Derivative Instruments (Tables)
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9 Months Ended |
Sep. 30, 2018 |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Fair Value of Derivative Assets and Liabilities |
The following table shows the fair value of our derivative instruments that are required to be measured at fair value on a recurring basis as of September 30, 2018 and December 31, 2017, which are classified as other current assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets (in millions).
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Fair Value Measurements as of |
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September 30, 2018 |
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December 31, 2017 |
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Quoted Prices in Active Markets
(Level 1)
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Significant Other Observable Inputs
(Level 2)
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Significant Unobservable Inputs
(Level 3)
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Total |
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Quoted Prices in Active Markets
(Level 1)
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Significant Other Observable Inputs
(Level 2)
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Significant Unobservable Inputs
(Level 3)
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Total |
CQP Interest Rate Derivatives asset |
$ |
— |
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$ |
28 |
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$ |
— |
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$ |
28 |
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$ |
— |
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$ |
21 |
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$ |
— |
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$ |
21 |
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Liquefaction Supply Derivatives asset (liability) |
(1 |
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1 |
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19 |
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19 |
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2 |
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10 |
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43 |
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55 |
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| Fair Value Measurement Inputs and Valuation Techniques |
The following table includes quantitative information for the unobservable inputs for our Level 3 Physical Liquefaction Supply Derivatives as of September 30, 2018:
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Net Fair Value Asset
(in millions)
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Valuation Approach |
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Significant Unobservable Input |
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Significant Unobservable Inputs Range |
Physical Liquefaction Supply Derivatives |
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$19 |
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Market approach incorporating present value techniques |
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Basis Spread |
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$(0.448) - $0.079 |
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three and nine months ended September 30, 2018 and 2017 (in millions):
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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2018 |
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2017 |
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2018 |
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2017 |
Balance, beginning of period |
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$ |
11 |
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$ |
40 |
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$ |
43 |
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$ |
79 |
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Realized and mark-to-market gains (losses): |
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Included in cost of sales |
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4 |
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(8 |
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(5 |
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(43 |
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Purchases and settlements: |
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Purchases |
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4 |
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(1 |
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8 |
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1 |
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Settlements |
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1 |
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(2 |
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(27 |
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(8 |
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Transfers out of Level 3 (1) |
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(1 |
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— |
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— |
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— |
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Balance, end of period |
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$ |
19 |
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$ |
29 |
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$ |
19 |
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$ |
29 |
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Change in unrealized gains relating to instruments still held at end of period |
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$ |
4 |
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$ |
(8 |
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$ |
(5 |
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$ |
(43 |
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(1) Transferred to Level 2 as a result of observable market for the underlying natural gas purchase agreements.
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| Derivative Net Presentation on Consolidated Balance Sheets |
The following table shows the fair value of our derivatives outstanding on a gross and net basis (in millions):
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of September 30, 2018 |
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CQP Interest Rate Derivatives |
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$ |
28 |
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$ |
— |
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$ |
28 |
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Liquefaction Supply Derivatives |
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31 |
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(4 |
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27 |
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Liquefaction Supply Derivatives |
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(13 |
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5 |
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(8 |
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As of December 31, 2017 |
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CQP Interest Rate Derivatives |
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$ |
21 |
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$ |
— |
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$ |
21 |
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Liquefaction Supply Derivatives |
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64 |
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(6 |
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58 |
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Liquefaction Supply Derivatives |
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(3 |
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— |
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(3 |
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| Interest Rate Derivatives [Member] |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of September 30, 2018, we had the following Interest Rate Derivatives outstanding:
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Initial Notional Amount |
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Maximum Notional Amount |
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Effective Date |
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Maturity Date |
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Weighted Average Fixed Interest Rate Paid |
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Variable Interest Rate Received |
CQP Interest Rate Derivatives |
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$225 million |
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$1.3 billion |
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March 22, 2016 |
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February 29, 2020 |
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1.19% |
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One-month LIBOR |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table shows the fair value and location of the CQP Interest Rate Derivatives on our Consolidated Balance Sheets (in millions):
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September 30, |
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December 31, |
Consolidated Balance Sheet Location |
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2018 |
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2017 |
Other current assets |
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$ |
19 |
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$ |
7 |
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Non-current derivative assets |
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9 |
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14 |
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Total derivative assets |
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$ |
28 |
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$ |
21 |
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| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value and settlements of our Interest Rate Derivatives recorded in derivative gain (loss), net on our Consolidated Statements of Income during the three and nine months ended September 30, 2018 and 2017 (in millions):
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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2018 |
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2017 |
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2018 |
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2017 |
CQP Interest Rate Derivatives gain |
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$ |
2 |
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$ |
1 |
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$ |
13 |
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$ |
— |
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SPL Interest Rate Derivatives loss |
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— |
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— |
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— |
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(2 |
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| Liquefaction Supply Derivatives [Member] |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table shows the fair value and location of our Liquefaction Supply Derivatives on our Consolidated Balance Sheets (in millions):
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Fair Value Measurements as of (1) |
Consolidated Balance Sheet Location |
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September 30, 2018 |
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December 31, 2017 |
Other current assets |
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$ |
11 |
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$ |
41 |
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Non-current derivative assets |
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16 |
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17 |
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Total derivative assets |
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27 |
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58 |
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Derivative liabilities |
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(6 |
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— |
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Non-current derivative liabilities |
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(2 |
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(3 |
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Total derivative liabilities |
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(8 |
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(3 |
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Derivative asset, net |
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$ |
19 |
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$ |
55 |
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(1) |
Does not include collateral calls of $2 million and $1 million as of September 30, 2018 and December 31, 2017, respectively, for such contracts, which are included in other current assets in our Consolidated Balance Sheets.
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| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value and settlements of our Liquefaction Supply Derivatives recorded in cost of sales on our Consolidated Statements of Income during the three and nine months ended September 30, 2018 and 2017 (in millions):
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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2018 |
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2017 |
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2018 |
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2017 |
Liquefaction Supply Derivatives gain (loss) (1) |
$ |
10 |
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$ |
(11 |
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$ |
(42 |
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$ |
(51 |
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(1) |
Does not include the realized value associated with derivative instruments that settle through physical delivery. Fair value fluctuations associated with commodity derivative activities are classified and presented consistently with the item economically hedged and the nature and intent of the derivative instrument. |
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