Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.22.1
Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2022
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 (in millions):
Fair Value Measurements as of
March 31, 2022 December 31, 2021
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
Interest Rate Derivatives liability $ —  $ (12) $ —  $ (12) $ —  $ (40) $ —  $ (40)
Liquefaction Supply Derivatives asset (liability) (75) 9  (7,423) (7,489) 7  (9) (4,036) (4,038)
LNG Trading Derivatives liability (8) (260) —  (268) (22) (378) —  (400)
FX Derivatives asset —  25  —  25  —  12  —  12 
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 as of March 31, 2022:
Net Fair Value Liability
(in millions)		 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Physical Liquefaction Supply Derivatives $(7,423) Market approach incorporating present value techniques Henry Hub basis spread
$(1.578) - $0.215 / $(0.094)
Option pricing model International LNG pricing spread, relative to Henry Hub (2)
101% - 533% / 190%
(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 (in millions):
Three Months Ended March 31,
2022 2021
Balance, beginning of period $ (4,036) $ 241 
Realized and mark-to-market losses:
Included in cost of sales (3,540) (129)
Purchases and settlements:
Purchases (3) (14)
Settlements 156  33 
Balance, end of period $ (7,423) $ 131 
Change in unrealized losses relating to instruments still held at end of period $ (3,540) $ (129)
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):
March 31, 2022
Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 45  $ 145  $ 25  $ 215 
Derivative assets —  43  —  —  43 
Total derivative assets —  88  145  25  258 
Current derivative liabilities (12) (1,321) (413) —  (1,746)
Derivative liabilities —  (6,256) —  —  (6,256)
Total derivative liabilities (12) (7,577) (413) —  (8,002)
Derivative asset (liability), net $ (12) $ (7,489) $ (268) $ 25  $ (7,744)
December 31, 2021
Interest Rate Derivatives
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ —  $ 38  $ 2  $ 15  $ 55 
Derivative assets —  69  —  —  69 
Total derivative assets —  107  2  15  124 
Current derivative liabilities (40) (644) (402) (3) (1,089)
Derivative liabilities —  (3,501) —  —  (3,501)
Total derivative liabilities (40) (4,145) (402) (3) (4,590)
Derivative asset (liability), net $ (40) $ (4,038) $ (400) $ 12  $ (4,466)
(1)Does not include collateral posted with counterparties by us of $96 million and $20 million as of March 31, 2022 and December 31, 2021, respectively, which are included in margin deposits in our Consolidated Balance Sheets.
(2)Does not include collateral posted with counterparties by us of $360 million and $745 million, as of March 31, 2022 and December 31, 2021, respectively, which are included in margin deposits in our Consolidated Balance Sheets.
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) for our derivative instruments that are presented on a net basis on our Consolidated Balance Sheets:
Liquefaction Supply Derivatives
LNG Trading Derivatives
FX Derivatives
As of March 31, 2022
Gross assets $ 113  $ 198  $ 62 
Offsetting amounts (25) (53) (37)
Net assets $ 88  $ 145  $ 25 
Gross liabilities $ (8,072) $ (419) $ — 
Offsetting amounts 495  6  — 
Net liabilities $ (7,577) $ (413) $ — 
As of December 31, 2021
Gross assets $ 155  $ 10  $ 48 
Offsetting amounts (48) (8) (33)
Net assets $ 107  $ 2  $ 15 
Gross liabilities $ (4,382) $ (551) $ (10)
Offsetting amounts 237  149  7 
Net liabilities $ (4,145) $ (402) $ (3)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of March 31, 2022, we had the following Interest Rate Derivatives outstanding:
Notional Amounts
March 31, 2022 December 31, 2021 Latest Maturity Date Weighted Average Fixed Interest Rate Paid Variable Interest Rate Received
Interest Rate Derivatives $4.5 billion $4.5 billion May 31, 2022 2.30% One-month LIBOR
Derivative Instruments, Gain (Loss)
The following table shows the effect and location of our Interest Rate Derivatives on our Consolidated Statements of Operations (in millions):
Gain Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Three Months Ended March 31,
2022 2021
Interest Rate Derivatives Interest rate derivative gain, net $ 3  $ 1 
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”):
March 31, 2022 December 31, 2021
Liquefaction Supply Derivatives (1) LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) 13,036  36  11,238  33 
(1)Excludes notional amounts associated with extension options that were uncertain to be taken as of March 31, 2022.
Derivative Instruments, Gain (Loss)
The following table shows the effect and location of our Commodity Derivatives recorded on our Consolidated Statements of Operations (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location (1) Three Months Ended March 31,
2022 2021
LNG Trading Derivatives LNG revenues $ (247) $ (62)
LNG Trading Derivatives Cost of sales 90  28 
Liquefaction Supply Derivatives (2) LNG revenues (5) 1 
Liquefaction Supply Derivatives (2) Cost of sales (3,461) (63)
(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 effect and location of our FX Derivatives recorded on our Consolidated Statements of Operations (in millions):
Gain (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Three Months Ended March 31,
2022 2021
FX Derivatives LNG revenues $ 28  $ 21