Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v2.4.1.9
Derivative Instruments (Tables)
3 Months Ended
Mar. 31, 2015
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, 2015 and December 31, 2014, which are classified as prepaid expenses and other, non-current derivative assets, derivative liabilities and other non-current liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
March 31, 2015
 
December 31, 2014
 
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
$

 
$
367

 
$

 
$
367

 
$

 
$
1,140

 
$

 
$
1,140

Fuel Derivatives liability

 
(755
)
 

 
(755
)
 

 
(921
)
 

 
(921
)
Term Gas Supply Derivatives asset

 

 
342

 
342

 

 

 
342

 
342

SPL Interest Rate Derivatives liability

 
(11,692
)
 

 
(11,692
)
 

 
(12,036
)
 

 
(12,036
)
Contingent Interest Rate Derivatives liability

 
(89,552
)
 

 
(89,552
)
 

 

 

 

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:
 
 
Net Fair Value Asset
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Term Gas Supply Derivatives
 
$342
 
Income Approach
 
Basis Spread
 
$ (0.350) - $0.046
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, 2015:
 
 
 
 
 
 
LNG Inventory Derivatives
 
$
367

 
$
(4
)
 
$
371

Fuel Derivatives
 
(755
)
 
(755
)
 

Term Gas Supply Derivatives
 
662

 

 
662

Term Gas Supply Derivatives
 
(320
)
 

 
(320
)
SPL Interest Rate Derivatives
 
(11,692
)
 

 
(11,692
)
Contingent Interest Rate Derivatives
 
(89,552
)
 

 
(89,552
)
As of December 31, 2014:
 
 
 
 
 
 
LNG Inventory Derivatives
 
1,140

 
1,056

 
84

Fuel Derivatives
 
(921
)
 
(921
)
 

Term Gas Supply Derivatives
 
662

 

 
662

Term Gas Supply Derivatives
 
(320
)
 

 
(320
)
SPL Interest Rate Derivatives
 
11,158

 

 
11,158

SPL Interest Rate Derivatives
 
(23,194
)
 

 
(23,194
)
Commodity Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
 
 
March 31, 2015
 
December 31, 2014
 
 
LNG Inventory Derivatives (1)
 
Fuel Derivatives (1)
 
Term Gas Supply Derivatives
 
Total Commodity Derivatives
 
LNG Inventory Derivatives (1)
 
Fuel Derivatives (1)
 
Term Gas Supply Derivatives
 
Total Commodity Derivatives
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Prepaid expenses and other
 
$
367

 
$
(755
)
 
$
190

 
$
(198
)
 
$
1,140

 
$
(921
)
 
$
76

 
$
295

Non-current derivative assets
 

 

 
472

 
472

 

 

 
586

 
586

Total derivative assets
 
367

 
(755
)
 
662

 
274

 
1,140

 
(921
)
 
662

 
881

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 

 

 
(133
)
 
(133
)
 

 

 
(53
)
 
(53
)
Other non-current liabilities
 

 

 
(187
)
 
(187
)
 

 

 
(267
)
 
(267
)
Total derivative liabilities
 

 

 
(320
)
 
(320
)
 

 

 
(320
)
 
(320
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Net derivative assets (liabilities)
 
$
367

 
$
(755
)
 
$
342

 
$
(46
)
 
$
1,140

 
$
(921
)
 
$
342

 
$
561


 
(1)
Does not include collateral of $5.9 million and $5.7 million deposited for such contracts, which is included in prepaid expenses and other current assets in our Consolidated Balance Sheets as of March 31, 2015 and December 31, 2014, respectively.

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:
 
 
 
Three Months Ended March 31,
 
Statement of Operations Location
 
2015
 
2014
LNG Inventory Derivatives gain (loss)
Marketing and trading revenues
 
$
(206
)
 
$
184

Fuel Derivatives gain (loss)
Marketing and trading revenues
 
(41
)
 
165

LNG Inventory Derivatives gain (loss)
Derivative loss, net
 
754

 
(435
)
Fuel Derivatives gain
Derivative loss, net
 

 
242

Term Gas Supply Derivatives gain (loss) (1)
Operating and maintenance expense
 

 

 
(1)    There were no settlements during the reporting period.

Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of March 31, 2015, 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
 
$691.0 million
 
August 14, 2012
 
July 31, 2019
 
1.98%
 
One-month LIBOR
Contingent Interest Rate Derivatives (1)
 
$28.8 million
 
$5.4 billion
 
May 8, 2015
 
May 31, 2022
 
2.32%
 
One-month LIBOR

 
(1)
The effective date represents management’s estimate of commencement of first monthly settlement of the contingent interest rate derivative instruments, and the maturity date is based on the contractual term of the instruments once effective.

Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in thousands) shows the fair value of our interest rate derivatives:
 
 
March 31, 2015
 
December 31, 2014
 
 
SPL Interest Rate Derivatives
 
Contingent Interest Rate Derivatives
 
Total
 
SPL Interest Rate Derivatives
 
Contingent Interest Rate Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
Non-current derivative assets
 
$

 
$

 
$

 
$
11,158

 
$

 
$
11,158

Total derivative assets
 

 

 

 
11,158

 

 
11,158

 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(7,119
)
 
(10,794
)
 
(17,913
)
 
(23,194
)
 

 
(23,194
)
Other non-current liabilities
 
(4,573
)
 
(78,758
)
 
(83,331
)
 

 

 

Total derivative liabilities
 
(11,692
)
 
(89,552
)
 
(101,244
)
 
(23,194
)
 

 
(23,194
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities, net
 
$
(11,692
)
 
$
(89,552
)
 
$
(101,244
)
 
$
(12,036
)
 
$

 
$
(12,036
)


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:
 
Three Months Ended March 31,
 
2015
 
2014
SPL Interest Rate Derivatives loss
$
(37,138
)
 
$
(34,479
)
Contingent Interest Rate Derivatives loss
(89,552
)