Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.24.3
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
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, distinguished by the fair value hierarchy levels prescribed by GAAP (in millions):
Fair Value Measurements as of
September 30, 2024 December 31, 2023
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)
 $ 5  $ 7  $ (1,376) $ (1,364) $ 18  $ 1  $ (1,676) $ (1,657)
Fair Value Measurement Inputs and Valuation Techniques The following table includes quantitative information for the unobservable inputs for the Level 3 Liquefaction Supply Derivatives as of September 30, 2024:
Net Fair Value Liability
(in millions)
 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Liquefaction Supply Derivatives $(1,376) Market approach incorporating present value techniques
Henry Hub basis spread
$(0.700) - $0.481 / $0.036
Option pricing model
International LNG pricing spread, relative to Henry Hub (2)
70% - 411% / 185%
(1)Unobservable inputs were weighted by the relative fair value of the instruments.
(2)Spread contemplates U.S. dollar-denominated pricing.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following table shows the changes in the fair value of the Level 3 Liquefaction Supply Derivatives (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
2024 2023 2024 2023
Balance, beginning of period $ (1,495) $ (2,255) $ (1,676) $ (3,719)
Realized and change in fair value gains included in net income (1):
Included in cost of sales, existing deals (2) 46  294  163  1,275 
Included in cost of sales, new deals (3) 2  8  17  23 
Purchases and settlements:
Purchases (4) —  —  —  — 
Settlements (5) 69  59  119  522 
Transfers out of level 3 (6) 2  2  1  7 
Balance, end of period $ (1,376) $ (1,892) $ (1,376) $ (1,892)
Favorable changes in fair value relating to instruments still held at the end of the period
 $ 48  $ 302  $ 180  $ 1,298 
(1)Does not include the realized value associated with derivative instruments that settle through physical delivery, as settlement is equal to the contractually fixed price from trade date multiplied by contractual volume.  See settlements line item in this table.
(2)Impact to earnings on deals that existed at the beginning of the period and continue to exist at the end of the period.
(3)Impact to earnings on deals that were entered into during the reporting period and continue to exist at the end of the period.
(4)Includes any day one gain (loss) recognized during the reporting period on deals that were entered into during the reporting period which continue to exist at the end of the period.
(5)Roll-off in the current period of amounts recognized in our Consolidated Balance Sheets at the end of the previous period due to settlement of the underlying instruments in the current period.
(6)Transferred out of Level 3 as a result of observable market for the underlying natural gas purchase agreements.
Derivative Instruments, Gain (Loss)
The following table shows the effect and location of the Liquefaction Supply Derivatives recorded on our Consolidated Statements of Operations (in millions):
Gain Recognized in Consolidated Statements of Operations
 Consolidated Statements of Operations Location (1)
 Three Months Ended September 30, Nine Months Ended September 30,
2024 2023 2024 2023
Cost of sales $ 152  $ 365  $ 316  $ 1,867 
(1)Does not include the realized value associated with the Liquefaction Supply Derivatives 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.
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of the Liquefaction Supply Derivatives on our Consolidated Balance Sheets (in millions):
Fair Value Measurements as of (1)
Consolidated Balance Sheets Location September 30, 2024 December 31, 2023
Current derivative assets $ 50  $ 30 
Derivative assets 64  40 
Total derivative assets 114  70 
Current derivative liabilities (222) (196)
Derivative liabilities (1,256) (1,531)
Total derivative liabilities (1,478) (1,727)
Derivative liability, net $ (1,364) $ (1,657)
(1)Does not include collateral posted with counterparties by us of $12 million and zero as of September 30, 2024 and December 31, 2023, respectively, which is included in other current assets, net on our Consolidated Balance Sheets, and collateral posted by counterparties to us of zero and $4 million as of September 30, 2024 and December 31, 2023, respectively, which is included in other current liabilities on our Consolidated Balance Sheets.
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) for our derivative instruments that are presented on a net basis on our Consolidated Balance Sheets:
Liquefaction Supply Derivatives
September 30, 2024 December 31, 2023
Gross assets $ 176  $ 88 
Offsetting amounts (62) (18)
Net assets $ 114  $ 70 
Gross liabilities $ (1,478) $ (1,746)
Offsetting amounts —  19 
Net liabilities $ (1,478) $ (1,727)