Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.2.0.727
Derivative Instruments (Tables)
6 Months Ended
Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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 June 30, 2015 and December 31, 2014, which are classified as other current assets, non-current derivative assets, derivative liabilities and other non-current liabilities in our Consolidated Balance Sheets.
 
Fair Value Measurements as of
 
June 30, 2015
 
December 31, 2014
 
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
Natural Gas Derivatives asset (liability)
$

 
$
(315
)
 
$

 
$
(315
)
 
$

 
$
219

 
$

 
$
219

Liquefaction Supply Derivatives asset (liability)

 
(27
)
 
440

 
413

 

 

 
342

 
342

SPL Interest Rate Derivatives liability

 
(8,172
)
 

 
(8,172
)
 

 
(12,036
)
 

 
(12,036
)
CCH Interest Rate Derivatives asset

 
5,335

 

 
5,335

 

 

 

 

Fair Value Inputs, Assets, Quantitative Information
The following table (in thousands, except natural gas basis spread) includes quantitative information for the unobservable inputs for the Level 3 Liquefaction Supply Derivatives as of June 30, 2015:
 
 
Net Fair Value Asset
 
Valuation Technique
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Liquefaction Supply Derivatives
 
$440
 
Income Approach
 
Basis Spread
 
$ (0.350) - $0.020
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:
 
 
Gross Amounts Recognized
 
Gross Amounts Offset in the Consolidated Balance Sheets
 
Net Amounts Presented in the Consolidated Balance Sheets
Offsetting Derivative Assets (Liabilities)
 
 
 
As of June 30, 2015
 
 
 
 
 
 
Natural Gas Derivatives
 
$
(595
)
 
$
280

 
$
(315
)
Liquefaction Supply Derivatives
 
733

 

 
733

Liquefaction Supply Derivatives
 
(320
)
 

 
(320
)
SPL Interest Rate Derivatives
 
(8,172
)
 

 
(8,172
)
CCH Interest Rate Derivatives
 
20,937

 

 
20,937

CCH Interest Rate Derivatives
 
(15,602
)
 

 
(15,602
)
As of December 31, 2014
 
 
 
 
 
 
Natural Gas Derivatives
 
223

 
(4
)
 
219

Liquefaction Supply Derivatives
 
662

 

 
662

Liquefaction Supply Derivatives
 
(320
)
 

 
(320
)
SPL Interest Rate Derivatives
 
11,158

 

 
11,158

SPL Interest Rate Derivatives
 
(23,194
)
 

 
(23,194
)
Commodity Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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:
 
 
June 30, 2015
 
December 31, 2014
 
 
Natural Gas Derivatives (1)
 
Liquefaction Supply Derivatives
 
Total
 
Natural Gas Derivatives (1)
 
Liquefaction Supply Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
Other current assets
 
$
181

 
$
307

 
$
488

 
$
219

 
$
76

 
$
295

Non-current derivative assets
 

 
426

 
426

 

 
586

 
586

Total derivative assets
 
181

 
733

 
914

 
219

 
662

 
881

 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(496
)
 
(222
)
 
(718
)
 

 
(53
)
 
(53
)
Other non-current liabilities
 

 
(98
)
 
(98
)
 

 
(267
)
 
(267
)
Total derivative liabilities
 
(496
)
 
(320
)
 
(816
)
 

 
(320
)
 
(320
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liability), net
 
$
(315
)
 
$
413

 
$
98

 
$
219

 
$
342

 
$
561


 
(1)
Does not include collateral of $6.3 million and $5.7 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheets as of June 30, 2015 and December 31, 2014, respectively.

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 and six months ended June 30, 2015 and 2014:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
Statement of Operations Location
2015
 
2014
 
2015
 
2014
Natural Gas Derivatives gain (loss)
Marketing and trading revenues (losses)
$
67

 
$
21

 
$
(98
)
 
$
370

Natural Gas Derivatives gain (loss)
Derivative gain (loss), net
(294
)
 
(56
)
 
460

 
(258
)
Natural Gas Derivatives gain
Operating and maintenance expense

 

 

 
44

Liquefaction Supply Derivatives gain (1)
Operating and maintenance expense
81

 

 
81

 

 
(1)    There were no physical settlements during the reporting period.

Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of June 30, 2015, we had the following interest rate derivatives outstanding:
 
 
Initial Notional Amount
 
Maximum Notional Amount
 
Effective Date
 
Maturity Date
 
Weighted Average Fixed Interest Rate Paid
 
Variable Interest Rate Received
SPL Interest Rate Derivatives
 
$20.0 million
 
$690.8 million
 
August 14, 2012
 
July 31, 2019
 
1.98%
 
One-month LIBOR
CCH Interest Rate Derivatives
 
28.8 million
 
$5.5 billion
 
May 20, 2015
 
May 31, 2022
 
2.29%
 
One-month LIBOR


Fair Value of Derivative Instruments by Balance Sheet Location
The following table (in thousands) shows the fair value of our interest rate derivatives:
 
 
June 30, 2015
 
December 31, 2014
 
 
SPL Interest Rate Derivatives
 
CCH Interest Rate Derivatives
 
Total
 
SPL Interest Rate Derivatives
 
CCH Interest Rate Derivatives
 
Total
Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
 
Other current assets
 
$

 
$

 
$

 
$

 
$

 
$

Non-current derivative assets
 

 
20,937

 
20,937

 
11,158

 

 
11,158

Total derivative assets
 

 
20,937

 
20,937

 
11,158

 

 
11,158

 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
 
(7,617
)
 
(15,602
)
 
(23,219
)
 
(23,194
)
 

 
(23,194
)
Other non-current liabilities
 
(555
)
 

 
(555
)
 

 

 

Total derivative liabilities
 
(8,172
)
 
(15,602
)
 
(23,774
)
 
(23,194
)
 

 
(23,194
)
 
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liability), net
 
$
(8,172
)
 
$
5,335

 
$
(2,837
)
 
$
(12,036
)
 
$

 
$
(12,036
)


Derivative Instruments, Gain (Loss)
The following table (in thousands) shows the changes in the fair value and settlements of our 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 three and six months ended June 30, 2015 and 2014:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
 
2015
 
2014
 
2015
 
2014
SPL Interest Rate Derivatives gain (loss)
 
$
1,469

 
$
(60,122
)
 
$
(35,669
)
 
$
(94,601
)
CCH Interest Rate Derivatives gain (loss)
 
44,580

 

 
(44,972
)