Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.8.0.1
Derivative Instruments (Tables)
9 Months Ended
Sep. 30, 2017
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Assets and Liabilities
The following table (in millions) 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, 2017 and December 31, 2016, which are classified as other current assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
September 30, 2017
 
December 31, 2016
 
Quoted Prices in Active Markets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total
 
Quoted Prices in Active Markets
(Level 1)
 
Significant Other Observable Inputs
(Level 2)
 
Significant Unobservable Inputs
(Level 3)
 
Total
SPL Interest Rate Derivatives liability
$

 
$

 
$

 
$

 
$

 
$
(6
)
 
$

 
$
(6
)
CQP Interest Rate Derivatives asset

 
14

 

 
14

 

 
13

 

 
13

Liquefaction Supply Derivatives asset (liability)

 
(1
)
 
29

 
28

 
(4
)
 
(2
)
 
79

 
73

Fair Value Inputs, Assets, Quantitative Information
The following table includes quantitative information for the unobservable inputs for our Level 3 Physical Liquefaction Supply Derivatives as of September 30, 2017:
 
 
Net Fair Value Asset
(in millions)
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$29
 
Income Approach
 
Basis Spread
 
$(0.370) - $0.081

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table (in millions) shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three and nine months ended September 30, 2017 and 2016:
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2017
 
2016
 
2017
 
2016
Balance, beginning of period
 
$
40

 
$
22

 
$
79

 
$
32

Realized and mark-to-market losses:
 
 
 
 
 
 
 
 
Included in cost of sales (1)
 
(8
)
 
(11
)
 
(43
)
 
(20
)
Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
(1
)
 
1

 
1

 
1

Settlements (1)
 
(2
)
 

 
(8
)
 
(1
)
Balance, end of period
 
$
29

 
$
12

 
$
29

 
$
12

Change in unrealized gains relating to instruments still held at end of period
 
$
(8
)
 
$
(11
)
 
$
(43
)
 
$
(20
)
 
    
(1)
Does not include the decrease in fair value of $1 million related to the realized gains capitalized during the nine months ended September 30, 2016
Derivative Net Presentation on Consolidated Balance Sheets
The following table (in millions) shows the fair value of our derivatives outstanding on a gross and net basis:
 
 
Gross Amounts Recognized
 
Gross Amounts Offset in the Consolidated Balance Sheets
 
Net Amounts Presented in the Consolidated Balance Sheets
Offsetting Derivative Assets (Liabilities)
 
 
 
As of September 30, 2017
 
 
 
 
 
 
CQP Interest Rate Derivatives
 
$
14

 
$

 
$
14

Liquefaction Supply Derivatives
 
35

 
(1
)
 
34

Liquefaction Supply Derivatives
 
(8
)
 
2

 
(6
)
As of December 31, 2016
 
 
 
 
 
 
SPL Interest Rate Derivatives
 
$
(6
)
 
$

 
$
(6
)
CQP Interest Rate Derivatives
 
16

 

 
16

CQP Interest Rate Derivatives
 
(3
)
 

 
(3
)
Liquefaction Supply Derivatives
 
82

 
(2
)
 
80

Liquefaction Supply Derivatives
 
(11
)
 
4

 
(7
)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of September 30, 2017, we had the following Interest Rate Derivatives outstanding:
 
 
Initial Notional Amount
 
Maximum Notional Amount
 
Effective Date
 
Maturity Date
 
Weighted Average Fixed Interest Rate Paid
 
Variable Interest Rate Received
CQP Interest Rate Derivatives
 
$225 million
 
$1.3 billion
 
March 22, 2016
 
February 29, 2020
 
1.19%
 
One-month LIBOR
Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in millions) shows the fair value and location of our Interest Rate Derivatives on our Consolidated Balance Sheets:
 
 
September 30, 2017
 
December 31, 2016
 
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
Total
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
Other current assets
 
$

 
$
3

 
$
3

 
$

 
$

 
$

Non-current derivative assets
 

 
11

 
11

 

 
16

 
16

Total derivative assets
 

 
14

 
14

 

 
16

 
16

 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 

 

 

 
(4
)
 
(3
)
 
(7
)
Non-current derivative liabilities
 

 

 

 
(2
)
 

 
(2
)
Total derivative liabilities
 

 

 

 
(6
)
 
(3
)
 
(9
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liability), net
 
$

 
$
14

 
$
14

 
$
(6
)
 
$
13

 
$
7

Derivative Instruments, Gain (Loss)
The following table (in millions) 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 Operations during the three and nine months ended September 30, 2017 and 2016:
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
 
 
2017
 
2016
 
2017
 
2016
SPL Interest Rate Derivatives gain (loss)
 
$

 
$
3

 
$
(2
)
 
$
(13
)
CQP Interest Rate Derivatives gain (loss)
 
1

 
7

 

 
(13
)
Liquefaction Supply Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in millions) shows the fair value and location of our Liquefaction Supply Derivatives on our Consolidated Balance Sheets:
 
 
 
Fair Value Measurements as of (1)
 
Balance Sheet Location
 
September 30, 2017
 
December 31, 2016
Liquefaction Supply Derivatives
Other current assets
 
$
8

 
$
13

Liquefaction Supply Derivatives
Non-current derivative assets
 
26

 
67

Liquefaction Supply Derivatives
Derivative liabilities
 
(4
)
 
(7
)
Liquefaction Supply Derivatives
Non-current derivative liabilities
 
(2
)
 

 
(1)
Does not include collateral of $2 million and $6 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2017 and December 31, 2016, respectively.

Derivative Instruments, Gain (Loss)
The following table (in millions) shows the changes in the fair value, settlements and location of our Liquefaction Supply Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2017 and 2016:
 
 
 
Three Months Ended
 
Nine Months Ended
 
 
 
September 30,
 
September 30,
 
Statement of Operations Location (1)
 
2017
 
2016
 
2017
 
2016
Liquefaction Supply Derivatives loss (2)
Cost of sales
 
$
11

 
$
11

 
$
51

 
$
23


 
(1)
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.
(2)
Does not include the realized value associated with derivative instruments that settle through physical delivery.