Derivative Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2017 |
|---|
| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
|
| Fair Value of Derivative Assets and Liabilities |
The following table (in millions) 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, 2017 and December 31, 2016, which are classified as other current assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of |
|
March 31, 2017 |
|
December 31, 2016 |
|
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 |
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
— |
|
|
$ |
(6 |
) |
|
$ |
— |
|
|
$ |
(6 |
) |
CQP Interest Rate Derivatives asset |
— |
|
|
16 |
|
|
— |
|
|
16 |
|
|
— |
|
|
13 |
|
|
— |
|
|
13 |
|
Liquefaction Supply Derivatives asset (liability) |
(2 |
) |
|
— |
|
|
41 |
|
|
39 |
|
|
(4 |
) |
|
(2 |
) |
|
79 |
|
|
73 |
|
|
| 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, 2017:
|
|
|
|
|
|
|
|
|
|
|
|
Net Fair Value Asset
(in millions)
|
|
Valuation Technique |
|
Significant Unobservable Input |
|
Significant Unobservable Inputs Range |
Physical Liquefaction Supply Derivatives |
|
$41 |
|
Income Approach |
|
Basis Spread |
|
$(0.345) - $0.081 |
|
| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table (in millions) shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three months ended March 31, 2017 and 2016:
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
|
2017 |
|
2016 |
Balance, beginning of period |
|
$ |
79 |
|
|
$ |
32 |
|
Realized and mark-to-market losses: |
|
|
|
|
Included in cost of sales (1) |
|
(41 |
) |
|
(2 |
) |
Purchases and settlements: |
|
|
|
|
Purchases |
|
4 |
|
|
— |
|
Settlements (1) |
|
(1 |
) |
|
— |
|
Balance, end of period |
|
$ |
41 |
|
|
$ |
30 |
|
Change in unrealized gains relating to instruments still held at end of period |
|
$ |
(41 |
) |
|
$ |
(2 |
) |
|
|
(1) |
Does not include the decrease in fair value of $1 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 millions) 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, 2017 |
|
|
|
|
|
|
CQP Interest Rate Derivatives |
|
$ |
17 |
|
|
$ |
(1 |
) |
|
$ |
16 |
|
Liquefaction Supply Derivatives |
|
48 |
|
|
(4 |
) |
|
44 |
|
Liquefaction Supply Derivatives |
|
2 |
|
|
(7 |
) |
|
(5 |
) |
As of December 31, 2016 |
|
|
|
|
|
|
SPL Interest Rate Derivatives |
|
$ |
(6 |
) |
|
$ |
— |
|
|
$ |
(6 |
) |
CQP Interest Rate Derivatives |
|
16 |
|
|
— |
|
|
16 |
|
CQP Interest Rate Derivatives |
|
(3 |
) |
|
— |
|
|
(3 |
) |
Liquefaction Supply Derivatives |
|
82 |
|
|
(2 |
) |
|
80 |
|
Liquefaction Supply Derivatives |
|
(11 |
) |
|
4 |
|
|
(7 |
) |
|
| Interest Rate Derivatives [Member] |
|
| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of March 31, 2017, 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 |
CQP Interest Rate Derivatives |
|
$225 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 millions) shows the fair value and location of our Interest Rate Derivatives on our Consolidated Balance Sheets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2017 |
|
December 31, 2016 |
|
|
SPL Interest Rate Derivatives |
|
CQP Interest Rate Derivatives |
|
Total |
|
SPL Interest Rate Derivatives |
|
CQP Interest Rate Derivatives |
|
Total |
Balance Sheet Location |
|
|
|
|
|
|
|
|
|
|
|
|
Non-current derivative assets |
|
$ |
— |
|
|
$ |
16 |
|
|
$ |
16 |
|
|
$ |
— |
|
|
$ |
16 |
|
|
$ |
16 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities |
|
— |
|
|
— |
|
|
— |
|
|
(4 |
) |
|
(3 |
) |
|
(7 |
) |
Non-current derivative liabilities |
|
— |
|
|
— |
|
|
— |
|
|
(2 |
) |
|
— |
|
|
(2 |
) |
Total derivative liabilities |
|
— |
|
|
— |
|
|
— |
|
|
(6 |
) |
|
(3 |
) |
|
(9 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative asset (liability), net |
|
$ |
— |
|
|
$ |
16 |
|
|
$ |
16 |
|
|
$ |
(6 |
) |
|
$ |
13 |
|
|
$ |
7 |
|
|
| Derivative Instruments, Gain (Loss) |
The following table (in millions) 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, 2017 and 2016:
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
|
2017 |
|
2016 |
SPL Interest Rate Derivatives loss |
|
$ |
(2 |
) |
|
$ |
(11 |
) |
CQP Interest Rate Derivatives gain (loss) |
|
2 |
|
|
(10 |
) |
|
| Liquefaction Supply Derivatives [Member] |
|
| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
|
| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in millions) shows the fair value and location of our Liquefaction Supply Derivatives on our Consolidated Balance Sheets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of (1) |
|
Balance Sheet Location |
|
March 31, 2017 |
|
December 31, 2016 |
Liquefaction Supply Derivatives |
Other current assets |
|
$ |
16 |
|
|
$ |
13 |
|
Liquefaction Supply Derivatives |
Non-current derivative assets |
|
28 |
|
|
67 |
|
Liquefaction Supply Derivatives |
Derivative liabilities |
|
(4 |
) |
|
(7 |
) |
Liquefaction Supply Derivatives |
Non-current derivative liabilities |
|
(1 |
) |
|
— |
|
|
|
(1) |
Does not include collateral of $5 million and $6 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheets as of March 31, 2017 and December 31, 2016, respectively.
|
SPL had secured up to approximately 2,051 million MMBtu and 1,994 million MMBtu of natural gas feedstock through natural gas supply contracts as of March 31, 2017 and December 31, 2016, respectively. The notional natural gas position of our Liquefaction Supply Derivatives was approximately 1,214 million MMBtu and 1,117 million MMBtu as of March 31, 2017 and December 31, 2016, respectively.
|
| Derivative Instruments, Gain (Loss) |
The following table (in millions) shows the changes in the fair value, settlements and location of our Liquefaction Supply Derivatives recorded on our Consolidated Statements of Operations during the three months ended March 31, 2017 and 2016:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
Statement of Operations Location (1) |
|
2017 |
|
2016 |
Liquefaction Supply Derivatives loss (2) |
Cost of sales |
|
$ |
39 |
|
|
$ |
4 |
|
|
|
(1) |
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. |
|
|
(2) |
Does not include the realized value associated with derivative instruments that settle through physical delivery. |
|