Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.21.2
Derivative Instruments (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
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 June 30, 2021 and December 31, 2020 (in millions):
Fair Value Measurements as of
June 30, 2021 December 31, 2020
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
CCH Interest Rate Derivatives liability $ —  $ (91) $ —  $ (91) $ —  $ (140) $ —  $ (140)
Liquefaction Supply Derivatives asset (liability) (7) 4  (194) (197) 5  (6) 241  240 
LNG Trading Derivatives asset (liability) 20  (226) (195) (401) (3) (131) —  (134)
FX Derivatives liability —  (4) —  (4) —  (22) —  (22)
Fair Value Measurement Inputs and Valuation Techniques The following table includes quantitative information for the unobservable inputs for our Level 3 Physical Liquefaction Supply Derivatives and Physical LNG Trading Derivatives as of June 30, 2021:
Net Fair Value Liability
(in millions)		 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Physical Liquefaction Supply Derivatives $(194) Market approach incorporating present value techniques Henry Hub basis spread
$(0.573) - $0.385 / $(0.009)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
137% - 297% / 175%
Physical LNG Trading Derivatives $(195) Market approach incorporating present value techniques International LNG pricing spread, relative to Henry Hub or TTF, as applicable (2)
$(3.108) - $7.078 / $5.161
(1)Unobservable inputs were weighted by the relative fair value of the instruments.
(2)Spread contemplates U.S. dollar-denominated pricing.
Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation
The following table shows the changes in the fair value of our Level 3 Physical LNG Trading Derivatives and Physical Liquefaction Supply Derivatives during the three and six months ended June 30, 2021 and 2020 (in millions):
Three Months Ended June 30, Six Months Ended June 30,
2021 2020 2021 2020
Balance, beginning of period $ 131  $ 674  $ 241  $ 138 
Realized and mark-to-market gains (losses):
Included in cost of sales (464) (84) (471) 452 
Purchases and settlements:
Purchases (58) (4) (187) (3)
Settlements 2  1  28  (1)
Transfers into Level 3, net (1) —  3  —  4 
Balance, end of period $ (389) $ 590  $ (389) $ 590 
Change in unrealized gains (losses) relating to instruments still held at end of period $ (464) $ (84) $ (471) $ 452 
(1)Transferred into Level 3 as a result of unobservable market for the underlying natural gas purchase agreements.
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of our derivative instruments on our Consolidated Balance Sheets (in millions):
June 30, 2021
CCH Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 53  $ 119  $ 6  $ 178 
Derivative assets —  96  —  —  96 
Total derivative assets —  149  119  6  274 
Current derivative liabilities (91) (201) (520) (10) (822)
Derivative liabilities —  (145) —  —  (145)
Total derivative liabilities (91) (346) (520) (10) (967)
Derivative liability, net $ (91) $ (197) $ (401) $ (4) $ (693)
December 31, 2020
CCH Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 27  $ —  $ 5  $ 32 
Derivative assets —  376  —  —  376 
Total derivative assets —  403  —  5  408 
Current derivative liabilities (100) (54) (134) (25) (313)
Derivative liabilities (40) (109) —  (2) (151)
Total derivative liabilities (140) (163) (134) (27) (464)
Derivative asset (liability), net $ (140) $ 240  $ (134) $ (22) $ (56)
(1)    Does not include collateral posted with counterparties by us of $22 million and $9 million, which are included in other current assets in our Consolidated Balance Sheets as of June 30, 2021 and December 31, 2020, respectively. Includes derivative assets for natural gas supply contracts that SPL and CCL have with related parties. See Note 13—Related Party Transactions.
(2)    Does not include collateral posted with counterparties by us of $1 million and $7 million, which are included in other current assets in our Consolidated Balance Sheets as of June 30, 2021 and December 31, 2020, respectively.
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):
CCH Interest Rate Derivatives
Liquefaction Supply Derivatives
LNG Trading Derivatives
FX Derivatives
As of June 30, 2021
Gross assets $ —  $ 203  $ 131  $ 9 
Offsetting amounts —  (54) (12) (3)
Net assets $ —  $ 149  $ 119  $ 6 
Gross liabilities $ (91) $ (401) $ (614) $ (37)
Offsetting amounts —  55  94  27 
Net liabilities $ (91) $ (346) $ (520) $ (10)
As of December 31, 2020
Gross assets $ —  $ 452  $ —  $ 6 
Offsetting amounts —  (49) —  (1)
Net assets $ —  $ 403  $ —  $ 5 
Gross liabilities $ (140) $ (184) $ (163) $ (62)
Offsetting amounts —  21  29  35 
Net liabilities $ (140) $ (163) $ (134) $ (27)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of June 30, 2021, we had the following Interest Rate Derivatives outstanding:
Notional Amounts
June 30, 2021 December 31, 2020 Latest Maturity Date Weighted Average Fixed Interest Rate Paid Variable Interest Rate Received
CCH Interest Rate Derivatives $4.6 billion $4.6 billion May 31, 2022 2.30% One-month LIBOR
Derivative Instruments, Gain (Loss)
The following table shows the gain (loss) from changes in the fair value and settlements of our Interest Rate Derivatives recorded in interest rate derivative loss, net on our Consolidated Statements of Operations during the three and six months ended June 30, 2021 and 2020 (in millions):
Three Months Ended June 30, Six Months Ended June 30,
2021 2020 2021 2020
CCH Interest Rate Derivatives $ (2) $ (15) $ (1) $ (138)
CCH Interest Rate Forward Start Derivatives —  (10) —  (95)
Commodity Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
The following table shows the notional amounts of our Liquefaction Supply Derivatives and LNG Trading Derivatives (collectively, “Commodity Derivatives”):
June 30, 2021 December 31, 2020
Liquefaction Supply Derivatives LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) (1) 10,631  14  10,483  20 
(1)    Includes notional amounts for natural gas supply contracts that SPL and CCL have with related parties. See Note 13—Related Party Transactions.
Derivative Instruments, Gain (Loss)
The following table shows the gain (loss) from changes in the fair value, settlements and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations during the three and six months ended June 30, 2021 and 2020 (in millions):
Consolidated Statements of Operations Location (1) Three Months Ended June 30, Six Months Ended June 30,
2021 2020 2021 2020
LNG Trading Derivatives LNG revenues $ (379) $ (34) $ (441) $ 106 
LNG Trading Derivatives Cost of sales 53  34  81  — 
Liquefaction Supply Derivatives (2) LNG revenues —  (13) 1  (14)
Liquefaction Supply Derivatives (2) Cost of sales (341) (62) (404) 475 
(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.
(2)    Does not include the realized value associated with derivative instruments that settle through physical delivery.
FX Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Derivative Instruments, Gain (Loss)
The following table shows the gain (loss) from changes in the fair value, settlements and location of our FX Derivatives recorded on our Consolidated Statements of Operations during the three and six months ended June 30, 2021 and 2020 (in millions):
Consolidated Statements of Operations Location Three Months Ended June 30, Six Months Ended June 30,
2021 2020 2021 2020
FX Derivatives LNG revenues $ (5) $ 2  $ 16  $ 27