Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.5.0.2
Derivative Instruments (Tables)
9 Months Ended
Sep. 30, 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 September 30, 2016 and December 31, 2015, 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
 
September 30, 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
$

 
$
(15,948
)
 
$

 
$
(15,948
)
 
$

 
$
(8,740
)
 
$

 
$
(8,740
)
CQP Interest Rate Derivatives liability

 
(12,166
)
 

 
(12,166
)
 

 

 

 

CCH Interest Rate Derivatives liability

 
(297,539
)
 

 
(297,539
)
 

 
(104,999
)
 

 
(104,999
)
Liquefaction Supply Derivatives asset (liability)
(105
)
 
(275
)
 
12,480

 
12,100

 

 
(25
)
 
32,492

 
32,467

LNG Trading Derivatives asset (liability)
284

 
(632
)
 

 
(348
)
 

 
1,053

 

 
1,053

Natural Gas Derivatives liability

 

 

 

 

 
(66
)
 

 
(66
)
FX Derivatives liability

 
(1,193
)
 

 
(1,193
)
 

 

 

 

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 September 30, 2016:
 
 
Net Fair Value Asset
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$12,480
 
Income Approach
 
Basis Spread
 
$(0.35) - $(0.03)
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 and nine months ended September 30, 2016 and 2015:
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2016
 
2015
 
2016
 
2015
Balance, beginning of period
 
$
22,434

 
$
440

 
$
32,492

 
$
342

Realized and mark-to-market losses:
 
 
 
 
 
 
 
 
Included in cost of sales (1)
 
(10,567
)
 
32,177

 
(20,482
)
 
32,204

Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
968

 

 
968

 

Settlements (1)
 
(308
)
 
(71
)
 
(741
)
 

Transfers out of Level 3 (2)
 
(47
)
 

 
243

 

Balance, end of period
 
$
12,480

 
$
32,546

 
$
12,480

 
$
32,546

Change in unrealized gains relating to instruments still held at end of period
 
$
(10,567
)
 
$

 
$
(19,763
)
 
$

 
    
(1)
Does not include the decrease in fair value of $0.7 million related to the realized gains capitalized during the nine months ended September 30, 2016.
(2)
Transferred to Level 2 as a result of observable market for the underlying natural gas supply contracts.
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 September 30, 2016
 
 
 
 
 
 
SPL Interest Rate Derivatives
 
$
(15,948
)
 
$

 
$
(15,948
)
CQP Interest Rate Derivatives
 
(12,166
)
 

 
(12,166
)
CCH Interest Rate Derivatives
 
(297,539
)
 

 
(297,539
)
Liquefaction Supply Derivatives
 
13,740

 
(546
)
 
13,194

Liquefaction Supply Derivatives
 
(2,803
)
 
1,709

 
(1,094
)
LNG Trading Derivatives
 
6,829

 
(4,687
)
 
2,142

LNG Trading Derivatives
 
(5,712
)
 
3,222

 
(2,490
)
FX Derivatives
 
(2,036
)
 
843

 
(1,193
)
As of December 31, 2015
 
 
 
 
 


SPL Interest Rate Derivatives
 
$
(8,740
)
 
$

 
$
(8,740
)
CCH Interest Rate Derivatives
 
(104,999
)
 

 
(104,999
)
Liquefaction Supply Derivatives
 
33,636

 
(595
)
 
33,041

Liquefaction Supply Derivatives
 
(574
)
 

 
(574
)
LNG Trading Derivatives
 
1,922

 
(699
)
 
1,223

LNG Trading Derivatives
 
(2,826
)
 
2,656

 
(170
)
Natural Gas Derivatives
 
188

 
(254
)
 
(66
)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of September 30, 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
CCH Interest Rate Derivatives
 
$28.8 million
 
$5.5 billion
 
May 20, 2015
 
May 31, 2022
 
2.29%
 
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:
 
 
September 30, 2016
 
December 31, 2015
 
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
CCH Interest Rate Derivatives
 
Total
 
SPL Interest Rate Derivatives
 
CQP Interest Rate Derivatives
 
CCH Interest Rate Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
$
(6,376
)
 
$
(5,248
)
 
$
(45,481
)
 
$
(57,105
)
 
$
(5,940
)
 
$

 
$
(28,559
)
 
$
(34,499
)
Non-current derivative liabilities
 
(9,572
)
 
(6,918
)
 
(252,058
)
 
(268,548
)
 
(2,800
)
 

 
(76,440
)
 
(79,240
)
Total derivative liabilities
 
$
(15,948
)
 
$
(12,166
)
 
$
(297,539
)
 
$
(325,653
)
 
$
(8,740
)
 
$

 
$
(104,999
)
 
$
(113,739
)
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 gain (loss), net on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
 
 
Three Months Ended
 
Nine Months Ended
 
 
September 30,
 
September 30,
 
 
2016
 
2015
 
2016
 
2015
SPL Interest Rate Derivatives gain (loss)
 
$
2,557

 
$
(10,872
)
 
$
(13,473
)
 
$
(46,541
)
CQP Interest Rate Derivatives gain (loss)
 
6,626

 

 
(12,944
)
 

CCH Interest Rate Derivatives gain (loss)
 
20,113

 
(150,610
)
 
(215,940
)
 
(195,582
)
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:
 
September 30, 2016
 
December 31, 2015
 
Liquefaction Supply Derivatives (1)
 
LNG Trading Derivatives (2)
 
Natural Gas Derivatives
 
Total
 
Liquefaction Supply Derivatives
 
LNG Trading Derivatives (2)
 
Natural Gas Derivatives (3)
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Other current assets
$
1,947

 
$
2,142

 
$

 
$
4,089

 
$
2,737

 
$
640

 
$

 
$
3,377

Non-current derivative assets
11,247

 

 

 
11,247

 
30,304

 
583

 

 
30,887

Total derivative assets
13,194

 
2,142

 

 
15,336

 
33,041

 
1,223

 

 
34,264

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
(1,083
)
 
(2,490
)
 

 
(3,573
)
 
(490
)
 
(107
)
 
(66
)
 
(663
)
Non-current derivative liabilities
(11
)
 

 

 
(11
)
 
(84
)
 
(63
)
 

 
(147
)
Total derivative liabilities
(1,094
)
 
(2,490
)
 

 
(3,584
)
 
(574
)
 
(170
)
 
(66
)
 
(810
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liabilities), net
$
12,100

 
$
(348
)
 
$

 
$
11,752

 
$
32,467

 
$
1,053

 
$
(66
)
 
$
33,454


 
    
(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 September 30, 2016.
(2)
Does not include collateral of $13.4 million and $11.0 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2016 and December 31, 2015, respectively.
(3)
Does not include collateral of $5.5 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, settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
 
 
 
Three Months Ended
 
Nine Months Ended
 
 
 
September 30,
 
September 30,
 
Statement of Operations Location
 
2016
 
2015
 
2016
 
2015
Liquefaction Supply Derivatives gain
LNG revenues (losses)
 
$
374

 
$

 
$
368

 
$

Liquefaction Supply Derivatives gain (loss) (1)
Cost (cost recovery) of sales
 
(10,416
)
 
32,103

 
(22,680
)
 
32,184

LNG Trading Derivatives gain (loss)
LNG revenues (losses)
 
8,617

 
113

 
(3,597
)
 
113

Natural Gas Derivatives loss
LNG revenues (losses)
 

 
(152
)
 
(5
)
 
(260
)
Natural Gas Derivatives gain
Operating and maintenance expense
 

 
857

 
174

 
1,317

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

FX 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 FX Derivatives on our Consolidated Balance Sheets:
 
 
 
 
Fair Value Measurements as of
 
Balance Sheet Location
 
September 30, 2016
 
December 31, 2015
FX Derivatives
Derivative liabilities
 
$
(1,151
)
 
$

FX Derivatives
Non-current derivative liabilities
 
(42
)
 

Derivative Instruments, Gain (Loss)
The following table (in thousands) shows the changes in the fair value of our FX Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
 
 
 
 
Three Months Ended
 
Nine Months Ended
 
 
 
 
September 30,
 
September 30,
 
 
Statement of Operations Location
 
2016
 
2015
 
2016
 
2015
FX Derivatives loss
 
LNG revenues (losses)
 
$
(1,385
)
 
$

 
$
(1,345
)
 
$

FX Derivatives gain
 
Derivative gain (loss), net
 
31

 

 
129

 

FX Derivatives gain (loss)
 
Other income (expense)
 
2

 

 
(86
)