Derivative Instruments (Tables)
|
9 Months Ended |
Sep. 30, 2021 |
|---|
| 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, 2021 and December 31, 2020 (in millions):
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Fair Value Measurements as of |
|
September 30, 2021 |
|
December 31, 2020 |
|
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 |
$ |
— |
|
|
$ |
(67) |
|
|
$ |
— |
|
|
$ |
(67) |
|
|
$ |
— |
|
|
$ |
(140) |
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|
$ |
— |
|
|
$ |
(140) |
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| Liquefaction Supply Derivatives asset (liability) |
(21) |
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|
3 |
|
|
(2,611) |
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|
(2,629) |
|
|
5 |
|
|
(6) |
|
|
241 |
|
|
240 |
|
| LNG Trading Derivatives asset (liability) |
11 |
|
|
(444) |
|
|
(680) |
|
|
(1,113) |
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|
(3) |
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|
(131) |
|
|
— |
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|
(134) |
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| FX Derivatives asset (liability) |
— |
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|
9 |
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— |
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|
9 |
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— |
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(22) |
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— |
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(22) |
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| 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 and Physical LNG Trading Derivatives as of September 30, 2021:
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Net Fair Value Liability
(in millions) |
|
Valuation Approach |
|
Significant Unobservable Input |
|
Range of Significant Unobservable Inputs / Weighted Average (1) |
| Physical Liquefaction Supply Derivatives |
|
$(2,611) |
|
Market approach incorporating present value techniques |
|
Henry Hub basis spread |
|
$(1.333) - $0.895 / $(0.006) |
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|
Option pricing model |
|
International LNG pricing spread, relative to Henry Hub (2) |
|
158% - 516% / 224% |
| Physical LNG Trading Derivatives |
|
$(680) |
|
Market approach incorporating present value techniques |
|
International LNG pricing spread, relative to Henry Hub or TTF, as applicable (2) |
|
$(11.275) - $23.458 / $17.777 |
(1)Unobservable inputs were weighted by the relative fair value of the instruments.
(2)Spread contemplates U.S. dollar-denominated pricing.
|
| Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table shows the changes in the fair value of our Level 3 Physical LNG Trading Derivatives and Physical Liquefaction Supply Derivatives during the three and nine months ended September 30, 2021 and 2020 (in millions):
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Three Months Ended September 30, |
|
Nine Months Ended September 30, |
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|
2021 |
|
2020 |
|
2021 |
|
2020 |
|
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| Balance, beginning of period |
|
$ |
(389) |
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|
$ |
590 |
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|
$ |
241 |
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$ |
138 |
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| Realized and mark-to-market gains (losses): |
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| Included in cost of sales |
|
(2,982) |
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|
(27) |
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|
(2,898) |
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|
454 |
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| Purchases and settlements: |
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| Purchases |
|
5 |
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|
1 |
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|
(657) |
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2 |
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| Settlements |
|
75 |
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|
(31) |
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23 |
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|
(61) |
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| Balance, end of period |
|
$ |
(3,291) |
|
|
$ |
533 |
|
|
$ |
(3,291) |
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|
$ |
533 |
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| Change in unrealized gains (losses) relating to instruments still held at end of period |
|
$ |
(2,982) |
|
|
$ |
(27) |
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$ |
(2,898) |
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$ |
454 |
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| 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):
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|
September 30, 2021 |
|
CCH Interest Rate Derivatives |
|
|
|
Liquefaction Supply Derivatives (1) |
|
LNG Trading Derivatives (2) |
|
FX Derivatives |
|
Total |
| Consolidated Balance Sheets Location |
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| Current derivative assets |
$ |
— |
|
|
|
|
$ |
88 |
|
|
$ |
163 |
|
|
$ |
15 |
|
|
$ |
266 |
|
| Derivative assets |
— |
|
|
|
|
71 |
|
|
— |
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|
— |
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|
71 |
|
| Total derivative assets |
— |
|
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|
159 |
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|
163 |
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|
15 |
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|
337 |
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| Current derivative liabilities |
(67) |
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|
(630) |
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(1,276) |
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(6) |
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|
(1,979) |
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| Derivative liabilities |
— |
|
|
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|
(2,158) |
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|
— |
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|
— |
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|
(2,158) |
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| Total derivative liabilities |
(67) |
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|
(2,788) |
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|
(1,276) |
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(6) |
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|
(4,137) |
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| Derivative asset (liability), net |
$ |
(67) |
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|
$ |
(2,629) |
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$ |
(1,113) |
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$ |
9 |
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$ |
(3,800) |
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|
December 31, 2020 |
|
CCH Interest Rate Derivatives |
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Liquefaction Supply Derivatives (1) |
|
LNG Trading Derivatives (2) |
|
FX Derivatives |
|
Total |
| Consolidated Balance Sheets Location |
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| Current derivative assets |
$ |
— |
|
|
|
|
$ |
27 |
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|
$ |
— |
|
|
$ |
5 |
|
|
$ |
32 |
|
| Derivative assets |
— |
|
|
|
|
376 |
|
|
— |
|
|
— |
|
|
376 |
|
| Total derivative assets |
— |
|
|
|
|
403 |
|
|
— |
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|
5 |
|
|
408 |
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| Current derivative liabilities |
(100) |
|
|
|
|
(54) |
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|
(134) |
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|
(25) |
|
|
(313) |
|
| Derivative liabilities |
(40) |
|
|
|
|
(109) |
|
|
— |
|
|
(2) |
|
|
(151) |
|
| Total derivative liabilities |
(140) |
|
|
|
|
(163) |
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|
(134) |
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|
(27) |
|
|
(464) |
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| Derivative asset (liability), net |
$ |
(140) |
|
|
|
|
$ |
240 |
|
|
$ |
(134) |
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|
$ |
(22) |
|
|
$ |
(56) |
|
(1)Does not include collateral posted with counterparties by us of $47 million and $9 million, which are included in margin deposits and other current assets in our Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020, respectively. Includes derivative assets for natural gas supply contracts that SPL and CCL have with related parties. See Note 12—Related Party Transactions.
(2)Does not include collateral posted with counterparties by us of $287 million and $7 million, which are included in margin deposits and other current assets in our Consolidated Balance Sheets as of September 30, 2021 and December 31, 2020, respectively.
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| 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):
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CCH Interest Rate Derivatives |
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Liquefaction Supply Derivatives |
|
LNG Trading Derivatives |
|
FX Derivatives |
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| As of September 30, 2021 |
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| Gross assets |
|
$ |
— |
|
|
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|
$ |
179 |
|
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$ |
174 |
|
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$ |
30 |
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| Offsetting amounts |
|
— |
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|
(20) |
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|
(11) |
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|
(15) |
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| Net assets |
|
$ |
— |
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|
$ |
159 |
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$ |
163 |
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|
$ |
15 |
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| Gross liabilities |
|
$ |
(67) |
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|
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|
$ |
(2,816) |
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|
$ |
(1,427) |
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|
$ |
(34) |
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| Offsetting amounts |
|
— |
|
|
|
|
28 |
|
|
151 |
|
|
28 |
|
| Net liabilities |
|
$ |
(67) |
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|
|
|
$ |
(2,788) |
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|
$ |
(1,276) |
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|
$ |
(6) |
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| As of December 31, 2020 |
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| Gross assets |
|
$ |
— |
|
|
|
|
$ |
452 |
|
|
$ |
— |
|
|
$ |
6 |
|
| Offsetting amounts |
|
— |
|
|
|
|
(49) |
|
|
— |
|
|
(1) |
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| Net assets |
|
$ |
— |
|
|
|
|
$ |
403 |
|
|
$ |
— |
|
|
$ |
5 |
|
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|
|
|
|
|
|
|
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|
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| Gross liabilities |
|
$ |
(140) |
|
|
|
|
$ |
(184) |
|
|
$ |
(163) |
|
|
$ |
(62) |
|
| Offsetting amounts |
|
— |
|
|
|
|
21 |
|
|
29 |
|
|
35 |
|
| Net liabilities |
|
$ |
(140) |
|
|
|
|
$ |
(163) |
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|
$ |
(134) |
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|
$ |
(27) |
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| Interest Rate Derivatives [Member] |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
|
| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of September 30, 2021, we had the following Interest Rate Derivatives outstanding:
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Notional Amounts |
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|
September 30, 2021 |
|
December 31, 2020 |
|
Latest Maturity Date |
|
Weighted Average Fixed Interest Rate Paid |
|
Variable Interest Rate Received |
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| CCH Interest Rate Derivatives |
|
$4.5 billion |
|
$4.6 billion |
|
May 31, 2022 |
|
2.30% |
|
One-month LIBOR |
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| Derivative Instruments, Gain (Loss) |
The following table shows the effect and location of our Interest Rate Derivatives on our Consolidated Statements of Operations during the three and nine months ended September 30, 2021 and 2020 (in millions):
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Gain (Loss) Recognized in Consolidated Statements of Operations |
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Consolidated Statements of Operations Location |
|
Three Months Ended September 30, |
|
Nine Months Ended September 30, |
|
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|
2021 |
|
2020 |
|
2021 |
|
2020 |
|
|
| CCH Interest Rate Derivatives |
|
Interest rate derivative loss, net |
|
$ |
(2) |
|
|
$ |
— |
|
|
$ |
(3) |
|
|
$ |
(138) |
|
|
|
| CCH Interest Rate Forward Start Derivatives |
|
Interest rate derivative loss, net |
|
— |
|
|
— |
|
|
— |
|
|
(95) |
|
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| 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”):
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|
|
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|
|
|
|
|
|
|
September 30, 2021 |
|
December 31, 2020 |
|
Liquefaction Supply Derivatives |
|
LNG Trading Derivatives |
|
Liquefaction Supply Derivatives |
|
LNG Trading Derivatives |
| Notional amount, net (in TBtu) (1) |
11,291 |
|
|
(14) |
|
|
10,483 |
|
|
20 |
|
|
|
|
|
|
|
|
|
|
| Derivative Instruments, Gain (Loss) |
The following table shows the effect and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2021 and 2020 (in millions):
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|
Gain (Loss) Recognized in Consolidated Statements of Operations |
|
|
|
Consolidated Statements of Operations Location (1) |
|
Three Months Ended September 30, |
|
Nine Months Ended September 30, |
|
|
2021 |
|
2020 |
|
2021 |
|
2020 |
|
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|
|
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|
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|
| LNG Trading Derivatives |
LNG revenues |
|
$ |
(1,098) |
|
|
$ |
13 |
|
|
$ |
(1,539) |
|
|
$ |
119 |
|
|
|
| LNG Trading Derivatives |
Cost of sales |
|
55 |
|
|
(5) |
|
|
136 |
|
|
(5) |
|
|
|
| Liquefaction Supply Derivatives (2) |
LNG revenues |
|
(4) |
|
|
21 |
|
|
(3) |
|
|
7 |
|
|
|
| Liquefaction Supply Derivatives (2) |
Cost of sales |
|
(2,444) |
|
|
(103) |
|
|
(2,848) |
|
|
372 |
|
|
|
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(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 effect and location of our FX Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2021 and 2020 (in millions):
|
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|
Gain (Loss) Recognized in Consolidated Statements of Operations |
|
|
|
Consolidated Statements of Operations Location |
|
Three Months Ended September 30, |
|
Nine Months Ended September 30, |
|
|
2021 |
|
2020 |
|
2021 |
|
2020 |
|
|
| FX Derivatives |
LNG revenues |
|
$ |
11 |
|
|
$ |
(5) |
|
|
$ |
27 |
|
|
$ |
22 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|