Derivative Instruments (Tables)
|
3 Months Ended |
Mar. 31, 2020 |
|---|
| 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 March 31, 2020 and December 31, 2019, which are classified as derivative assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of |
|
March 31, 2020 |
|
December 31, 2019 |
|
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 |
CCH Interest Rate Derivatives liability |
$ |
— |
|
|
$ |
(197 |
) |
|
$ |
— |
|
|
$ |
(197 |
) |
|
$ |
— |
|
|
$ |
(81 |
) |
|
$ |
— |
|
|
$ |
(81 |
) |
CCH Interest Rate Forward Start Derivatives liability |
— |
|
|
(92 |
) |
|
— |
|
|
(92 |
) |
|
— |
|
|
(8 |
) |
|
— |
|
|
(8 |
) |
Liquefaction Supply Derivatives asset |
1 |
|
|
3 |
|
|
674 |
|
|
678 |
|
|
5 |
|
|
6 |
|
|
138 |
|
|
149 |
|
LNG Trading Derivatives asset (liability) |
(3 |
) |
|
188 |
|
|
— |
|
|
185 |
|
|
— |
|
|
165 |
|
|
— |
|
|
165 |
|
FX Derivatives asset |
— |
|
|
23 |
|
|
— |
|
|
23 |
|
|
— |
|
|
4 |
|
|
— |
|
|
4 |
|
|
| 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 March 31, 2020:
|
|
|
|
|
|
|
|
|
|
|
|
Net Fair Value Asset
(in millions)
|
|
Valuation Approach |
|
Significant Unobservable Input |
|
Range of Significant Unobservable Inputs / Weighted Average (1) |
Physical Liquefaction Supply Derivatives |
|
$674 |
|
Market approach incorporating present value techniques |
|
Henry Hub basis spread |
|
$(0.619) - $0.054 / (0.027) |
|
|
|
|
Option pricing model |
|
International LNG pricing spread, relative to Henry Hub (2) |
|
48% - 154% / 117% |
(1) Unobservable inputs were weighted by the relative fair value of the instruments.
(2) Spread contemplates U.S. dollar-denominated pricing.
|
| Fair Value, Assets 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 three months ended March 31, 2020 and 2019 (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
|
2020 |
|
2019 |
Balance, beginning of period |
|
$ |
138 |
|
|
$ |
(29 |
) |
Realized and mark-to-market gains: |
|
|
|
|
Included in cost of sales |
|
534 |
|
|
12 |
|
Purchases and settlements: |
|
|
|
|
Purchases |
|
1 |
|
|
1 |
|
Settlements |
|
— |
|
|
47 |
|
Transfers out of Level 3 (1) |
|
1 |
|
|
— |
|
Balance, end of period |
|
$ |
674 |
|
|
$ |
31 |
|
Change in unrealized gains relating to instruments still held at end of period |
|
$ |
534 |
|
|
$ |
12 |
|
(1) 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 March 31, 2020 |
|
|
|
|
|
|
CCH Interest Rate Derivatives |
|
$ |
(197 |
) |
|
$ |
— |
|
|
$ |
(197 |
) |
CCH Interest Rate Forward Start Derivatives |
|
(92 |
) |
|
— |
|
|
(92 |
) |
Liquefaction Supply Derivatives |
|
796 |
|
|
(18 |
) |
|
778 |
|
Liquefaction Supply Derivatives |
|
(104 |
) |
|
4 |
|
|
(100 |
) |
LNG Trading Derivatives |
|
225 |
|
|
— |
|
|
225 |
|
LNG Trading Derivatives |
|
(47 |
) |
|
7 |
|
|
(40 |
) |
FX Derivatives |
|
27 |
|
|
(3 |
) |
|
24 |
|
FX Derivatives |
|
(1 |
) |
|
— |
|
|
(1 |
) |
As of December 31, 2019 |
|
|
|
|
|
|
|
CCH Interest Rate Derivatives |
|
$ |
(81 |
) |
|
$ |
— |
|
|
$ |
(81 |
) |
CCH Interest Rate Forward Start Derivatives |
|
(8 |
) |
|
— |
|
|
(8 |
) |
Liquefaction Supply Derivatives |
|
281 |
|
|
(14 |
) |
|
267 |
|
Liquefaction Supply Derivatives |
|
(126 |
) |
|
8 |
|
|
(118 |
) |
LNG Trading Derivatives |
|
229 |
|
|
(4 |
) |
|
225 |
|
LNG Trading Derivatives |
|
(60 |
) |
|
— |
|
|
(60 |
) |
FX Derivatives |
|
9 |
|
|
(4 |
) |
|
5 |
|
FX Derivatives |
|
(6 |
) |
|
5 |
|
|
(1 |
) |
|
| Interest Rate Derivatives [Member] |
|
| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of March 31, 2020, we had the following Interest Rate Derivatives outstanding:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional Amounts |
|
|
|
|
|
|
|
|
|
|
March 31, 2020 |
|
December 31, 2019 |
|
Effective Date |
|
Maturity Date |
|
Weighted Average Fixed Interest Rate Paid |
|
Variable Interest Rate Received |
CCH Interest Rate Derivatives |
|
$4.7 billion |
|
$4.5 billion |
|
May 20, 2015 |
|
May 31, 2022 |
|
2.30% |
|
One-month LIBOR |
CCH Interest Rate Forward Start Derivatives |
|
$750 million |
|
$750 million |
|
September 30, 2020 |
|
December 31, 2030 |
|
2.06% |
|
Three-month LIBOR |
|
| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table shows the fair value and location of the Interest Rate Derivatives on our Consolidated Balance Sheets (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2020 |
|
December 31, 2019 |
|
CCH Interest Rate Derivatives |
|
CCH Interest Rate Forward Start Derivatives |
|
Total |
|
CCH Interest Rate Derivatives |
|
CCH Interest Rate Forward Start Derivatives |
|
Total |
Consolidated Balance Sheet Location |
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities |
$ |
(92 |
) |
|
$ |
(92 |
) |
|
$ |
(184 |
) |
|
$ |
(32 |
) |
|
$ |
(8 |
) |
|
$ |
(40 |
) |
Non-current derivative liabilities |
(105 |
) |
|
— |
|
|
(105 |
) |
|
(49 |
) |
|
— |
|
|
(49 |
) |
Total derivative liabilities |
$ |
(197 |
) |
|
$ |
(92 |
) |
|
$ |
(289 |
) |
|
$ |
(81 |
) |
|
$ |
(8 |
) |
|
$ |
(89 |
) |
|
| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value and settlements of our Interest Rate Derivatives recorded in interest rate derivative loss, net on our Consolidated Statements of Operations during the three months ended March 31, 2020 and 2019 (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
|
2020 |
|
2019 |
CCH Interest Rate Derivatives loss |
|
$ |
(123 |
) |
|
$ |
(35 |
) |
CCH Interest Rate Forward Start Derivatives loss |
|
(85 |
) |
|
— |
|
|
| Commodity 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 and LNG Trading Derivatives (collectively, “Commodity Derivatives”) on our Consolidated Balance Sheets (in millions, except notional amount):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
March 31, 2020 |
|
December 31, 2019 |
|
Liquefaction Supply Derivatives (1) |
|
LNG Trading Derivatives (2) |
|
Total |
|
Liquefaction Supply Derivatives (1) |
|
LNG Trading Derivatives (2) |
|
Total |
Consolidated Balance Sheet Location |
|
|
|
|
|
|
|
|
|
|
|
Derivative assets |
$ |
113 |
|
|
$ |
190 |
|
|
$ |
303 |
|
|
$ |
93 |
|
|
$ |
225 |
|
|
$ |
318 |
|
Non-current derivative assets |
665 |
|
|
35 |
|
|
700 |
|
|
174 |
|
|
— |
|
|
174 |
|
Total derivative assets |
778 |
|
|
225 |
|
|
1,003 |
|
|
267 |
|
|
225 |
|
|
492 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative liabilities |
(19 |
) |
|
(40 |
) |
|
(59 |
) |
|
(16 |
) |
|
(60 |
) |
|
(76 |
) |
Non-current derivative liabilities |
(81 |
) |
|
— |
|
|
(81 |
) |
|
(102 |
) |
|
— |
|
|
(102 |
) |
Total derivative liabilities |
(100 |
) |
|
(40 |
) |
|
(140 |
) |
|
(118 |
) |
|
(60 |
) |
|
(178 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
Derivative asset, net |
$ |
678 |
|
|
$ |
185 |
|
|
$ |
863 |
|
|
$ |
149 |
|
|
$ |
165 |
|
|
$ |
314 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Notional amount, net (in TBtu) (3) |
10,988 |
|
|
22 |
|
|
|
|
9,177 |
|
|
4 |
|
|
|
|
|
(1) |
Does not include collateral posted with counterparties by us of $11 million and $7 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019, respectively. Includes derivative assets of $4 million and $3 million as of March 31, 2020 and December 31, 2019, respectively, and non-current assets of $2 million as of both March 31, 2020 and December 31, 2019 for natural gas supply contracts that SPL and CCL have with related parties.
|
|
|
(2) |
Does not include collateral posted with counterparties by us of $11 million and $5 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of March 31, 2020 and December 31, 2019, respectively.
|
(3)
Includes 198 TBtu and 120 TBtu as of March 31, 2020 and December 31, 2019, respectively, for natural gas supply contracts that SPL and CCL have with related parties.
|
| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value, settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three months ended March 31, 2020 and 2019 (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
Consolidated Statements of Operations Location (1) |
|
Three Months Ended March 31, |
|
|
2020 |
|
2019 |
LNG Trading Derivatives gain |
LNG revenues |
|
$ |
140 |
|
|
$ |
64 |
|
LNG Trading Derivatives loss |
Cost of sales |
|
(34 |
) |
|
— |
|
Liquefaction Supply Derivatives gain (loss) (2) |
LNG revenues |
|
(1 |
) |
|
2 |
|
Liquefaction Supply Derivatives gain (2)(3) |
Cost of sales |
|
537 |
|
|
82 |
|
|
|
(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. |
(3)
CCL recorded $23 million and $10 million in cost of sales under a natural gas supply contract with a related party during the three months ended March 31, 2020 and 2019, respectively, including $1 million of Liquefaction Supply Derivatives gain and $2 million of Liquefaction Supply Derivatives loss, respectively. As of March 31, 2020 and December 31, 2019, $7 million and $3 million, respectively, were included in accrued liabilities related to this contract.
|
| FX 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 FX Derivatives on our Consolidated Balance Sheets (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fair Value Measurements as of |
|
Consolidated Balance Sheet Location |
|
March 31, 2020 |
|
December 31, 2019 |
FX Derivatives |
Derivative assets |
|
$ |
19 |
|
|
$ |
5 |
|
FX Derivatives |
Non-current derivative assets |
|
5 |
|
|
— |
|
FX Derivatives |
Derivative liabilities |
|
(1 |
) |
|
(1 |
) |
|
| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value, settlements and location of our FX Derivatives recorded on our Consolidated Statements of Operations during the three months ended March 31, 2020 and 2019 (in millions):
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended March 31, |
|
Consolidated Statements of Operations Location |
|
2020 |
|
2019 |
FX Derivatives gain |
LNG revenues |
|
$ |
25 |
|
|
$ |
9 |
|
|