Derivative Instruments (Tables)
|
9 Months Ended |
Sep. 30, 2016 |
|---|
| 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 September 30, 2016 and December 31, 2015, 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 |
|
September 30, 2016 |
|
December 31, 2015 |
|
Quoted Prices in Active Markets
(Level 1) |
|
Significant Other Observable Inputs
(Level 2) |
|
Significant Unobservable Inputs
(Level 3) |
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Total |
|
Quoted Prices in Active Markets
(Level 1) |
|
Significant Other Observable Inputs
(Level 2) |
|
Significant Unobservable Inputs
(Level 3) |
|
Total |
SPL Interest Rate Derivatives liability |
$ |
— |
|
|
$ |
(15,948 |
) |
|
$ |
— |
|
|
$ |
(15,948 |
) |
|
$ |
— |
|
|
$ |
(8,740 |
) |
|
$ |
— |
|
|
$ |
(8,740 |
) |
CQP Interest Rate Derivatives liability |
— |
|
|
(12,166 |
) |
|
— |
|
|
(12,166 |
) |
|
— |
|
|
— |
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|
— |
|
|
— |
|
CCH Interest Rate Derivatives liability |
— |
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|
(297,539 |
) |
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— |
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|
(297,539 |
) |
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— |
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(104,999 |
) |
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— |
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|
(104,999 |
) |
Liquefaction Supply Derivatives asset (liability) |
(105 |
) |
|
(275 |
) |
|
12,480 |
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12,100 |
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|
— |
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(25 |
) |
|
32,492 |
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|
32,467 |
|
LNG Trading Derivatives asset (liability) |
284 |
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|
(632 |
) |
|
— |
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(348 |
) |
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— |
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|
1,053 |
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|
— |
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|
1,053 |
|
Natural Gas Derivatives liability |
— |
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— |
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— |
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— |
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— |
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(66 |
) |
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— |
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(66 |
) |
FX Derivatives liability |
— |
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(1,193 |
) |
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— |
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(1,193 |
) |
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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 September 30, 2016:
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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 |
Physical Liquefaction Supply Derivatives |
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$12,480 |
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Income Approach |
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Basis Spread |
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$(0.35) - $(0.03) |
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| Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation |
The following table (in thousands) shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three and nine months ended September 30, 2016 and 2015:
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Three Months Ended September 30, |
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Nine Months Ended September 30, |
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2016 |
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2015 |
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2016 |
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2015 |
Balance, beginning of period |
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$ |
22,434 |
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$ |
440 |
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$ |
32,492 |
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$ |
342 |
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Realized and mark-to-market losses: |
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Included in cost of sales (1) |
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(10,567 |
) |
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32,177 |
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(20,482 |
) |
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32,204 |
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Purchases and settlements: |
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Purchases |
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968 |
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— |
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968 |
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— |
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Settlements (1) |
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(308 |
) |
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(71 |
) |
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(741 |
) |
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— |
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Transfers out of Level 3 (2) |
|
(47 |
) |
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— |
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243 |
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— |
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Balance, end of period |
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$ |
12,480 |
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$ |
32,546 |
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$ |
12,480 |
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$ |
32,546 |
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Change in unrealized gains relating to instruments still held at end of period |
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$ |
(10,567 |
) |
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$ |
— |
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$ |
(19,763 |
) |
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$ |
— |
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(1) |
Does not include the decrease in fair value of $0.7 million related to the realized gains capitalized during the nine months ended September 30, 2016.
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(2) |
Transferred to Level 2 as a result of observable market for the underlying natural gas supply contracts. |
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| Derivative Net Presentation on Consolidated Balance Sheets |
The following table (in thousands) shows the fair value of our derivatives outstanding on a gross and net basis:
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Gross Amounts Recognized |
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Gross Amounts Offset in the Consolidated Balance Sheets |
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Net Amounts Presented in the Consolidated Balance Sheets |
Offsetting Derivative Assets (Liabilities) |
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As of September 30, 2016 |
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SPL Interest Rate Derivatives |
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$ |
(15,948 |
) |
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$ |
— |
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$ |
(15,948 |
) |
CQP Interest Rate Derivatives |
|
(12,166 |
) |
|
— |
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(12,166 |
) |
CCH Interest Rate Derivatives |
|
(297,539 |
) |
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— |
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(297,539 |
) |
Liquefaction Supply Derivatives |
|
13,740 |
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(546 |
) |
|
13,194 |
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Liquefaction Supply Derivatives |
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(2,803 |
) |
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1,709 |
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(1,094 |
) |
LNG Trading Derivatives |
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6,829 |
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(4,687 |
) |
|
2,142 |
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LNG Trading Derivatives |
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(5,712 |
) |
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3,222 |
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(2,490 |
) |
FX Derivatives |
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(2,036 |
) |
|
843 |
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(1,193 |
) |
As of December 31, 2015 |
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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 |
) |
Liquefaction Supply Derivatives |
|
33,636 |
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(595 |
) |
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33,041 |
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Liquefaction Supply Derivatives |
|
(574 |
) |
|
— |
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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 |
) |
Natural Gas Derivatives |
|
188 |
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(254 |
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(66 |
) |
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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 September 30, 2016, 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 |
|
July 31, 2019 |
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1.98% |
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One-month LIBOR |
CQP Interest Rate Derivatives |
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$225.0 million |
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$1.3 billion |
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March 22, 2016 |
|
February 29, 2020 |
|
1.19% |
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One-month LIBOR |
CCH Interest Rate Derivatives |
|
$28.8 million |
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$5.5 billion |
|
May 20, 2015 |
|
May 31, 2022 |
|
2.29% |
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One-month LIBOR |
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| Fair Value of Derivative Instruments by Balance Sheet Location |
The following table (in thousands) shows the fair value and location of our Interest Rate Derivatives on our Consolidated Balance Sheets:
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|
September 30, 2016 |
|
December 31, 2015 |
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|
SPL Interest Rate Derivatives |
|
CQP Interest Rate Derivatives |
|
CCH Interest Rate Derivatives |
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Total |
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SPL Interest Rate Derivatives |
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CQP Interest Rate Derivatives |
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CCH Interest Rate Derivatives |
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Total |
Balance Sheet Location |
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Derivative liabilities |
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$ |
(6,376 |
) |
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$ |
(5,248 |
) |
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$ |
(45,481 |
) |
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$ |
(57,105 |
) |
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$ |
(5,940 |
) |
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$ |
— |
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$ |
(28,559 |
) |
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$ |
(34,499 |
) |
Non-current derivative liabilities |
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(9,572 |
) |
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(6,918 |
) |
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(252,058 |
) |
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(268,548 |
) |
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(2,800 |
) |
|
— |
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|
(76,440 |
) |
|
(79,240 |
) |
Total derivative liabilities |
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$ |
(15,948 |
) |
|
$ |
(12,166 |
) |
|
$ |
(297,539 |
) |
|
$ |
(325,653 |
) |
|
$ |
(8,740 |
) |
|
$ |
— |
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$ |
(104,999 |
) |
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$ |
(113,739 |
) |
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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 gain (loss), net on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
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Three Months Ended |
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Nine Months Ended |
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September 30, |
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September 30, |
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2016 |
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2015 |
|
2016 |
|
2015 |
SPL Interest Rate Derivatives gain (loss) |
|
$ |
2,557 |
|
|
$ |
(10,872 |
) |
|
$ |
(13,473 |
) |
|
$ |
(46,541 |
) |
CQP Interest Rate Derivatives gain (loss) |
|
6,626 |
|
|
— |
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|
(12,944 |
) |
|
— |
|
CCH Interest Rate Derivatives gain (loss) |
|
20,113 |
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|
(150,610 |
) |
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(215,940 |
) |
|
(195,582 |
) |
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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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September 30, 2016 |
|
December 31, 2015 |
|
Liquefaction Supply Derivatives (1) |
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LNG Trading Derivatives (2) |
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Natural Gas Derivatives |
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Total |
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Liquefaction Supply Derivatives |
|
LNG Trading Derivatives (2) |
|
Natural Gas Derivatives (3) |
|
Total |
Balance Sheet Location |
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Other current assets |
$ |
1,947 |
|
|
$ |
2,142 |
|
|
$ |
— |
|
|
$ |
4,089 |
|
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$ |
2,737 |
|
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$ |
640 |
|
|
$ |
— |
|
|
$ |
3,377 |
|
Non-current derivative assets |
11,247 |
|
|
— |
|
|
— |
|
|
11,247 |
|
|
30,304 |
|
|
583 |
|
|
— |
|
|
30,887 |
|
Total derivative assets |
13,194 |
|
|
2,142 |
|
|
— |
|
|
15,336 |
|
|
33,041 |
|
|
1,223 |
|
|
— |
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|
34,264 |
|
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Derivative liabilities |
(1,083 |
) |
|
(2,490 |
) |
|
— |
|
|
(3,573 |
) |
|
(490 |
) |
|
(107 |
) |
|
(66 |
) |
|
(663 |
) |
Non-current derivative liabilities |
(11 |
) |
|
— |
|
|
— |
|
|
(11 |
) |
|
(84 |
) |
|
(63 |
) |
|
— |
|
|
(147 |
) |
Total derivative liabilities |
(1,094 |
) |
|
(2,490 |
) |
|
— |
|
|
(3,584 |
) |
|
(574 |
) |
|
(170 |
) |
|
(66 |
) |
|
(810 |
) |
|
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Derivative asset (liabilities), net |
$ |
12,100 |
|
|
$ |
(348 |
) |
|
$ |
— |
|
|
$ |
11,752 |
|
|
$ |
32,467 |
|
|
$ |
1,053 |
|
|
$ |
(66 |
) |
|
$ |
33,454 |
|
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(1) |
Does not include collateral of $1.5 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheet as of September 30, 2016.
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(2) |
Does not include collateral of $13.4 million and $11.0 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2016 and December 31, 2015, respectively.
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(3) |
Does not include collateral of $5.5 million deposited for such contracts, which is included in other current assets in our Consolidated Balance Sheet as of December 31, 2015.
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| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value, settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
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Three Months Ended |
|
Nine Months Ended |
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|
September 30, |
|
September 30, |
|
Statement of Operations Location |
|
2016 |
|
2015 |
|
2016 |
|
2015 |
Liquefaction Supply Derivatives gain |
LNG revenues (losses) |
|
$ |
374 |
|
|
$ |
— |
|
|
$ |
368 |
|
|
$ |
— |
|
Liquefaction Supply Derivatives gain (loss) (1) |
Cost (cost recovery) of sales |
|
(10,416 |
) |
|
32,103 |
|
|
(22,680 |
) |
|
32,184 |
|
LNG Trading Derivatives gain (loss) |
LNG revenues (losses) |
|
8,617 |
|
|
113 |
|
|
(3,597 |
) |
|
113 |
|
Natural Gas Derivatives loss |
LNG revenues (losses) |
|
— |
|
|
(152 |
) |
|
(5 |
) |
|
(260 |
) |
Natural Gas Derivatives gain |
Operating and maintenance expense |
|
— |
|
|
857 |
|
|
174 |
|
|
1,317 |
|
(1) Does not include the realized value associated with derivative instruments that settle through physical delivery.
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| FX 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 FX Derivatives on our Consolidated Balance Sheets:
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|
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|
|
Fair Value Measurements as of |
|
Balance Sheet Location |
|
September 30, 2016 |
|
December 31, 2015 |
FX Derivatives |
Derivative liabilities |
|
$ |
(1,151 |
) |
|
$ |
— |
|
FX Derivatives |
Non-current derivative liabilities |
|
(42 |
) |
|
— |
|
|
| Derivative Instruments, Gain (Loss) |
The following table (in thousands) shows the changes in the fair value of our FX Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2016 and 2015:
|
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|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Three Months Ended |
|
Nine Months Ended |
|
|
|
|
September 30, |
|
September 30, |
|
|
Statement of Operations Location |
|
2016 |
|
2015 |
|
2016 |
|
2015 |
FX Derivatives loss |
|
LNG revenues (losses) |
|
$ |
(1,385 |
) |
|
$ |
— |
|
|
$ |
(1,345 |
) |
|
$ |
— |
|
FX Derivatives gain |
|
Derivative gain (loss), net |
|
31 |
|
|
— |
|
|
129 |
|
|
— |
|
FX Derivatives gain (loss) |
|
Other income (expense) |
|
2 |
|
|
— |
|
|
(86 |
) |
|
— |
|
|