Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v2.4.1.9
Derivative Instruments (Tables)
12 Months Ended
Dec. 31, 2014
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Assets and Liabilities
The following table (in thousands) shows the fair value of our derivative assets and liabilities that are required to be measured at fair value on a recurring basis as of December 31, 2014 and 2013, which are classified as prepaid expenses and other, non-current derivative assets and other current liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
December 31, 2014
 
December 31, 2013
 
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
LNG Inventory Derivatives asset (liability)
$

 
$
1,216

 
$

 
$
1,216

 
$

 
$
(161
)
 
$

 
$
(161
)
Fuel Derivatives asset

 

 

 

 

 
27

 

 
27

Term Gas Supply Derivatives asset

 

 
342

 
342

 

 

 

 

Interest Rate Derivatives asset (liability)

 
(12,036
)
 

 
(12,036
)
 

 
84,639

 

 
84,639

Fair Value Measurements, Sensitivity to Changes in Significant Unobservable Inputs for Level 3
The following table (in thousands, except natural gas basis spread) includes quantitative information for the unobservable inputs as of December 31, 2014:
 
 
Net Fair Value Asset
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Term Gas Supply Derivatives
 
$342
 
Basis Spread plus Liquid Location
 
Basis Spread
 
$ (0.350) - $0.035
Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in thousands) shows the fair value and location of our Commodity Derivatives on our Consolidated Balance Sheets:
 
 
 
Fair Value Measurements as of
 
Balance Sheet Location
 
December 31, 2014
 
December 31, 2013
LNG Inventory Derivatives asset (liability)
Prepaid expenses and other
 
$
1,216

 
$
(161
)
Fuel Derivatives asset
Prepaid expenses and other
 

 
27

Term Gas Supply Derivatives asset
Prepaid expenses and other
 
76

 

Term Gas Supply Derivatives asset
Non-current derivative assets
 
586

 

Term Gas Supply Derivatives liability
Other current liabilities
 
(53
)
 

Term Gas Supply Derivatives liability
Other non-current liabilities
 
(267
)
 

Derivative Instruments, Gain (Loss)
The following table (in thousands) shows the changes in the fair value and settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the years ended December 31, 2014, 2013 and 2012:
 
 
 
Year Ended December 31,
 
Income Statement Location
 
2014
 
2013
 
2012
LNG Inventory Derivatives gain (loss)
Revenues
 
$
(31
)
 
$
(463
)
 
$
1,036

LNG Inventory Derivatives gain
Derivative gain (loss), net
 
1,108

 
476

 

Fuel Derivatives gain (loss) (1)
Derivative gain (loss), net
 
281

 
181

 
(622
)
Term Gas Supply Derivatives gain (2)
Operating and maintenance expense
 
342

 

 


 
 
 
 
 

(1)
Excludes settlements of hedges of the exposure to price risk attributable to future purchases of natural gas to be utilized as fuel to operate the Sabine Pass LNG terminal for which Sabine Pass LNG has elected the normal purchase normal sale exception from derivative accounting and has recorded as operating and maintenance expense.
(2)
There were no settlements during the reporting period.
Schedule of Notional Amounts of Outstanding Derivative Positions
At December 31, 2014, Sabine Pass Liquefaction 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
Interest Rate Derivatives - Not Designated
 
$20.0 million
 
$2.5 billion
 
August 14, 2012
 
July 31, 2019
 
1.98%
 
One-month LIBOR
Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)
The following table (in thousands) details the effect of our Interest Rate Derivatives included in Other Comprehensive Income (“OCI”) and AOCI for the years ended December 31, 2014, 2013 and 2012:
 
 
Gain (Loss) in OCI
 
Gain (Loss) Reclassified from AOCI into Interest Expense (Effective Portion)
 
Losses Reclassified into Earnings as a Result of Discontinuance of Cash Flow Hedge Accounting
December 31, 2012
 
 
 
 
 
 
Interest Rate Derivatives - Designated
 
$
(21,290
)
 
$

 
$

Interest Rate Derivatives - De-designated
 
(5,814
)
 

 

Interest Rate Derivatives - Settlements
 
(136
)
 

 

December 31, 2013
 
 
 
 
 
 
Interest Rate Derivatives - Designated
 
21,297

 

 

Interest Rate Derivatives - De-designated
 

 

 
5,807

Interest Rate Derivatives - Settlements
 
(30
)
 

 
166

December 31, 2014
 
 
 
 
 
 
Interest Rate Derivatives - Designated
 

 

 

Interest Rate Derivatives - De-designated
 

 

 

Interest Rate Derivatives - Settlements
 

 

 


Derivative Gross Presentation on Consolidated Balance Sheets
The following table (in thousands) 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
 
Gross Amounts Not Offset in the Consolidated Balance Sheets
 
 
Offsetting Derivative Assets (Liabilities)
 
 
 
 
Derivative Instrument
 
Cash Collateral Received (Paid)
 
Net Amount
As of December 31, 2014:
 
 
 
 
 
 
 
 
 
 
 
 
LNG Inventory Derivatives
 
$
1,216

 
$
1,132

 
$
84

 
$

 
$

 
$
84

Term Gas Supply Derivatives
 
662

 

 
662

 

 

 
662

Term Gas Supply Derivatives
 
(320
)
 

 
(320
)
 

 

 
(320
)
Interest Rate Derivatives - Not Designated
 
11,158

 

 
11,158

 

 

 
11,158

Interest Rate Derivatives - Not Designated
 
(23,194
)
 

 
(23,194
)
 

 

 
(23,194
)
As of December 31, 2013:
 
 
 
 
 
 
 
 
 
 
 
 
LNG Inventory Derivatives
 
(161
)
 
(161
)
 

 

 

 

Fuel Derivatives
 
27

 

 
27

 

 

 
27

Interest Rate Derivatives - Not Designated
 
98,123

 

 
98,123

 

 

 
98,123

Interest Rate Derivatives - Not Designated
 
(13,484
)
 

 
(13,484
)
 

 

 
(13,484
)
Interest Rate Contract [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in thousands) shows the fair value of our Interest Rate Derivatives:
 
 
 
 
Fair Value Measurements as of
 
 
Balance Sheet Location
 
December 31, 2014
 
December 31, 2013
Interest Rate Derivatives - Not Designated
 
Non-current derivative assets
 
$
11,158

 
$
98,123

Interest Rate Derivatives - Not Designated
 
Other current liabilities
 
(23,194
)
 
(13,484
)
Interest Rate Contract [Member] | Derivative gain (loss), net [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Derivative Instruments, Gain (Loss)
The following table (in thousands) shows the changes in the fair value and settlements of our Interest Rate Derivatives—Not Designated recorded in derivative gain (loss), net on our Consolidated Statements of Operations during the years ended December 31, 2014, 2013 and 2012:
 
Year Ended December 31,
 
2014
 
2013
 
2012
Interest Rate Derivatives - Not Designated
$
(119,401
)
 
$
88,596

 
$
679