Derivative Instruments (Tables)
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12 Months Ended |
Dec. 31, 2015 |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Fair Value of Derivative Assets and Liabilities |
The following table (in thousands) shows the fair value of the derivative instruments that are required to be measured at fair value on a recurring basis as of December 31, 2015 and 2014, which are classified as other current assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets.
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Fair Value Measurements as of |
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December 31, 2015 |
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December 31, 2014 |
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Quoted Prices in Active Markets
(Level 1)
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Significant Other Observable Inputs (Level 2) |
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Significant Unobservable Inputs (Level 3) |
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Total |
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Quoted Prices in Active Markets
(Level 1)
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Significant Other Observable Inputs (Level 2) |
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Significant Unobservable Inputs (Level 3) |
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Total |
Natural Gas Derivatives asset (liability) |
$ |
— |
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$ |
(66 |
) |
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$ |
— |
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$ |
(66 |
) |
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$ |
— |
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$ |
219 |
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$ |
— |
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$ |
219 |
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Liquefaction Supply Derivatives asset (liability) |
— |
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(25 |
) |
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32,492 |
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32,467 |
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— |
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— |
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342 |
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342 |
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LNG Trading Derivatives asset |
— |
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1,053 |
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— |
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1,053 |
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— |
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— |
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— |
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— |
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SPL Interest Rate Derivatives liability |
— |
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(8,740 |
) |
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— |
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(8,740 |
) |
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— |
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(12,036 |
) |
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— |
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(12,036 |
) |
CCH Interest Rate Derivatives liability |
— |
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(104,999 |
) |
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— |
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(104,999 |
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— |
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— |
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— |
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— |
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| Fair Value Inputs, Assets, Quantitative Information |
The following table includes quantitative information for the unobservable inputs for the Level 3 Liquefaction Supply Derivatives as of December 31, 2015:
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Net Fair Value Asset (in thousands) |
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Valuation Technique |
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Significant Unobservable Input |
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Significant Unobservable Inputs Range |
Liquefaction Supply Derivatives |
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$32,492 |
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Income Approach |
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Basis Spread |
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$ (0.350) - $0.050 |
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| Derivative Net Presentation on Consolidated Balance Sheets |
The following table shows the fair value (in thousands) of our derivatives outstanding on a gross and net basis:
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of December 31, 2015 |
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Natural Gas Derivatives |
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$ |
188 |
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$ |
(254 |
) |
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$ |
(66 |
) |
Liquefaction Supply Derivatives |
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33,636 |
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(595 |
) |
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33,041 |
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Liquefaction Supply Derivatives |
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(574 |
) |
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— |
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(574 |
) |
LNG Trading Derivatives |
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1,922 |
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(699 |
) |
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1,223 |
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LNG Trading Derivatives |
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(2,826 |
) |
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2,656 |
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(170 |
) |
SPL Interest Rate Derivatives |
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(8,740 |
) |
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— |
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(8,740 |
) |
CCH Interest Rate Derivatives |
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(104,999 |
) |
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— |
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(104,999 |
) |
As of December 31, 2014 |
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Natural Gas Derivatives |
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223 |
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(4 |
) |
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219 |
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Liquefaction Supply Derivatives |
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662 |
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— |
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662 |
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Liquefaction Supply Derivatives |
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(320 |
) |
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— |
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(320 |
) |
SPL Interest Rate Derivatives |
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11,158 |
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— |
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11,158 |
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SPL Interest Rate Derivatives |
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(23,194 |
) |
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— |
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(23,194 |
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| Commodity Derivatives [Member] |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in thousands) shows the fair value and location of our Commodity Derivatives on our Consolidated Balance Sheets:
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December 31, 2015 |
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December 31, 2014 |
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Natural Gas Derivatives (1) |
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Liquefaction Supply Derivatives |
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LNG Trading Derivatives |
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Total |
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Natural Gas Derivatives (1) |
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Liquefaction Supply Derivatives |
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LNG Trading Derivatives |
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Total |
Balance Sheet Location |
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Other current assets |
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$ |
— |
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$ |
2,737 |
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$ |
640 |
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$ |
3,377 |
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$ |
219 |
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$ |
76 |
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$ |
— |
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$ |
295 |
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Non-current derivative assets |
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— |
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30,304 |
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583 |
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30,887 |
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— |
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586 |
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— |
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586 |
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Total derivative assets |
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— |
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33,041 |
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1,223 |
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34,264 |
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219 |
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662 |
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— |
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881 |
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Derivative liabilities |
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(66 |
) |
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(490 |
) |
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(107 |
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(663 |
) |
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— |
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(53 |
) |
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— |
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(53 |
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Non-current derivative liabilities |
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— |
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(84 |
) |
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(63 |
) |
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(147 |
) |
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— |
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(267 |
) |
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— |
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(267 |
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Total derivative liabilities |
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(66 |
) |
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(574 |
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(170 |
) |
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(810 |
) |
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— |
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(320 |
) |
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— |
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(320 |
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Derivative asset (liability), net |
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$ |
(66 |
) |
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$ |
32,467 |
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$ |
1,053 |
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$ |
33,454 |
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$ |
219 |
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$ |
342 |
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$ |
— |
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$ |
561 |
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(1) |
Does not include collateral of $5.5 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheets as of both December 31, 2015 and 2014.
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the years ended December 31, 2015, 2014 and 2013:
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Year Ended December 31, |
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Statement of Operations Location |
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2015 |
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2014 |
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2013 |
Natural Gas Derivatives loss |
Marketing and trading revenues (losses) |
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$ |
(407 |
) |
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$ |
(1,298 |
) |
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$ |
(350 |
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Natural Gas Derivatives gain |
Operating and maintenance expense |
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2,065 |
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1,389 |
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658 |
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Liquefaction Supply Derivatives gain (1) |
Operating and maintenance expense |
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32,503 |
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342 |
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— |
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LNG Trading Derivatives gain |
Marketing and trading revenues (losses) |
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1,053 |
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— |
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— |
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(1) Does not include the realized value associated with derivative instruments that settle through physical delivery.
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| Interest Rate Derivatives [Member] |
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| Derivative Instruments and Hedging Activities Disclosures [Line Items] |
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| Schedule of Notional Amounts of Outstanding Derivative Positions |
As of December 31, 2015, we had the following Interest Rate Derivatives outstanding:
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Initial Notional Amount |
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Maximum Notional Amount |
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Effective Date |
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Maturity Date |
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Weighted Average Fixed Interest Rate Paid |
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Variable Interest Rate Received |
SPL Interest Rate Derivatives |
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$20.0 million |
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$628.8 million |
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August 14, 2012 |
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July 31, 2019 |
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1.98% |
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One-month LIBOR |
CCH Interest Rate Derivatives |
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$28.8 million |
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$5.5 billion |
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May 20, 2015 |
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May 31, 2022 |
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2.29% |
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One-month LIBOR |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in thousands) shows the fair value and location of the Interest Rate Derivatives on our Consolidated Balance Sheets:
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December 31, 2015 |
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December 31, 2014 |
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SPL Interest Rate Derivatives |
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CCH Interest Rate Derivatives |
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Total |
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SPL Interest Rate Derivatives |
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CCH Interest Rate Derivatives |
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Total |
Balance Sheet Location |
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Other current assets |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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Non-current derivative assets |
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— |
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— |
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— |
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11,158 |
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— |
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11,158 |
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Total derivative assets |
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— |
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— |
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— |
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11,158 |
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— |
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11,158 |
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Derivative liabilities |
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(5,940 |
) |
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(28,559 |
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(34,499 |
) |
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(23,194 |
) |
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— |
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(23,194 |
) |
Non-current derivative liabilities |
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(2,800 |
) |
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(76,440 |
) |
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(79,240 |
) |
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— |
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— |
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— |
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Total derivative liabilities |
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(8,740 |
) |
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(104,999 |
) |
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(113,739 |
) |
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(23,194 |
) |
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— |
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(23,194 |
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Derivative liability, net |
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$ |
(8,740 |
) |
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$ |
(104,999 |
) |
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$ |
(113,739 |
) |
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$ |
(12,036 |
) |
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$ |
— |
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$ |
(12,036 |
) |
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| Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss) |
The following table (in thousands) details the effect of our SPL Interest Rate Derivatives included in Other Comprehensive Income (“OCI”) and accumulated other comprehensive income (“AOCI”) during the year ended December 31, 2013. The SPL Interest Rate Derivatives had no effect on OCI during the years ended December 31, 2015 and 2014.
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Gain (Loss) in OCI |
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Gain (Loss) Reclassified from AOCI into Interest Expense (Effective Portion) |
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Losses Reclassified into Earnings as a Result of Discontinuance of Cash Flow Hedge Accounting |
Year Ended December 31, 2013 |
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SPL Interest Rate Derivatives - Designated |
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$ |
21,297 |
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$ |
— |
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$ |
5,807 |
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SPL Interest Rate Derivatives - Settlements |
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(30 |
) |
|
— |
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|
166 |
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements of the Interest Rate Derivatives, including contingency and syndication premiums related to the CCH Interest Rate Derivatives, recorded in derivative gain (loss), net on our Consolidated Statements of Operations during the years ended December 31, 2015, 2014 and 2013:
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Year Ended December 31, |
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2015 |
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2014 |
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2013 |
SPL Interest Rate Derivatives gain (loss) |
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$ |
(41,722 |
) |
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$ |
(119,401 |
) |
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$ |
88,596 |
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CCH Interest Rate Derivatives loss |
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(161,917 |
) |
|
— |
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— |
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