Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.19.3.a.u2
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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 December 31, 2019 and 2018, which are classified as derivative assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets (in millions).
 
Fair Value Measurements as of
 
December 31, 2019
 
December 31, 2018
 
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
Liquefaction Supply Derivatives asset (liability)
$
3

 
$
(3
)
 
$
24

 
$
24

 
$
5

 
$
(23
)
 
$
(25
)
 
$
(43
)

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 December 31, 2019:
 
 
Net Fair Value Asset
(in millions)
 
Valuation Approach
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$24
 
Market approach incorporating present value techniques
 
Henry Hub basis spread
 
$(0.350) - $0.058

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 years ended December 31, 2019, 2018 and 2017 (in millions):
 
 
Year Ended December 31,
 
 
2019
 
2018
 
2017
Balance, beginning of period
 
$
(25
)
 
$
43

 
$
79

Realized and mark-to-market gains (losses):
 
 
 
 
 
 
Included in cost of sales
 
6

 
(3
)
 
(37
)
Purchases and settlements:
 
 
 
 
 
 
Purchases
 
—

 
(37
)
 
14

Settlements
 
42

 
(29
)
 
(12
)
Transfers out of Level 3 (1)
 
1

 
1

 
(1
)
Balance, end of period
 
$
24

 
$
(25
)
 
$
43

Change in unrealized gains (losses) relating to instruments still held at end of period
 
$
6

 
$
(3
)
 
$
(37
)

 
(1)    Transferred to Level 2 as a result of observable market for the underlying natural gas purchase agreements.
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):
 
 
Fair Value Measurements as of (1)
Consolidated Balance Sheet Location
 
December 31, 2019
 
December 31, 2018
Derivative assets
 
$
17

 
$
6

Non-current derivative assets
 
32

 
31

Total derivative assets
 
49

 
37

 
 
 
 
 
Derivative liabilities
 
(9
)
 
(66
)
Non-current derivative liabilities
 
(16
)
 
(14
)
Total derivative liabilities
 
(25
)
 
(80
)
 
 
 
 
 
Derivative asset (liability), net
 
$
24

 
$
(43
)
 
(1)
Does not include collateral posted with counterparties by us of $2 million and $1 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2019 and 2018, respectively.

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):
 
 
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 December 31, 2019
 
 
 
 
 
 
Liquefaction Supply Derivatives
 
$
51

 
$
(2
)
 
$
49

Liquefaction Supply Derivatives
 
(27
)
 
2

 
(25
)
As of December 31, 2018
 
 
 
 
 
 
Liquefaction Supply Derivatives
 
$
63

 
$
(26
)
 
$
37

Liquefaction Supply Derivatives
 
(92
)
 
12

 
(80
)

Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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 years ended December 31, 2019, 2018 and 2017 (in millions):
 
 
Year Ended December 31,
 
 
2019
 
2018
 
2017
CQP Interest Rate Derivatives gain
 
—

 
14

 
6

SPL Interest Rate Derivatives loss
 
—

 
—

 
(2
)

Liquefaction Supply Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Derivative Instruments, Gain (Loss)
The following table shows the changes in the fair value, settlements and location of our Liquefaction Supply Derivatives recorded on our Consolidated Statements of Income during the years ended December 31, 2019, 2018 and 2017 (in millions):
 
 
 
Year Ended December 31,
 
 Consolidated Statement of Income Location (1)
 
2019
 
2018
 
2017
Liquefaction Supply Derivatives gain (loss)
LNG revenues
 
$
1

 
$
(1
)
 
$
—

Liquefaction Supply Derivatives gain (loss)
Cost of sales
 
71

 
(100
)
 
(24
)

 
(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.