Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments (Tables)

v3.24.3
Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2024
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, distinguished by the fair value hierarchy levels prescribed by GAAP (in millions):
Fair Value Measurements as of
September 30, 2024 December 31, 2023
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)
 $ (2) $ 2  $ (1,268) $ (1,268) $ 25  $ 36  $ (2,178) $ (2,117)
LNG Trading Derivatives asset (liability)
 (4) 13  —  9  30  (20) —  10 
FX Derivatives liability
 —  (4) —  (4) —  (17) —  (17)
Fair Value Measurement Inputs and Valuation Techniques The following table includes quantitative information for the unobservable inputs for the Level 3 Liquefaction Supply Derivatives as of September 30, 2024:
Net Fair Value Liability
(in millions)
 Valuation Approach Significant Unobservable Input Range of Significant Unobservable Inputs / Weighted Average (1)
Liquefaction Supply Derivatives $(1,268) Market approach incorporating present value techniques
Henry Hub basis spread
$(1.230) - $0.481 / $(0.117)
Option pricing model
International LNG pricing spread, relative to Henry Hub (2)
70% - 411% / 186%
(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 the Level 3 Liquefaction Supply Derivatives (in millions):
Three Months Ended September 30, Nine Months Ended September 30,
2024
2023
 2024
2023
Balance, beginning of period $ (1,729) $ (4,611) $ (2,178) $ (9,924)
Realized and change in fair value gains (losses) included in net income (1):
Included in cost of sales, existing deals (2) 256  1,197  470  5,350 
Included in cost of sales, new deals (3) (4) 8  11  26 
Purchases and settlements:
Purchases (4) —  —  —  — 
Settlements (5) 204  187  426  1,323 
Transfers out of level 3 (6) 5  3  3  9 
Balance, end of period $ (1,268) $ (3,216) $ (1,268) $ (3,216)
Favorable changes in fair value relating to instruments still held at the end of the period
 $ 252  $ 1,205  $ 481  $ 5,376 
(1)Does not include the realized value associated with derivative instruments that settle through physical delivery, as settlement is equal to the 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.
(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, 2024
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 62  $ 32  $ —  $ 94 
Derivative assets 1,661  —  —  1,661 
Total derivative assets 1,723  32  —  1,755 
Current derivative liabilities (774) (23) (4) (801)
Derivative liabilities (2,217) —  —  (2,217)
Total derivative liabilities (2,991) (23) (4) (3,018)
Derivative asset (liability), net $ (1,268) $ 9  $ (4) $ (1,263)
December 31, 2023
Liquefaction Supply Derivatives (1)
LNG Trading Derivatives (2)
FX Derivatives
 Total
Consolidated Balance Sheets Location
Current derivative assets $ 49  $ 92  $ —  $ 141 
Derivative assets 863  —  —  863 
Total derivative assets 912  92  —  1,004 
Current derivative liabilities (651) (82) (17) (750)
Derivative liabilities (2,378) —  —  (2,378)
Total derivative liabilities (3,029) (82) (17) (3,128)
Derivative asset (liability), net $ (2,117) $ 10  $ (17) $ (2,124)
(1)Does not include collateral posted with counterparties by us of $28 million and $3 million as of September 30, 2024 and December 31, 2023, respectively, which is included in margin deposits on our Consolidated Balance Sheets, and collateral posted by counterparties to us of zero and $4 million as of September 30, 2024 and December 31, 2023, respectively, which is included in other current liabilities on our Consolidated Balance Sheets.
(2)Does not include collateral posted with counterparties by us of $74 million and $15 million, as of September 30, 2024 and December 31, 2023, respectively, which is included in margin deposits on our Consolidated Balance Sheets, and collateral posted by counterparties to us of zero and $3 million as of September 30, 2024 and December 31, 2023, respectively, which is included in other current liabilities 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, 2024
Gross assets $ 2,881  $ 54  $ 1 
Offsetting amounts (1,158) (22) (1)
Net assets (1) $ 1,723  $ 32  $ — 
Gross liabilities $ (3,012) $ (35) $ (7)
Offsetting amounts 21  12  3 
Net liabilities (2) $ (2,991) $ (23) $ (4)
As of December 31, 2023
Gross assets $ 1,272  $ 94  $ — 
Offsetting amounts (360) (2) — 
Net assets (1) $ 912  $ 92  $ — 
Gross liabilities $ (3,095) $ (110) $ (17)
Offsetting amounts 66  28  — 
Net liabilities (2) $ (3,029) $ (82) $ (17)
(1)Includes current and non-current derivative assets of $94 million and $1,661 million, respectively, as of September 30, 2024 and $141 million and $863 million, respectively, as of December 31, 2023.
(2)Includes current and non-current derivative liabilities of $801 million and $2,217 million, respectively, as of September 30, 2024 and $750 million and $2,378 million, respectively, as of December 31, 2023.
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 Commodity Derivatives:
September 30, 2024 December 31, 2023
Liquefaction Supply Derivatives (1) LNG Trading Derivatives Liquefaction Supply Derivatives (1) LNG Trading Derivatives
Notional amount, net (in TBtu) 13,025  25  14,019  49 
(1)Inclusive of amounts under contracts with unsatisfied contractual conditions and exclusive of extension options that were uncertain to be taken as of both September 30, 2024 and December 31, 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,
2024 2023 2024 2023
LNG Trading Derivatives LNG revenues $ (3) $ 19  $ 14  $ 34 
LNG Trading Derivatives Recovery (cost) of sales (7) (8) (27) (95)
Liquefaction Supply Derivatives (2) LNG revenues (2) 1  —  (5)
Liquefaction Supply Derivatives (2) Recovery (cost) of sales 490  1,403  869  6,900 
(1)Fair value fluctuations associated with activities of our Commodity Derivatives 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 the 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 (Loss) Recognized in Consolidated Statements of Operations
Consolidated Statements of Operations Location Three Months Ended September 30, Nine Months Ended September 30,
2024 2023 2024 2023
FX Derivatives
 LNG revenues $ (10) $ 13  $ 5  $ 5