At June 30, 2021, a deferred tax asset of $277.1 million remains unrecognized due to uncertainty surrounding future commodity prices and future capital gains (December 31, 2020 - $469.7 million).
As disclosed in the 2020 annual financial statements, in June 2016, certain indirect subsidiary entities received reassessments from the Canada Revenue Agency (the “CRA”) that denied $591 million of non-capital loss deductions that relate to the calculation of income taxes for the years 2011 through 2015. In September 2016, Baytex filed notices of objection with the CRA appealing each reassessment received. There has been no change in the status of these reassessments since an Appeals Officer was assigned to the Company's file in July 2018. Baytex remains confident that the original tax filings are correct and intends to defend those tax filings through the appeals process.

14.    FINANCING AND INTEREST
Three Months Ended June 30Six Months Ended June 30
2021 2020 2021 2020 
Interest on credit facilities$3,250 $4,248 $6,586 $8,383 
Interest on long-term notes20,246 23,015 41,253 47,288 
Interest on lease obligations58 124 118 251 
Non-cash financing790 665 1,539 5,107 
Accretion on asset retirement obligations (note 8)3,367 2,178 5,665 5,109 
Gain on redemption of long-term notes (note 7)(357)— (357)— 
Early redemption expense —  3,312 
Financing and interest$27,354 $30,230 $54,804 $69,450 

15.    FOREIGN EXCHANGE
Three Months Ended June 30Six Months Ended June 30
2021 2020 2021 2020 
Unrealized foreign exchange loss - intercompany notes (1)
$12,579 $— $26,320 $— 
Unrealized foreign exchange (gain) loss - long-term notes(14,371)(45,516)(30,642)54,005 
Realized foreign exchange gain(464)(457)(739)(86)
Foreign exchange (gain) loss$(2,256)$(45,973)$(5,061)$53,919 
(1)During 2020, a series of intercompany notes totaling US$751.0 million were issued from a Canadian subsidiary to a U.S. subsidiary. These notes are eliminated upon consolidation within the Condensed Consolidated Statement of Financial Position and are revalued at the relevant foreign exchange rate at each period end. Foreign exchange gains or losses incurred within the Canadian subsidiary are recognized in unrealized foreign exchange gain or loss whereas those within the U.S. subsidiary are recognized in other comprehensive income.
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16.     FINANCIAL INSTRUMENTS AND RISK MANAGEMENT
The Company's financial assets and liabilities are comprised of cash, trade and other receivables, trade and other payables, financial derivatives, credit facilities, and long-term notes. The fair value of the credit facilities is equal to the principal amount outstanding as the credit facilities bear interest at floating rates and credit spreads that are indicative of market rates. The fair value of the long-term notes is determined based on market prices.

The carrying value and fair value of the Company's financial instruments carried on the condensed consolidated statements of financial position are classified into the following categories:
June 30, 2021December 31, 2020
Carrying valueFair valueCarrying valueFair valueFair Value Measurement Hierarchy
Financial Assets
FVTPL
Financial derivatives$6,469 $6,469 $5,057 $5,057 Level 2
Total$6,469 $6,469 $5,057 $5,057 
Financial assets at amortized cost
Cash$1,375 $1,375 $— $— 
Trade and other receivables165,185 165,185 107,477 107,477 
Total$166,560 $166,560 $107,477 $107,477 
Financial Liabilities
FVTPL
Financial derivatives$(198,671)$(198,671)$(26,792)$(26,792)Level 2
Total$(198,671)$(198,671)$(26,792)$(26,792)
Financial liabilities at amortized cost
Trade and other payables$(200,355)$(200,355)$(155,955)$(155,955)— 
Credit facilities(485,005)(486,623)(649,221)(651,173)— 
Long-term notes(1,095,775)(1,120,203)(1,132,868)(761,129)Level 1
Total$(1,781,135)$(1,807,181)$(1,938,044)$(1,568,257)

There were no transfers between Level 1 and Level 2 during the six months ended June 30, 2021 and 2020.

Foreign Currency Risk

The carrying amounts of the Company’s U.S. dollar denominated monetary assets and liabilities recorded in entities with a Canadian dollar functional currency at the reporting date are as follows:
AssetsLiabilities
June 30, 2021December 31, 2020June 30, 2021December 31, 2020
U.S. dollar denominatedUS$752,172 US$759,508 US$1,125,409 US$934,731 

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Commodity Price Risk

Financial Derivative Contracts

Baytex had the following financial derivative contracts outstanding as of July 28, 2021:
Remaining PeriodVolume
Price/Unit (1)
Index
Oil
Basis SwapJul 2021 to Dec 20218,000 bbl/dWTI less US$13.41/bblWCS
Basis SwapJan 2022 to Dec 20229,000 bbl/dWTI less US$12.47/bblWCS
Basis Swap (4)
Jan 2022 to Dec 20221,000 bbl/dWTI less US$13.00/bblWCS
Basis SwapJul 2021 to Dec 20217,500 bbl/dWTI less US$5.03/bblMSW
Basis SwapJan 2022 to Dec 20221,000 bbl/dWTI less US$4.75/bblMSW
Basis Swap (4)
Jan 2022 to Dec 20221,000 bbl/dWTI less US$4.50/bblMSW
Fixed SellJul 2021 to Dec 20214,000 bbl/dUS$45.00/bblWTI
3-way option (2)
Jul 2021 to Dec 2021500 bbl/dUS$35.00/US$45.00/US$49.03WTI
3-way option (2)
Jul 2021 to Dec 20211,500 bbl/dUS$35.00/US$45.00/US$49.10WTI
3-way option (2)
Jul 2021 to Dec 20213,500 bbl/dUS$35.00/US$45.00/US$49.50WTI
3-way option (2)
Jul 2021 to Dec 202110,000 bbl/dUS$35.00/US$45.00/US$55.00WTI
3-way option (2)
Jul 2021 to Dec 20212,000 bbl/dUS$37.00/US$42.50/US$48.00WTI
3-way option (2)
Jan 2022 to Dec 20221,500 bbl/dUS$40.00/US$50.00/US$58.10WTI
3-way option (2)
Jan 2022 to Dec 20222,000 bbl/dUS$46.00/US$56.00/US$66.72WTI
3-way option (2)
Jan 2022 to Dec 20222,500 bbl/dUS$47.00/US$57.00/US$67.00WTI
3-way option (2)
Jan 2022 to Dec 20222,500 bbl/dUS$50.00/US$60.00/US$70.00WTI
3-way option (2)
Jan 2022 to Dec 20222,000 bbl/dUS$53.00/US$63.50/US$72.90WTI
Swaption (3)
Jan 2022 to Dec 20225,000 bbl/dUS$53.00/bblWTI
Swaption (3)
Jan 2022 to Dec 20225,000 bbl/dUS$54.00/bblWTI
Natural Gas
Fixed SellJul 2021 to Dec 202116,000 GJ/d$2.36/GJAECO 7A
Fixed SellJan 2022 to Dec 20225,000 GJ/d$2.53/GJAECO 7A
Fixed SellJul 2021 to Dec 20212,500 GJ/d$2.40/GJAECO 5A
Fixed SellJan 2022 to Dec 20226,250 GJ/d$2.59/GJAECO 5A
Fixed Sell (4)
Jan 2022 to Dec 20226,000 GJ/d$2.95/GJAECO 5A
Fixed SellJul 2021 to Dec 202112,000 mmbtu/dUS$2.70/mmbtuNYMEX
Fixed SellJan 2022 to Dec 20221,000 mmbtu/dUS$2.94/mmbtuNYMEX
3-way option (2)
Jan 2022 to Dec 20222,500 mmbtu/dUS$2.25/US$2.75/US$3.06NYMEX
3-way option (2)
Jan 2022 to Dec 20221,500 mmbtu/dUS$2.60/US$2.91/US$3.56NYMEX
3-way option (2)
Jan 2022 to Dec 20222,500 mmbtu/dUS$2.60/US$3.00/US$3.83NYMEX
3-way option (2)
Jan 2022 to Dec 20222,500 mmbtu/dUS$2.65/US$2.90/US$3.40NYMEX
(1)Based on the weighted average price per unit for the period.
(2)Producer 3-way option consists of a sold put, a bought put and a sold call. To illustrate, in a US$50.00/US$60.00/US$70.00 contract, Baytex receives WTI plus US$10.00/bbl when WTI is at or below US$50.00/bbl; Baytex receives US$60.00/bbl when WTI is between US$50.00/bbl and US$60.00/bbl; Baytex receives the market price when WTI is between US$60.00/bbl and US$70.00/bbl; and Baytex receives US$70.00/bbl when WTI is above US$70.00/bbl.
(3)For these contracts, the counterparty has the right, if exercised on December 31, 2021, to enter a swap transaction for the remaining term, notional volume and fixed price per unit indicated above.
(4)Contracts entered subsequent to June 30, 2021.

The following table sets forth the realized and unrealized gains and losses recorded on financial derivatives.
Three Months Ended June 30Six Months Ended June 30
2021 2020 2021 2020 
Realized financial derivatives loss (gain)$39,024 $(13,624)$59,792 $(40,474)
Unrealized financial derivatives loss (gain)84,483 69,286 170,467 (26,709)
Financial derivatives loss (gain)$123,507 $55,662 $230,259 $(67,183)

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