Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.23.3
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2023
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, by the fair value hierarchy levels prescribed by GAAP (in millions):
Fair Value Measurements as of
September 30, 2023 December 31, 2022
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
Liquefaction Supply Derivatives asset (liability)
 $ 19  $ 54  $ (3,216) $ (3,143) $ (66) $ (29) $ (9,924) $ (10,019)
LNG Trading Derivatives asset (liability)
 (29) 7  —  (22) 1  (47) —  (46)
FX Derivatives asset (liability)
 —  7  —  7  —  (28) —  (28)
Fair Value Measurement Inputs and Valuation Techniques The following table includes quantitative information for the unobservable inputs for our Level 3 Liquefaction Supply Derivatives as of September 30, 2023:
Net Fair Value Liability
(in millions)
 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Liquefaction Supply Derivatives $(3,216) Market approach incorporating present value techniques
Henry Hub basis spread
$(1.245) - $0.638 / $(0.031)
Option pricing model
International LNG pricing spread, relative to Henry Hub (2)
83% - 422% / 188%
(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 Liquefaction Supply Derivatives and LNG Trading Derivatives (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
2023
2022
 2023
2022
Balance, beginning of period $ (4,611) $ (8,462) $ (9,924) $ (4,036)
Realized and change in fair value gains (losses) included in net income (loss) (1):
Included in cost of sales, existing deals (2) 1,197  (5,668) 5,350  (8,825)
Included in cost of sales, new deals (3) 8  —  26  — 
Purchases and settlements:
Purchases (4) —  4  —  (1,390)
Settlements (5) 187  322  1,323  446 
Transfers out of level 3 (6) 3  (1) 9  — 
Balance, end of period $ (3,216) $ (13,805) $ (3,216) $ (13,805)
Favorable (unfavorable) changes in fair value relating to instruments still held at the end of the period
 $ 1,205  $ (5,668) $ 5,376  $ (8,825)
(1)Does not include the realized value associated with derivative instruments that settle through physical delivery, as settlement is equal to contractually fixed price from trade date multiplied by contractual volume.  See settlements line item in this table.
(2)Impact to earnings on deals that existed at the beginning of the period and continue to exist at the end of the period.
(3)Impact to earnings on deals that were entered into during the reporting period and continue to exist at the end of the period.
(4)Includes any day one gain (loss) recognized during the reporting period on deals that were entered into during the reporting period which continue to exist at the end of the period, in addition to any derivative contracts acquired from entities at a value other than zero on acquisition date, such as derivatives assigned or novated during the reporting period and continuing to exist at the end of the period.
(5)Roll-off in the current period of amounts recognized in our Consolidated Balance Sheets at the end of the previous period due to settlement of the underlying instruments in the current period.
(6)Transferred out of Level 3 as a result of observable 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):
September 30, 2023
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 62  $ 23  $ 10  $ 95 
Derivative assets 620  —  —  620 
Total derivative assets 682  23  10  715 
Current derivative liabilities (943) (45) (3) (991)
Derivative liabilities (2,882) —  —  (2,882)
Total derivative liabilities (3,825) (45) (3) (3,873)
Derivative asset (liability), net $ (3,143) $ (22) $ 7  $ (3,158)
December 31, 2022
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 36  $ 84  $ —  $ 120 
Derivative assets 35  —  —  35 
Total derivative assets 71  84  —  155 
Current derivative liabilities (2,143) (130) (28) (2,301)
Derivative liabilities (7,947) —  —  (7,947)
Total derivative liabilities (10,090) (130) (28) (10,248)
Derivative liability, net $ (10,019) $ (46) $ (28) $ (10,093)
(1)Does not include collateral posted with counterparties by us of $1 million and $111 million as of September 30, 2023 and December 31, 2022, respectively, which are included in margin deposits on our Consolidated Balance Sheets, and collateral posted by counterparties to us of $1 million and zero as of September 30, 2023 and December 31, 2022, respectively, which are included in other current liabilities on our Consolidated Balance Sheets.
(2)Does not include collateral posted with counterparties by us of $72 million and $23 million, as of September 30, 2023 and December 31, 2022, respectively, which are included in margin deposits on 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 September 30, 2023
Gross assets $ 1,161  $ 23  $ 10 
Offsetting amounts (479) —  — 
Net assets (1) $ 682  $ 23  $ 10 
Gross liabilities $ (3,911) $ (51) $ (3)
Offsetting amounts 86  6  — 
Net liabilities (2) $ (3,825) $ (45) $ (3)
As of December 31, 2022
Gross assets $ 76  $ 87  $ — 
Offsetting amounts (5) (3) — 
Net assets (1) $ 71  $ 84  $ — 
Gross liabilities $ (10,436) $ (132) $ (29)
Offsetting amounts 346  2  1 
Net liabilities (2) $ (10,090) $ (130) $ (28)
(1)Includes current and non-current derivative assets of $95 million and $620 million, respectively, as of September 30, 2023 and $120 million and $35 million, respectively, as of December 31, 2022.
(2)Includes current and non-current derivative liabilities of $991 million and $2,882 million, respectively, as of September 30, 2023 and $2,301 million and $7,947 million, respectively, as of December 31, 2022.
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”):
September 30, 2023 December 31, 2022
Liquefaction Supply Derivatives (1) LNG Trading Derivatives Liquefaction Supply Derivatives LNG Trading Derivatives
Notional amount, net (in TBtu) 13,542  6  14,504  50 
(1)Excludes notional amounts associated with extension options that were uncertain to be taken as of September 30, 2023.
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 September 30, Nine Months Ended September 30,
2023 2022 2023 2022
LNG Trading Derivatives LNG revenues $ 19  $ (237) $ 34  $ (454)
LNG Trading Derivatives Recovery (cost) of sales (8) (4) (95) 103 
Liquefaction Supply Derivatives (2) LNG revenues 1  (3) (5) 8 
Liquefaction Supply Derivatives (2) Recovery (cost) of sales 1,403  (5,508) 6,900  (10,008)
(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 Liquefaction Supply Derivatives 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 Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Three Months Ended September 30, Nine Months Ended September 30,
2023 2022 2023 2022
FX Derivatives
 LNG revenues $ 13  $ 54  $ 5  $ 121