Derivative Instruments (Tables)
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12 Months Ended |
Dec. 31, 2017 |
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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 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, 2017 and 2016, which are classified as derivative assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets (in millions).
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Fair Value Measurements as of |
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December 31, 2017 |
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December 31, 2016 |
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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 |
SPL Interest Rate Derivatives liability |
$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
— |
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$ |
(6 |
) |
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$ |
— |
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$ |
(6 |
) |
CQP Interest Rate Derivatives asset |
— |
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21 |
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— |
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21 |
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— |
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13 |
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— |
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13 |
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CCH Interest Rate Derivatives liability |
— |
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(32 |
) |
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— |
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(32 |
) |
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— |
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(86 |
) |
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— |
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(86 |
) |
Liquefaction Supply Derivatives asset (liability) |
2 |
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10 |
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43 |
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55 |
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(4 |
) |
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(2 |
) |
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79 |
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73 |
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LNG Trading Derivatives asset (liability) |
(13 |
) |
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5 |
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— |
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(8 |
) |
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2 |
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(5 |
) |
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— |
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(3 |
) |
FX Derivatives liability |
— |
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(1 |
) |
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— |
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(1 |
) |
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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 our Level 3 Physical Liquefaction Supply Derivatives as of December 31, 2017:
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Net Fair Value Asset
(in millions)
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Valuation Approach |
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Significant Unobservable Input |
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Significant Unobservable Inputs Range |
Physical Liquefaction Supply Derivatives |
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$43 |
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Market approach incorporating present value techniques |
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Basis Spread |
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$(0.703) - $0.432 |
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the years ended December 31, 2017, 2016 and 2015 (in millions):
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Year Ended December 31, |
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2017 |
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2016 |
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2015 |
Balance, beginning of period |
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$ |
79 |
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$ |
32 |
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$ |
— |
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Realized and mark-to-market gains (losses): |
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Included in cost of sales (1) |
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(37 |
) |
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48 |
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32 |
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Purchases and settlements: |
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Purchases |
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14 |
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1 |
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— |
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Settlements (1) |
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(12 |
) |
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(2 |
) |
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— |
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Transfers out of Level 3 |
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(1 |
) |
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— |
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— |
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Balance, end of period |
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$ |
43 |
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$ |
79 |
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$ |
32 |
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Change in unrealized gains relating to instruments still held at end of period |
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$ |
(37 |
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$ |
49 |
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$ |
32 |
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(1) |
Does not include the decrease in fair value of $1 million related to the realized gains capitalized during the year ended December 31, 2016
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| Derivative Net Presentation on Consolidated Balance Sheets |
The following table shows the fair value of our derivatives outstanding on a gross and net basis (in millions):
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of December 31, 2017 |
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CQP Interest Rate Derivatives |
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$ |
21 |
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$ |
— |
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$ |
21 |
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CCH Interest Rate Derivatives |
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3 |
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— |
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3 |
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CCH Interest Rate Derivatives |
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(35 |
) |
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— |
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(35 |
) |
Liquefaction Supply Derivatives |
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64 |
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(6 |
) |
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58 |
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Liquefaction Supply Derivatives |
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(3 |
) |
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— |
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(3 |
) |
LNG Trading Derivatives |
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9 |
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— |
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9 |
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LNG Trading Derivatives |
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(37 |
) |
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20 |
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(17 |
) |
FX Derivatives |
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(1 |
) |
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— |
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(1 |
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As of December 31, 2016 |
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SPL Interest Rate Derivatives |
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$ |
(6 |
) |
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$ |
— |
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$ |
(6 |
) |
CQP Interest Rate Derivatives |
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16 |
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— |
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16 |
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CQP Interest Rate Derivatives |
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(3 |
) |
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— |
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(3 |
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CCH Interest Rate Derivatives |
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(95 |
) |
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9 |
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(86 |
) |
Liquefaction Supply Derivatives |
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82 |
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(2 |
) |
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80 |
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Liquefaction Supply Derivatives |
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(11 |
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4 |
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(7 |
) |
LNG Trading Derivatives |
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21 |
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(15 |
) |
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6 |
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LNG Trading Derivatives |
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(17 |
) |
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8 |
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(9 |
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FX Derivatives |
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5 |
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(1 |
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4 |
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FX Derivatives |
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(4 |
) |
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— |
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(4 |
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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, 2017, 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 |
CQP Interest Rate Derivatives |
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$225 million |
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$1.3 billion |
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March 22, 2016 |
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February 29, 2020 |
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1.19% |
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One-month LIBOR |
CCH Interest Rate Derivatives |
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$29 million |
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$4.9 billion |
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May 20, 2015 |
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May 31, 2022 |
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2.29% |
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One-month LIBOR |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table shows the fair value and location of our Interest Rate Derivatives on our Consolidated Balance Sheets (in millions):
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December 31, 2017 |
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December 31, 2016 |
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SPL Interest Rate Derivatives |
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CQP Interest Rate Derivatives |
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CCH Interest Rate Derivatives |
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Total |
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SPL Interest Rate Derivatives |
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CQP Interest Rate Derivatives |
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CCH Interest Rate Derivatives |
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Total |
Balance Sheet Location |
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Derivative assets |
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$ |
— |
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$ |
7 |
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$ |
— |
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$ |
7 |
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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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14 |
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3 |
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17 |
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— |
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16 |
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— |
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16 |
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Total derivative assets |
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— |
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21 |
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3 |
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24 |
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— |
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16 |
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— |
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16 |
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Derivative liabilities |
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— |
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— |
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(20 |
) |
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(20 |
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(4 |
) |
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(3 |
) |
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(43 |
) |
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(50 |
) |
Non-current derivative liabilities |
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— |
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— |
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(15 |
) |
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(15 |
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(2 |
) |
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— |
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(43 |
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(45 |
) |
Total derivative liabilities |
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— |
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— |
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(35 |
) |
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(35 |
) |
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(6 |
) |
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(3 |
) |
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(86 |
) |
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(95 |
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Derivative asset (liability), net |
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$ |
— |
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$ |
21 |
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$ |
(32 |
) |
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$ |
(11 |
) |
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$ |
(6 |
) |
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$ |
13 |
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$ |
(86 |
) |
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$ |
(79 |
) |
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| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value and settlements of our Interest Rate Derivatives recorded in derivative gain (loss), net on our Consolidated Statements of Operations during the years ended December 31, 2017, 2016 and 2015 (in millions):
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Year Ended December 31, |
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2017 |
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2016 |
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2015 |
SPL Interest Rate Derivatives loss |
|
$ |
(2 |
) |
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$ |
(6 |
) |
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$ |
(42 |
) |
CQP Interest Rate Derivatives gain |
|
6 |
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|
12 |
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|
— |
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CCH Interest Rate Derivatives gain (loss) |
|
3 |
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(16 |
) |
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(162 |
) |
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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 shows the fair value and location of our Liquefaction Supply Derivatives and LNG Trading Derivatives (collectively, “Commodity Derivatives”) on our Consolidated Balance Sheets (in millions, except notional amount):
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December 31, 2017 |
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December 31, 2016 |
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Liquefaction Supply Derivatives (1) |
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LNG Trading Derivatives (2) |
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Total |
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Liquefaction Supply Derivatives (1) |
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LNG Trading Derivatives (2) |
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Total |
Balance Sheet Location |
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Derivative assets |
$ |
41 |
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$ |
9 |
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$ |
50 |
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$ |
13 |
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$ |
7 |
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$ |
20 |
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Non-current derivative assets |
17 |
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|
— |
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|
17 |
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|
67 |
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— |
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|
67 |
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Total derivative assets |
58 |
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|
9 |
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|
67 |
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|
80 |
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|
7 |
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|
87 |
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Derivative liabilities |
— |
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(17 |
) |
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(17 |
) |
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(7 |
) |
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(10 |
) |
|
(17 |
) |
Non-current derivative liabilities |
(3 |
) |
|
— |
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(3 |
) |
|
— |
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— |
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— |
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Total derivative liabilities |
(3 |
) |
|
(17 |
) |
|
(20 |
) |
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(7 |
) |
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(10 |
) |
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(17 |
) |
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Derivative asset (liability), net |
$ |
55 |
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$ |
(8 |
) |
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$ |
47 |
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$ |
73 |
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$ |
(3 |
) |
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$ |
70 |
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Notional amount (in TBtu) (3) |
2,539 |
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|
25 |
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1,117 |
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— |
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(1) |
Does not include collateral call of $1 million and collateral deposit of $6 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2017 and 2016, respectively.
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(2) |
Does not include collateral of $28 million and $10 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of December 31, 2017 and 2016, respectively.
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(3) |
SPL had secured up to approximately 2,214 TBtu and 1,994 TBtu of natural gas feedstock through natural gas supply contracts as of December 31, 2017 and 2016, respectively. CCL has secured up to approximately 2,024 TBtu and zero TBtu of natural gas feedstock through natural gas supply contracts, a portion of which is subject to the achievement of certain project milestones and other conditions precedent, as of December 31, 2017 and 2016, respectively.
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| 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, 2017, 2016 and 2015 (in millions):
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Statement of Operations Location (1) |
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Year Ended December 31, |
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2017 |
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2016 |
|
2015 |
LNG Trading Derivatives gain (loss) |
LNG revenues |
|
$ |
(44 |
) |
|
$ |
(4 |
) |
|
1 |
|
Liquefaction Supply Derivatives loss (gain) (2) |
Cost (cost recovery) of sales |
|
24 |
|
|
(42 |
) |
|
(33 |
) |
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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. |
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(2) |
Does not include the realized value associated with derivative instruments that settle through physical delivery. |
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| FX 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 shows the fair value and location of our FX Derivatives on our Consolidated Balance Sheets (in millions):
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Fair Value Measurements as of |
|
Balance Sheet Location |
|
December 31, 2017 |
|
December 31, 2016 |
FX Derivatives |
Derivative assets |
|
$ |
— |
|
|
$ |
4 |
|
FX Derivatives |
Derivative liabilities |
|
— |
|
|
(4 |
) |
FX Derivatives |
Non-current derivative liabilities |
|
(1 |
) |
|
— |
|
|
| Derivative Instruments, Gain (Loss) |
The following table shows the changes in the fair value of our FX Derivatives recorded on our Consolidated Statements of Operations during the years ended December 31, 2017, 2016 and 2015 (in millions):
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Year Ended December 31, |
|
Statement of Operations Location |
|
2017 |
|
2016 |
|
2015 |
FX Derivatives loss |
LNG revenues |
|
$ |
(1 |
) |
|
$ |
— |
|
|
$ |
— |
|
FX Derivatives loss |
Other income |
|
— |
|
|
(1 |
) |
|
— |
|
|