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Derivative Instruments (Tables)
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3 Months Ended |
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Mar. 31, 2015
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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 (in thousands) shows the fair value of our derivative instruments that are required to be measured at fair value on a recurring basis as of March 31, 2015 and December 31, 2014, which are classified as prepaid expenses and other, non-current derivative assets and other current liabilities in our Consolidated Balance Sheets.
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Fair Value Measurements as of |
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March 31, 2015 |
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December 31, 2014 |
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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 |
LNG Inventory Derivatives asset |
$ |
— |
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$ |
372 |
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$ |
— |
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$ |
372 |
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$ |
— |
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$ |
1,216 |
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$ |
— |
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$ |
1,216 |
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Term Gas Supply Derivatives asset |
— |
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— |
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342 |
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342 |
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— |
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— |
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342 |
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342 |
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Interest Rate Derivatives liability |
— |
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(11,692 |
) |
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— |
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(11,692 |
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— |
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(12,036 |
) |
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— |
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(12,036 |
) |
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| Fair Value Inputs, Assets, Quantitative Information |
The following table (in thousands, except natural gas basis spread) includes quantitative information for the unobservable inputs as of March 31, 2015:
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Net Fair Value Asset |
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Valuation Technique |
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Significant Unobservable Input |
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Significant Unobservable Inputs Range |
Term Gas Supply Derivatives |
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$342 |
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Income Approach |
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Basis Spread |
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$ (0.350) - $0.046 |
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| Derivative Net Presentation on Consolidated Balance Sheets |
Our Commodity Derivatives and Interest Rate Derivatives are presented on a net basis on our Consolidated Balance Sheets as described above. The following table (in thousands) shows the fair value of our derivatives outstanding on a gross and net basis:
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of March 31, 2015: |
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LNG Inventory Derivatives |
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$ |
372 |
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$ |
— |
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$ |
372 |
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Term Gas Supply Derivatives |
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662 |
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— |
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662 |
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Term Gas Supply Derivatives |
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(320 |
) |
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— |
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(320 |
) |
Interest Rate Derivatives |
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(11,692 |
) |
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— |
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(11,692 |
) |
As of December 31, 2014: |
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LNG Inventory Derivatives |
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1,216 |
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1,132 |
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84 |
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Term Gas Supply Derivatives |
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662 |
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— |
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662 |
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Term Gas Supply Derivatives |
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(320 |
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— |
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(320 |
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Interest Rate Derivatives |
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11,158 |
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— |
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11,158 |
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Interest Rate Derivatives |
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(23,194 |
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— |
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(23,194 |
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| Commodity Contract [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 (in thousands) shows the fair value and location of our Commodity Derivatives on our Consolidated Balance Sheets:
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March 31, 2015 |
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December 31, 2014 |
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LNG Inventory Derivatives (1) |
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Term Gas Supply Derivatives |
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Total Commodity Derivatives |
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LNG Inventory Derivatives (1) |
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Term Gas Supply Derivatives |
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Total Commodity Derivatives |
Balance Sheet Location |
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Prepaid expenses and other |
$ |
372 |
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$ |
190 |
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$ |
562 |
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$ |
1,216 |
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$ |
76 |
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$ |
1,292 |
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Non-current derivative assets |
— |
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472 |
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472 |
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— |
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586 |
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586 |
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Total derivative assets |
372 |
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662 |
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1,034 |
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1,216 |
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662 |
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1,878 |
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Derivative liabilities |
— |
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(133 |
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(133 |
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— |
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(53 |
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(53 |
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Other non-current liabilities |
— |
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(187 |
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(187 |
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— |
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(267 |
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(267 |
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Total derivative liabilities |
— |
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(320 |
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(320 |
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— |
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(320 |
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(320 |
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Net derivative assets |
$ |
372 |
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$ |
342 |
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$ |
714 |
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$ |
1,216 |
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$ |
342 |
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$ |
1,558 |
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(1) |
Does not include collateral calls of $0.2 million and $1.1 million for such contracts, which are included in prepaid expenses and other current assets in our Consolidated Balance Sheets as of March 31, 2015 and December 31, 2014, respectively.
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three months ended March 31, 2015 and 2014:
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Three Months Ended March 31, |
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Statement of Operations Location |
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2015 |
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2014 |
LNG Inventory Derivatives loss |
Revenues |
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$ |
— |
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$ |
(29 |
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LNG Inventory Derivatives gain (loss) |
Derivative loss, net |
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754 |
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(435 |
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Fuel Derivatives gain (1) |
Derivative loss, net |
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— |
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242 |
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Term Gas Supply Derivatives gain (loss) (2) |
Operating and maintenance expense |
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— |
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— |
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(1) |
Fuel Derivatives gain for the three months ended March 31, 2014 represents the changes in the fair value and settlements of certain Fuel Derivatives that were previously not elected to be accounted for under the normal purchase normal sale exception from derivative accounting. During the three months ended March 31, 2015, all settlements of Fuel Derivatives were recorded as operating and maintenance expense, as the normal purchase normal sale exception was elected for all Fuel Derivatives outstanding.
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(2) |
There were no settlements during the reporting period.
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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 |
At March 31, 2015, SPL 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 |
Interest Rate Derivatives |
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$20.0 million |
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$691.0 million |
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August 14, 2012 |
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July 31, 2019 |
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1.98% |
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One-month LIBOR |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in thousands) shows the fair value of our Interest Rate Derivatives:
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Fair Value Measurements as of |
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Balance Sheet Location |
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March 31, 2015 |
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December 31, 2014 |
Interest Rate Derivatives |
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Non-current derivative assets
(Other non-current liabilities)
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$ |
(4,573 |
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$ |
11,158 |
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Interest Rate Derivatives |
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Derivative liabilities |
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(7,119 |
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(23,194 |
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements of our Interest Rate Derivatives recorded in derivative loss, net on our Consolidated Statements of Operations during the three months ended March 31, 2015 and 2014:
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Three Months Ended March 31, |
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2015 |
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2014 |
Interest Rate Derivatives loss |
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$ |
(37,138 |
) |
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$ |
(34,479 |
) |
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