Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.20.2
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 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 September 30, 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
September 30, 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 $ —  $ (165) $ —  $ (165) $ —  $ (81) $ —  $ (81)
CCH Interest Rate Forward Start Derivatives liability —  —  —  —  —  (8) —  (8)
Liquefaction Supply Derivatives asset (liability) (7) (5) 533  521  5  6  138  149 
LNG Trading Derivatives asset 12  80  —  92  —  165  —  165 
FX Derivatives asset —  2  —  2  —  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 September 30, 2020:
Net Fair Value Asset
(in millions)		 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Physical Liquefaction Supply Derivatives $533 Market approach incorporating present value techniques Henry Hub basis spread
$(0.557) - $0.055 / $(0.030)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
56% - 173% / 137%
(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 and nine months ended September 30, 2020 and 2019 (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
2020 2019 2020 2019
Balance, beginning of period $ 590  $ 89  $ 138  $ (29)
Realized and mark-to-market gains (losses):
Included in cost of sales (27) (137) 454  (139)
Purchases and settlements:
Purchases 1  17  2  93 
Settlements (31) —  (61) 44 
Balance, end of period $ 533  $ (31) $ 533  $ (31)
Change in unrealized gains (losses) relating to instruments still held at end of period $ (27) $ (137) $ 454  $ (139)
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 September 30, 2020
CCH Interest Rate Derivatives $ (165) $ —  $ (165)
Liquefaction Supply Derivatives 687  (7) 680 
Liquefaction Supply Derivatives (177) 18  (159)
LNG Trading Derivatives 111  (12) 99 
LNG Trading Derivatives (14) 7  (7)
FX Derivatives 17  (9) 8 
FX Derivatives (21) 15  (6)
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 September 30, 2020, we had the following Interest Rate Derivatives outstanding:
Notional Amounts
September 30, 2020 December 31, 2019 Maturity Date Weighted Average Fixed Interest Rate Paid Variable Interest Rate Received
CCH Interest Rate Derivatives $4.7 billion $4.5 billion May 31, 2022 2.30% One-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):
September 30, 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 Sheets Location
Derivative liabilities $ (99) $ —  $ (99) $ (32) $ (8) $ (40)
Non-current derivative liabilities (66) —  (66) (49) —  (49)
Total derivative liabilities $ (165) $ —  $ (165) $ (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 and nine months ended September 30, 2020 and 2019 (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
2020 2019 2020 2019
CCH Interest Rate Derivatives loss $ —  $ (17) $ (138) $ (119)
CCH Interest Rate Forward Start Derivatives loss —  (61) (95) (68)
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):
September 30, 2020 December 31, 2019
Liquefaction Supply Derivatives (1) LNG Trading Derivatives (2) Total Liquefaction Supply Derivatives (1) LNG Trading Derivatives (2) Total
Consolidated Balance Sheets Location
Derivative assets $ 96  $ 91  $ 187  $ 93  $ 225  $ 318 
Non-current derivative assets 584  8  592  174  —  174 
Total derivative assets 680  99  779  267  225  492 
Derivative liabilities (53) (7) (60) (16) (60) (76)
Non-current derivative liabilities (106) —  (106) (102) —  (102)
Total derivative liabilities (159) (7) (166) (118) (60) (178)
Derivative asset, net $ 521  $ 92  $ 613  $ 149  $ 165  $ 314 
Notional amount, net (in TBtu) (3) 8,818  4  9,177  4 
(1)    Does not include collateral posted with counterparties by us of $20 million and $7 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2020 and December 31, 2019, respectively. Includes derivative assets for natural gas supply contracts that SPL and CCL have with related parties. See Note 13—Related Party Transactions.
(2)    Does not include collateral posted with counterparties by us of zero and $5 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2020 and December 31, 2019, respectively.
(3)    Includes notional amounts for natural gas supply contracts that SPL and CCL have with related parties. See Note 13—Related Party Transactions.
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 and nine months ended September 30, 2020 and 2019 (in millions):
Consolidated Statements of Operations Location (1) Three Months Ended September 30, Nine Months Ended September 30,
2020 2019 2020 2019
LNG Trading Derivatives gain LNG revenues $ 13  $ 22  $ 119  $ 180 
LNG Trading Derivatives loss Cost of sales (5) (17) (5) (68)
Liquefaction Supply Derivatives gain (2) LNG revenues 21  —  7  1 
Liquefaction Supply Derivatives gain (loss) (2) Cost of sales (103) (139) 372  — 
(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 shows the fair value and location of our FX Derivatives on our Consolidated Balance Sheets (in millions):
Fair Value Measurements as of
Consolidated Balance Sheets Location September 30, 2020 December 31, 2019
FX Derivatives Derivative assets $ 8  $ 5 
FX Derivatives Derivative liabilities (5) (1)
FX Derivatives Non-current derivative liabilities (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 and nine months ended September 30, 2020 and 2019 (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
Consolidated Statements of Operations Location 2020 2019 2020 2019
FX Derivatives gain (loss) LNG revenues $ (5) $ 43  $ 22  $ 52