Annual report pursuant to Section 13 and 15(d)

Derivative Instruments (Tables)

v3.22.0.1
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 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 December 31, 2021 and 2020 (in millions):
Fair Value Measurements as of
December 31, 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 $ —  $ (40) $ —  $ (40) $ —  $ (140) $ —  $ (140)
Liquefaction Supply Derivatives asset (liability) 7  (9) (4,036) (4,038) 5  (6) 241  240 
LNG Trading Derivatives liability (22) (378) —  (400) (3) (131) —  (134)
FX Derivatives asset (liability) —  12  —  12  —  (22) —  (22)
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, 2021:
Net Fair Value Liability
(in millions)		 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Physical Liquefaction Supply Derivatives $(4,036) Market approach incorporating present value techniques Henry Hub basis spread
$(1.368) - $0.628 / $(0.016)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
185% - 662% / 248%
(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 years ended December 31, 2021, 2020 and 2019 (in millions):
Year Ended December 31,
2021 2020 2019
Balance, beginning of period $ 241  $ 138  $ (29)
Realized and mark-to-market gains (losses):
Included in cost of sales (4,305) 156  (77)
Purchases and settlements:
Purchases (1) 5  199 
Settlements 29  (65) 44 
Transfers into Level 3, net (1) —  7  1 
Balance, end of period $ (4,036) $ 241  $ 138 
Change in unrealized gain (loss) relating to instruments still held at end of period $ (4,305) $ 156  $ (77)
(1)Transferred into Level 3 as a result of unobservable market, or out of Level 3 as a result of observable 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, 2021
CCH Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 38  $ 2  $ 15  $ 55 
Derivative assets —  69  —  —  69 
Total derivative assets —  107  2  15  124 
Current derivative liabilities (40) (644) (402) (3) (1,089)
Derivative liabilities —  (3,501) —  —  (3,501)
Total derivative liabilities (40) (4,145) (402) (3) (4,590)
Derivative asset (liability), net $ (40) $ (4,038) $ (400) $ 12  $ (4,466)
December 31, 2020
CCH Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 27  $ —  $ 5  $ 32 
Derivative assets —  376  —  —  376 
Total derivative assets —  403  —  5  408 
Current derivative liabilities (100) (54) (134) (25) (313)
Derivative liabilities (40) (109) —  (2) (151)
Total derivative liabilities (140) (163) (134) (27) (464)
Derivative asset (liability), net $ (140) $ 240  $ (134) $ (22) $ (56)
(1)Does not include collateral posted with counterparties by us of $20 million and $9 million as of December 31, 2021 and 2020, respectively, which are included in margin deposits in our Consolidated Balance Sheets. Includes derivative assets for natural gas supply contracts that SPL and CCL had with related parties as of December 31, 2020. These agreements are not considered related party as of December 31, 2021 as discussed in Note 14—Related Party Transactions.
(2)Does not include collateral posted with counterparties by us of $745 million and $16 million, as of December 31, 2021 and 2020, respectively, which are included in margin deposits in our Consolidated Balance Sheets.
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
Liquefaction Supply Derivatives
LNG Trading Derivatives
FX Derivatives
As of December 31, 2021
Gross assets $ —  $ 155  $ 10  $ 48 
Offsetting amounts —  (48) (8) (33)
Net assets $ —  $ 107  $ 2  $ 15 
Gross liabilities $ (40) $ (4,382) $ (551) $ (10)
Offsetting amounts —  237  149  7 
Net liabilities $ (40) $ (4,145) $ (402) $ (3)
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)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of December 31, 2021, we had the following Interest Rate Derivatives outstanding:
Notional Amounts
December 31, 2021 December 31, 2020 Latest Maturity Date Weighted Average Fixed Interest Rate Paid Variable Interest Rate Received
CCH Interest Rate Derivatives $4.5 billion $4.6 billion May 31, 2022 2.30% One-month LIBOR
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 years ended December 31, 2021, 2020 and 2019 (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Year Ended December 31,
2021 2020 2019
CCH Interest Rate Derivatives Interest rate derivative loss, net $ (1) $ (138) $ (101)
CCH Interest Rate Forward Start Derivatives Interest rate derivative loss, net —  (95) (33)
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, 2021 December 31, 2020
Liquefaction Supply Derivatives LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) (1) 11,238  33  10,483  20 
(1)The balances as of December 31, 2020 include notional amounts for natural gas supply contracts that SPL and CCL have with related parties. These agreements are not considered related party as of December 31, 2021 as discussed in Note 14—Related Party Transactions.
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 years ended December 31, 2021, 2020 and 2019 (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location (1) Year Ended December 31,
2021 2020 2019
LNG Trading Derivatives LNG revenues $ (1,812) $ (26) $ 402 
LNG Trading Derivatives Cost of sales 91  (42) (89)
Liquefaction Supply Derivatives (2) LNG revenues 3  (1) 2 
Liquefaction Supply Derivatives (2) Cost of sales (4,303) 94  194 
(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 years ended December 31, 2021, 2020 and 2019 (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Year Ended December 31,
2021 2020 2019
FX Derivatives LNG revenues $ 33  $ (3) $ 25