Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.20.4
Derivative Instruments (Tables)
 12 Months Ended
Dec. 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 December 31, 2020 and 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
December 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 $ —  $ (140) $ —  $ (140) $ —  $ (81) $ —  $ (81)
CCH Interest Rate Forward Start Derivatives liability —  —  —  —  —  (8) —  (8)
Liquefaction Supply Derivatives asset (liability) 5  (6) 241  240  5  6  138  149 
LNG Trading Derivatives asset (liability) (3) (131) —  (134) —  165  —  165 
FX Derivatives asset (liability) —  (22) —  (22) —  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 December 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 $241 Market approach incorporating present value techniques Henry Hub basis spread
$(0.532) - $0.092 / $(0.030)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
117% - 480% / 155%
(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 years ended December 31, 2020, 2019 and 2018 (in millions):
Year Ended December 31,
2020 2019 2018
Balance, beginning of period $ 138  $ (29) $ 43 
Realized and mark-to-market gains (losses):
Included in cost of sales 156  (77) (13)
Purchases and settlements:
Purchases 5  199  (31)
Settlements (65) 44  (29)
Transfers into Level 3, net (1) 7  1  1 
Balance, end of period $ 241  $ 138  $ (29)
Change in unrealized gain (loss) relating to instruments still held at end of period $ 156  $ (77) $ (13)
(1)Transferred into Level 3 as a result of unobservable market for the underlying natural gas purchase agreements.
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of our derivative instruments on our Consolidated Balance Sheets (in millions):
December 31, 2020
CCH Interest Rate Derivatives
CCH Interest Rate Forward Start Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Derivative assets $ —  $ —  $ 27  $ —  $ 5  $ 32 
Non-current derivative assets —  —  376  —  —  376 
Total derivative assets —  —  403  —  5  408 
Derivative liabilities (100) —  (54) (134) (25) (313)
Non-current derivative liabilities (40) —  (109) —  (2) (151)
Total derivative liabilities (140) —  (163) (134) (27) (464)
Derivative asset (liability), net $ (140) $ —  $ 240  $ (134) $ (22) $ (56)
December 31, 2019
CCH Interest Rate Derivatives
CCH Interest Rate Forward Start Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Derivative assets $ —  $ —  $ 93  $ 225  $ 5  $ 323 
Non-current derivative assets —  —  174  —  —  174 
Total derivative assets —  —  267  225  5  497 
Derivative liabilities (32) (8) (16) (60) (1) (117)
Non-current derivative liabilities (49) —  (102) —  —  (151)
Total derivative liabilities (81) (8) (118) (60) (1) (268)
Derivative asset (liability), net $ (81) $ (8) $ 149  $ 165  $ 4  $ 229 
(1)    Does not include collateral posted with counterparties by us of $9 million and $7 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively. Includes derivative assets for natural gas supply contracts that SPL and CCL have with related parties. See Note 14—Related Party Transactions.
(2)    Does not include collateral posted with counterparties by us of $7 million and $5 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2020 and 2019, respectively.
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):
CCH Interest Rate Derivatives
 CCH Interest Rate Forward Start Derivatives
Liquefaction Supply Derivatives
LNG Trading Derivatives
FX Derivatives
As of December 31, 2020
Gross assets $ —  $ —  $ 452  $ —  $ 6 
Offsetting amounts —  —  (49) —  (1)
Net assets $ —  $ —  $ 403  $ —  $ 5 
Gross liabilities $ (140) $ —  $ (184) $ (163) $ (62)
Offsetting amounts —  —  21  29  35 
Net liabilities $ (140) $ —  $ (163) $ (134) $ (27)
As of December 31, 2019
Gross assets $ —  $ —  $ 281  $ 229  $ 9 
Offsetting amounts —  —  (14) (4) (4)
Net assets $ —  $ —  $ 267  $ 225  $ 5 
Gross liabilities $ (81) $ (8) $ (126) $ (60) $ (6)
Offsetting amounts —  —  8  —  5 
Net liabilities $ (81) $ (8) $ (118) $ (60) $ (1)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of December 31, 2020, we had the following Interest Rate Derivatives outstanding:
Notional Amounts
December 31, 2020 December 31, 2019 Maturity Date Weighted Average Fixed Interest Rate Paid Variable Interest Rate Received
CCH Interest Rate Derivatives $4.6 billion $4.5 billion May 31, 2022 2.30% One-month LIBOR
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 gain (loss), net on our Consolidated Statements of Operations during the years ended December 31, 2020, 2019 and 2018 (in millions):
Year Ended December 31,
2020 2019 2018
CCH Interest Rate Derivatives gain (loss) $ (138) $ (101) $ 43 
CCH Interest Rate Forward Start Derivatives loss (95) (33) — 
CQP Interest Rate Derivatives gain —  —  14 
Commodity Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
The following table shows the notional amounts of our Liquefaction Supply Derivatives and LNG Trading Derivatives (collectively, “Commodity Derivatives”):
December 31, 2020 December 31, 2019
Liquefaction Supply Derivatives LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) (1) 10,483  20  9,177  4 
(1)    Includes notional amounts for natural gas supply contracts that SPL and CCL have with related parties. See Note 14—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 years ended December 31, 2020, 2019 and 2018 (in millions):
Consolidated Statements of Operations Location (1) Year Ended December 31,
2020 2019 2018
LNG Trading Derivatives gain (loss) LNG revenues $ (26) $ 402  $ (25)
LNG Trading Derivatives loss Cost of sales (42) (89) — 
Liquefaction Supply Derivatives gain (loss) (2) LNG revenues (1) 2  (1)
Liquefaction Supply Derivatives gain (loss) (2) Cost of sales 94  194  (100)
(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]  
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 years ended December 31, 2020, 2019 and 2018 (in millions):
Year Ended December 31,
Consolidated Statements of Operations Location 2020 2019 2018
FX Derivatives gain (loss) LNG revenues $ (3) $ 25  $ 18