Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.4.0.3
Derivative Instruments (Tables)
3 Months Ended
Mar. 31, 2016
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 instruments that are required to be measured at fair value on a recurring basis as of March 31, 2016 and December 31, 2015, which are classified as other current assets, non-current derivative assets, derivative liabilities or other non-current derivative liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
March 31, 2016
 
December 31, 2015
 
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
$

 
$
(18,009
)
 
$

 
$
(18,009
)
 
$

 
$
(8,740
)
 
$

 
$
(8,740
)
CQP Interest Rate Derivatives liability

 
(9,490
)
 

 
(9,490
)
 

 

 

 

Liquefaction Supply Derivatives asset (liability)

 
(151
)
 
30,054

 
29,903

 

 
(25
)
 
32,492

 
32,467

Natural Gas Derivatives asset

 

 

 

 

 
39

 

 
39

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 March 31, 2016:
 
 
Net Fair Value Asset
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$30,054
 
Income Approach
 
Basis Spread
 
$ (0.350) - $0.020

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table (in thousands) shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three months ended March 31, 2016 and 2015:
 
 
Three Months Ended March 31,
 
 
2016
 
2015
Balance, beginning of period
 
$
32,492

 
$
342

Realized and mark-to-market losses:
 
 
 
 
Included in cost of sales (1)
 
(2,653
)
 

Purchases and settlements:
 
 
 
 
Purchases
 
215

 

Settlements (1)
 

 

Balance, end of period
 
$
30,054

 
$
342

Change in unrealized gains relating to instruments still held at end of period
 
$
(2,194
)
 
$

 
    
(1)
Does not include the decrease in fair value of $0.5 million related to the realized gains capitalized during the three months ended March 31, 2016.
Derivative Net 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
Offsetting Derivative Assets (Liabilities)
 
 
 
As of March 31, 2016
 
 
 
 
 
 
SPL Interest Rate Derivatives
 
$
(18,009
)
 
$

 
$
(18,009
)
CQP Interest Rate Derivatives
 
(9,490
)
 

 
(9,490
)
Liquefaction Supply Derivatives
 
30,618

 
(186
)
 
30,432

Liquefaction Supply Derivatives
 
(1,668
)
 
1,139

 
(529
)
As of December 31, 2015
 
 
 
 
 
 
SPL Interest Rate Derivatives
 
$
(8,740
)
 
$

 
$
(8,740
)
Liquefaction Supply Derivatives
 
33,636

 
(595
)
 
33,041

Liquefaction Supply Derivatives
 
(574
)
 

 
(574
)
Natural Gas Derivatives
 
188

 
(149
)
 
39

Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
 March 31, 2016, 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
SPL Interest Rate Derivatives
 
$20.0 million
 
$628.8 million
 
August 14, 2012
 
July 31, 2019
 
1.98%
 
One-month LIBOR
CQP Interest Rate Derivatives
 
$225.0 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 thousands) shows the fair value and location of our Interest Rate Derivatives on our Consolidated Balance Sheets:
 
 
March 31, 2016
 
December 31, 2015
 
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
Total
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
$
(6,759
)
 
$
(4,530
)
 
$
(11,289
)
 
$
(5,940
)
 
$

 
$
(5,940
)
Non-current derivative liabilities
 
(11,250
)
 
(4,960
)
 
(16,210
)
 
(2,800
)
 

 
(2,800
)
Total derivative liabilities
 
(18,009
)
 
(9,490
)
 
(27,499
)
 
(8,740
)
 

 
(8,740
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liability, net
 
$
(18,009
)
 
$
(9,490
)
 
$
(27,499
)
 
$
(8,740
)
 
$

 
$
(8,740
)
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, 2016 and 2015:
 
 
Three Months Ended March 31,
 
 
2016
 
2015
SPL Interest Rates Derivatives loss
 
$
(11,278
)
 
$
(37,138
)
CQP Interest Rate Derivatives loss
 
(9,530
)
 

Commodity Derivatives [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 and location of our Commodity Derivatives on our Consolidated Balance Sheets:
 
March 31, 2016
 
December 31, 2015
 
Liquefaction Supply Derivatives (1)
 
Natural Gas Derivatives
 
Total
 
Liquefaction Supply Derivatives
 
Natural Gas Derivatives (2)
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
Other current assets
$
2,222

 
$

 
$
2,222

 
$
2,737

 
$
39

 
$
2,776

Non-current derivative assets
28,210

 

 
28,210

 
30,304

 

 
30,304

Total derivative assets
30,432

 

 
30,432

 
33,041

 
39

 
33,080

 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
(529
)
 

 
(529
)
 
(490
)
 

 
(490
)
Non-current derivative liabilities

 

 

 
(84
)
 

 
(84
)
Total derivative liabilities
(529
)
 

 
(529
)
 
(574
)
 

 
(574
)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset, net
$
29,903


$

 
$
29,903

 
$
32,467

 
$
39

 
$
32,506

 
(1)
Does not include collateral of $1.5 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheet as of March 31, 2016.
(2)
Does not include collateral of $0.4 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheet as of December 31, 2015.
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, 2016 and 2015:
 
 
 
Three Months Ended March 31,
 
Statement of Operations Location
 
2016
 
2015
Liquefaction Supply Derivatives gain
Revenues
 
$
28

 
$

Liquefaction Supply Derivatives loss (1)
Cost of sales
 
(3,594
)
 

Natural Gas Derivatives gain
Operating and maintenance expense
 
174

 
754


 

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