Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.10.0.1
Derivative Instruments (Tables)
12 Months Ended
Dec. 31, 2018
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, 2018 and 2017, which are classified as other current 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, 2018
 
December 31, 2017
 
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
CQP Interest Rate Derivatives asset
$

 
$

 
$

 
$

 
$

 
$
21

 
$

 
$
21

Liquefaction Supply Derivatives asset (liability)
5

 
(23
)
 
(25
)
 
(43
)
 
2

 
10

 
43

 
55

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, 2018:
 
 
Net Fair Value Liability
(in millions)
 
Valuation Approach
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$(25)
 
Market approach incorporating present value techniques
 
Basis Spread
 
$(0.892) - $0.085

Fair Value, Liabilities 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, 2018, 2017 and 2016 (in millions):
 
Year Ended December 31,
 
2018
 
2017
 
2016
Balance, beginning of period
$
43

 
$
79

 
$
32

Realized and mark-to-market gains (losses):
 
 
 
 
 
Included in cost of sales (1)
(3
)
 
(37
)
 
48

Purchases and settlements:
 
 
 
 
 
Purchases
(37
)
 
14

 
1

Settlements (1)
(29
)
 
(12
)
 
(2
)
Transfers out of Level 3 (2)
1

 
(1
)
 

Balance, end of period
$
(25
)
 
$
43

 
$
79

Change in unrealized gains (losses) relating to instruments still held at end of period
$
(3
)
 
$
(37
)
 
$
49


 
    
(1)
Does not include the decrease in fair value of $1 million related to the realized gains capitalized during the year ended December 31, 2016.
(2)
Transferred to Level 2 as a result of observable market for the underlying natural gas purchase agreements.
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, 2018
 
 
 
 
 
 
Liquefaction Supply Derivatives
 
$
63

 
$
(26
)
 
$
37

Liquefaction Supply Derivatives
 
(92
)
 
12

 
(80
)
As of December 31, 2017
 
 
 
 
 
 
CQP Interest Rate Derivatives
 
$
21

 
$

 
$
21

Liquefaction Supply Derivatives
 
64

 
(6
)
 
58

Liquefaction Supply Derivatives
 
(3
)
 

 
(3
)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of the CQP Interest Rate Derivatives on our Consolidated Balance Sheets (in millions):
 
 
December 31,
Consolidated Balance Sheet Location
 
2018
 
2017
Other current assets
 
$

 
$
7

Non-current derivative assets
 

 
14

Total derivative assets
 
$

 
$
21


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, net on our Consolidated Statements of Operations during the years ended December 31, 2018, 2017 and 2016 (in millions):
 
Year Ended December 31,
 
2018
 
2017
 
2016
CQP Interest Rate Derivatives gain
$
14

 
$
6

 
$
12

SPL Interest Rate Derivatives loss

 
(2
)
 
(6
)
Liquefaction Supply Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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, 2018
 
December 31, 2017
Other current assets
 
$
6

 
$
41

Non-current derivative assets
 
31

 
17

Total derivative assets
 
37

 
58

 
 
 
 
 
Derivative liabilities
 
(66
)
 

Non-current derivative liabilities
 
(14
)
 
(3
)
Total derivative liabilities
 
(80
)
 
(3
)
 
 
 
 
 
Derivative asset (liability), net
 
$
(43
)
 
$
55

 
(1)
Does not include collateral calls of $1 million as of both December 31, 2018 and 2017 for such contracts, which are included in other current assets in our Consolidated Balance Sheets.

Derivative Instruments, Gain (Loss)
The following table shows the changes in the fair value, settlements and location of our Liquefaction Supply Derivatives on our Consolidated Statements of Operations during the years ended December 31, 2018, 2017 and 2016 (in millions):
 
 
 
Year Ended December 31,
 
Statement of Operations Location (1)
 
2018
 
2017
 
2016
Liquefaction Supply Derivatives loss
LNG revenues
 
$
(1
)
 
$

 
$

Liquefaction Supply Derivatives gain (loss)
Cost of sales
 
(100
)
 
(24
)
 
42


 

(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.