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Derivative Instruments (Tables)
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3 Months Ended |
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Mar. 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 our derivative instruments that are required to be measured at fair value on a recurring basis as of March 31, 2015 and December 31, 2014, which are classified as prepaid expenses and other, non-current derivative assets, derivative liabilities and other non-current liabilities in our Consolidated Balance Sheets.
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Fair Value Measurements as of |
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March 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 |
LNG Inventory Derivatives asset |
$ |
— |
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$ |
367 |
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$ |
— |
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$ |
367 |
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$ |
— |
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$ |
1,140 |
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$ |
— |
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$ |
1,140 |
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Fuel Derivatives liability |
— |
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(755 |
) |
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— |
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(755 |
) |
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— |
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(921 |
) |
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— |
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(921 |
) |
Term Gas Supply Derivatives asset |
— |
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— |
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342 |
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342 |
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— |
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— |
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342 |
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342 |
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SPL Interest Rate Derivatives liability |
— |
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(11,692 |
) |
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— |
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(11,692 |
) |
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— |
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(12,036 |
) |
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— |
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(12,036 |
) |
Contingent Interest Rate Derivatives liability |
— |
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(89,552 |
) |
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— |
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(89,552 |
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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 (in thousands, except natural gas basis spread) includes quantitative information for the unobservable inputs as of March 31, 2015:
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Net Fair Value Asset |
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Valuation Technique |
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Significant Unobservable Input |
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Significant Unobservable Inputs Range |
Term Gas Supply Derivatives |
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$342 |
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Income Approach |
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Basis Spread |
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$ (0.350) - $0.046 |
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| Derivative Net Presentation on Consolidated Balance Sheets |
The following table (in thousands) shows the fair value of our derivatives outstanding on a gross and net basis:
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of March 31, 2015: |
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LNG Inventory Derivatives |
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$ |
367 |
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$ |
(4 |
) |
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$ |
371 |
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Fuel Derivatives |
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(755 |
) |
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(755 |
) |
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— |
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Term Gas Supply Derivatives |
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662 |
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— |
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662 |
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Term Gas Supply Derivatives |
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(320 |
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— |
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(320 |
) |
SPL Interest Rate Derivatives |
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(11,692 |
) |
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— |
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(11,692 |
) |
Contingent Interest Rate Derivatives |
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(89,552 |
) |
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— |
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(89,552 |
) |
As of December 31, 2014: |
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LNG Inventory Derivatives |
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1,140 |
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1,056 |
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84 |
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Fuel Derivatives |
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(921 |
) |
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(921 |
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— |
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Term Gas Supply Derivatives |
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662 |
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— |
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662 |
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Term Gas 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 |
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March 31, 2015 |
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December 31, 2014 |
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LNG Inventory Derivatives (1) |
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Fuel Derivatives (1) |
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Term Gas Supply Derivatives |
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Total Commodity Derivatives |
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LNG Inventory Derivatives (1) |
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Fuel Derivatives (1) |
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Term Gas Supply Derivatives |
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Total Commodity Derivatives |
Balance Sheet Location |
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Prepaid expenses and other |
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$ |
367 |
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$ |
(755 |
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$ |
190 |
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$ |
(198 |
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$ |
1,140 |
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$ |
(921 |
) |
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$ |
76 |
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$ |
295 |
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Non-current derivative assets |
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— |
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— |
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472 |
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472 |
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— |
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— |
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586 |
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586 |
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Total derivative assets |
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367 |
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(755 |
) |
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662 |
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274 |
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1,140 |
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(921 |
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662 |
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881 |
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Derivative liabilities |
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— |
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— |
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(133 |
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(133 |
) |
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— |
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— |
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(53 |
) |
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(53 |
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Other non-current liabilities |
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— |
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— |
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(187 |
) |
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(187 |
) |
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— |
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— |
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(267 |
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(267 |
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Total derivative liabilities |
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— |
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— |
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(320 |
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(320 |
) |
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— |
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— |
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(320 |
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(320 |
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Net derivative assets (liabilities) |
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$ |
367 |
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$ |
(755 |
) |
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$ |
342 |
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$ |
(46 |
) |
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$ |
1,140 |
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$ |
(921 |
) |
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$ |
342 |
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$ |
561 |
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(1) |
Does not include collateral of $5.9 million and $5.7 million deposited for such contracts, which is included in prepaid expenses and other current assets in our Consolidated Balance Sheets as of March 31, 2015 and December 31, 2014, respectively.
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three months ended March 31, 2015 and 2014:
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Three Months Ended March 31, |
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Statement of Operations Location |
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2015 |
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2014 |
LNG Inventory Derivatives gain (loss) |
Marketing and trading revenues |
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$ |
(206 |
) |
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$ |
184 |
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Fuel Derivatives gain (loss) |
Marketing and trading revenues |
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(41 |
) |
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165 |
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LNG Inventory Derivatives gain (loss) |
Derivative loss, net |
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754 |
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(435 |
) |
Fuel Derivatives gain |
Derivative loss, net |
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— |
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|
242 |
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Term Gas Supply Derivatives gain (loss) (1) |
Operating and maintenance expense |
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— |
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— |
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(1) There were no settlements during the reporting period.
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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 March 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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$691.0 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 |
Contingent Interest Rate Derivatives (1) |
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$28.8 million |
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$5.4 billion |
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May 8, 2015 |
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May 31, 2022 |
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2.32% |
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One-month LIBOR |
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(1) |
The effective date represents management’s estimate of commencement of first monthly settlement of the contingent interest rate derivative instruments, and the maturity date is based on the contractual term of the instruments once effective. |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in thousands) shows the fair value of our interest rate derivatives:
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March 31, 2015 |
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December 31, 2014 |
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SPL Interest Rate Derivatives |
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Contingent Interest Rate Derivatives |
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Total |
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SPL Interest Rate Derivatives |
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Contingent Interest Rate Derivatives |
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Total |
Balance Sheet Location |
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Non-current derivative assets |
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$ |
— |
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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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(7,119 |
) |
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(10,794 |
) |
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(17,913 |
) |
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(23,194 |
) |
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— |
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(23,194 |
) |
Other non-current liabilities |
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(4,573 |
) |
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(78,758 |
) |
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(83,331 |
) |
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— |
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— |
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— |
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Total derivative liabilities |
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(11,692 |
) |
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(89,552 |
) |
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(101,244 |
) |
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(23,194 |
) |
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— |
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(23,194 |
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Derivative liabilities, net |
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$ |
(11,692 |
) |
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$ |
(89,552 |
) |
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$ |
(101,244 |
) |
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$ |
(12,036 |
) |
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$ |
— |
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$ |
(12,036 |
) |
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value and settlements of our interest rate derivatives recorded in derivative loss, net on our Consolidated Statements of Operations during the three months ended March 31, 2015 and 2014:
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Three Months Ended March 31, |
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2015 |
|
2014 |
SPL Interest Rate Derivatives loss |
$ |
(37,138 |
) |
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$ |
(34,479 |
) |
Contingent Interest Rate Derivatives loss |
(89,552 |
) |
|
— |
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