Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.23.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2023
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 (in millions):
Fair Value Measurements as of
March 31, 2023 December 31, 2022
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
Liquefaction Supply Derivatives asset (liability) $ 34  $ 42  $ (5,426) $ (5,350) $ (66) $ (29) $ (9,924) $ (10,019)
LNG Trading Derivatives asset (liability) (16) (49) —  (65) 1  (47) —  (46)
FX Derivatives liability —  (6) —  (6) —  (28) —  (28)
Fair Value Measurement Inputs and Valuation Techniques The following table includes quantitative information for the unobservable inputs for our Level 3 Liquefaction Supply Derivatives as of March 31, 2023:
Net Fair Value Liability
(in millions)		 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Liquefaction Supply Derivatives $(5,426) Market approach incorporating present value techniques Henry Hub basis spread
$(1.173) - $0.370 / $(0.085)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
86% - 574% / 178%
(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 Liquefaction Supply Derivatives and LNG Trading Derivatives (in millions):
Three Months Ended March 31,
2023
2022
Balance, beginning of period $ (9,924) $ (4,036)
Realized and change in fair value gains (losses) included in net income (1):
Included in cost of sales, existing deals (2) 4,097  (3,540)
Included in cost of sales, new deals (3) 3  — 
Purchases and settlements:
Purchases (4) —  (3)
Settlements (5) 398  156 
Balance, end of period $ (5,426) $ (7,423)
Favorable (unfavorable) changes in fair value relating to instruments still held at the end of the period
 $ 4,100  $ (3,540)
(1)Does not include the realized value associated with derivative instruments that settle through physical delivery, as settlement is equal to contractually fixed price from trade date multiplied by contractual volume.  See settlements line item in this table.
(2)Impact to earnings on deals that existed at the beginning of the period and continue to exist at the end of the period.
(3)Impact to earnings on deals that were entered into during the reporting period and continue to exist at the end of the period.
(4)Includes any day one gain (loss) recognized during the reporting period on deals that were entered into during the reporting period which continue to exist at the end of the period, in addition to any derivative contracts acquired from entities at a value other than zero on acquisition date, such as derivatives assigned or novated during the reporting period and continuing to exist at the end of the period.
(5)Roll-off in the current period of amounts recognized in our Consolidated Balance Sheets at the end of the previous period due to settlement of the underlying instruments in the current period.
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):
March 31, 2023
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 75  $ 3  $ —  $ 78 
Derivative assets 200  —  —  200 
Total derivative assets 275  3  —  278 
Current derivative liabilities (1,218) (68) (6) (1,292)
Derivative liabilities (4,407) —  —  (4,407)
Total derivative liabilities (5,625) (68) (6) (5,699)
Derivative liability, net $ (5,350) $ (65) $ (6) $ (5,421)
December 31, 2022
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 36  $ 84  $ —  $ 120 
Derivative assets 35  —  —  35 
Total derivative assets 71  84  —  155 
Current derivative liabilities (2,143) (130) (28) (2,301)
Derivative liabilities (7,947) —  —  (7,947)
Total derivative liabilities (10,090) (130) (28) (10,248)
Derivative liability, net $ (10,019) $ (46) $ (28) $ (10,093)
(1)Does not include collateral posted with counterparties by us of $14 million and $111 million as of March 31, 2023 and December 31, 2022, respectively, which are included in margin deposits in our Consolidated Balance Sheets and collateral posted by counterparties to us of $8 million and zero as of March 31, 2023 and December 31, 2022, respectively, which are included in other current liabilities on our Consolidated Balance Sheets.
(2)Does not include collateral posted with counterparties by us of $49 million and $23 million, as of March 31, 2023 and December 31, 2022, 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) for our derivative instruments that are presented on a net basis on our Consolidated Balance Sheets:
Liquefaction Supply Derivatives
LNG Trading Derivatives
FX Derivatives
As of March 31, 2023
Gross assets $ 370  $ 3  $ — 
Offsetting amounts (95) —  — 
Net assets $ 275  $ 3  $ — 
Gross liabilities $ (5,845) $ (73) $ (6)
Offsetting amounts 220  5  — 
Net liabilities $ (5,625) $ (68) $ (6)
As of December 31, 2022
Gross assets $ 76  $ 87  $ — 
Offsetting amounts (5) (3) — 
Net assets $ 71  $ 84  $ — 
Gross liabilities $ (10,436) $ (132) $ (29)
Offsetting amounts 346  2  1 
Net liabilities $ (10,090) $ (130) $ (28)
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”):
March 31, 2023 December 31, 2022
Liquefaction Supply Derivatives (1) LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) 14,359  59  14,504  50 
(1)Excludes notional amounts associated with extension options that were uncertain to be taken as of March 31, 2023.
Derivative Instruments, Gain (Loss)
The following table shows the effect and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location (1) Three Months Ended March 31,
2023 2022
LNG Trading Derivatives LNG revenues $ 61  $ (247)
LNG Trading Derivatives Recovery (cost) of sales (84) 90 
Liquefaction Supply Derivatives (2) LNG revenues (5) (5)
Liquefaction Supply Derivatives (2) Recovery (cost) of sales 4,671  (3,461)
(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 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 (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Three Months Ended March 31,
2023 2022
FX Derivatives LNG revenues $ (2) $ 28