Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.6.0.2
Derivative Instruments (Tables)
12 Months Ended
Dec. 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 December 31, 2016 and 2015, which are classified as derivative assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
December 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
$

 
$
(6,224
)
 
$

 
$
(6,224
)
 
$

 
$
(8,740
)
 
$

 
$
(8,740
)
CQP Interest Rate Derivatives asset

 
13,108

 

 
13,108

 

 

 

 

CCH Interest Rate Derivatives liability

 
(86,488
)
 

 
(86,488
)
 

 
(104,999
)
 

 
(104,999
)
Liquefaction Supply Derivatives asset (liability)
(4,483
)
 
(1,474
)
 
79,022

 
73,065

 

 
(25
)
 
32,492

 
32,467

LNG Trading Derivatives asset (liability)
2,512

 
(5,309
)
 

 
(2,797
)
 

 
1,053

 

 
1,053

Natural Gas Derivatives liability

 

 

 

 

 
(66
)
 

 
(66
)
FX Derivatives asset

 
168

 

 
168

 

 

 

 

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 December 31, 2016:
 
 
Net Fair Value Asset
(in thousands)
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$79,022
 
Income Approach
 
Basis Spread
 
$(0.260) - $(0.003)
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 years ended December 31, 2016 and 2015:
 
 
Year Ended December 31,
 
 
2016
 
2015
Balance, beginning of period
 
$
32,492

 
$
342

Realized and mark-to-market gains:
 
 
 
 
Included in cost of sales (1)
 
48,218

 
32,150

Purchases and settlements:
 
 
 
 
Purchases
 
538

 

Settlements (1)
 
(2,226
)
 

Transfers out of Level 3
 

 

Balance, end of period
 
$
79,022

 
$
32,492

Change in unrealized gains relating to instruments still held at end of period
 
$
48,938

 
$
32,150

 
    
(1)
Does not include the decrease in fair value of $0.7 million related to the realized gains capitalized during the year ended December 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 December 31, 2016
 
 
 
 
 
 
SPL Interest Rate Derivatives
 
$
(6,229
)
 
$
5

 
$
(6,224
)
CQP Interest Rate Derivatives
 
16,073

 

 
16,073

CQP Interest Rate Derivatives
 
(3,020
)
 
55

 
(2,965
)
CCH Interest Rate Derivatives
 
(95,923
)
 
9,435

 
(86,488
)
Liquefaction Supply Derivatives
 
82,116

 
(1,793
)
 
80,323

Liquefaction Supply Derivatives
 
(11,078
)
 
3,820

 
(7,258
)
LNG Trading Derivatives
 
21,363

 
(14,892
)
 
6,471

LNG Trading Derivatives
 
(17,049
)
 
7,781

 
(9,268
)
FX Derivatives
 
5,112

 
(1,368
)
 
3,744

FX Derivatives
 
(3,625
)
 
49

 
(3,576
)
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 December 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
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:
 
 
December 31, 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Non-current derivative assets
 
$

 
$
16,073

 
$

 
$
16,073

 
$

 
$

 
$

 
$

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(4,223
)
 
(2,965
)
 
(43,383
)
 
(50,571
)
 
(5,940
)
 

 
(28,559
)
 
(34,499
)
Non-current derivative liabilities
 
(2,001
)
 

 
(43,105
)
 
(45,106
)
 
(2,800
)
 

 
(76,440
)
 
(79,240
)
Total derivative liabilities
 
(6,224
)
 
(2,965
)
 
(86,488
)
 
(95,677
)
 
(8,740
)
 

 
(104,999
)
 
(113,739
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liability), net
 
$
(6,224
)
 
$
13,108

 
$
(86,488
)
 
$
(79,604
)
 
$
(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 loss, net on our Consolidated Statements of Operations during the years ended December 31, 2016, 2015 and 2014:
 
 
Year Ended December 31,
 
 
2016
 
2015
 
2014
SPL Interest Rate Derivatives loss
 
$
(5,934
)
 
$
(41,722
)
 
$
(119,401
)
CQP Interest Rate Derivatives gain
 
11,478

 

 

CCH Interest Rate Derivatives loss
 
(15,571
)
 
(161,917
)
 

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:
 
December 31, 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
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
13,535

 
$
6,471

 
$

 
$
20,006

 
$
2,737

 
$
640

 
$

 
$
3,377

Non-current derivative assets
66,788

 

 

 
66,788

 
30,304

 
583

 

 
30,887

Total derivative assets
80,323

 
6,471

 

 
86,794

 
33,041

 
1,223

 

 
34,264

 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
(7,258
)
 
(9,268
)
 

 
(16,526
)
 
(490
)
 
(107
)
 
(66
)
 
(663
)
Non-current derivative liabilities

 

 

 

 
(84
)
 
(63
)
 

 
(147
)
Total derivative liabilities
(7,258
)
 
(9,268
)
 

 
(16,526
)
 
(574
)
 
(170
)
 
(66
)
 
(810
)
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liabilities), net
$
73,065

 
$
(2,797
)
 
$

 
$
70,268

 
$
32,467

 
$
1,053

 
$
(66
)
 
$
33,454


 
    
(1)
Does not include collateral of $6.0 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheet as of December 31, 2016.
(2)
Does not include collateral of $10.4 million and $11.0 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2016 and 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 years ended December 31, 2016, 2015 and 2014:
 
 
 
Year Ended December 31,
 
Statement of Operations Location (1)
 
2016
 
2015
 
2014
Liquefaction Supply Derivatives loss
LNG revenues (losses)
 
$
(8
)
 
$

 
$

Liquefaction Supply Derivatives gain (2)
Cost (cost recovery) of sales
 
(42,172
)
 
(32,503
)
 
(342
)
LNG Trading Derivatives gain (loss)
LNG revenues (losses)
 
(3,580
)
 
1,053

 

Natural Gas Derivatives loss
LNG revenues (losses)
 
(5
)
 
(407
)
 
(1,298
)
Natural Gas Derivatives gain
Operating and maintenance expense
 
(174
)
 
(2,065
)
 
(1,389
)
 
(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.

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
 
December 31, 2016
 
December 31, 2015
FX Derivatives
Derivative assets
 
$
3,744

 
$

FX Derivatives
Derivative liabilities
 
(3,576
)
 

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 years ended December 31, 2016, 2015 and 2014:
 
 
 
 
Year Ended December 31,
 
 
Statement of Operations Location
 
2016
 
2015
 
2014
FX Derivatives gain
 
LNG revenues (losses)
 
$
118

 
$

 
$

FX Derivatives loss
 
Derivative loss, net
 
(103
)
 

 

FX Derivatives loss
 
Other income (expense)
 
(509
)