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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2019
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 September 30, 2019 and December 31, 2018, which are classified as derivative assets, non-current derivative assets, derivative liabilities or non-current derivative liabilities in our Consolidated Balance Sheets (in millions):
 
Fair Value Measurements as of
 
September 30, 2019
 
December 31, 2018
 
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 asset (liability)
$
—

 
$
(104
)
 
$
—

 
$
(104
)
 
$
—

 
$
18

 
$
—

 
$
18

CCH Interest Rate Forward Start Derivatives liability
—

 
(68
)
 
—

 
(68
)
 
—

 
—

 
—

 
—

Liquefaction Supply Derivatives asset (liability)
(11
)
 
(10
)
 
(31
)
 
(52
)
 
6

 
(19
)
 
(29
)
 
(42
)
LNG Trading Derivatives asset (liability)
(8
)
 
32

 
—

 
24

 
1

 
(25
)
 
—

 
(24
)
FX Derivatives asset
—

 
37

 
—

 
37

 
—

 
15

 
—

 
15
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 September 30, 2019:
 
 
Net Fair Value Liability
(in millions)
 
Valuation Approach
 
Significant Unobservable Input
 
Significant Unobservable Inputs Range
Physical Liquefaction Supply Derivatives
 
$(31)
 
Market approach incorporating present value techniques
 
Henry Hub basis spread
 
$(0.708) - $0.056
 
 
 
 
Option pricing model
 
International LNG pricing spread, relative to Henry Hub (1)
 
105% - 199%

 
(1)    Spread contemplates U.S. dollar-denominated pricing.
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table shows the changes in the fair value of our Level 3 Physical Liquefaction Supply Derivatives during the three and nine months ended September 30, 2019 and 2018 (in millions):
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
Balance, beginning of period
 
$
89

 
$
12

 
$
(29
)
 
$
43

Realized and mark-to-market gains (losses):
 
 
 
 
 
 
 
 
Included in cost of sales
 
(137
)
 
5

 
(139
)
 
(4
)
Purchases and settlements:
 
 
 
 
 
 
 
 
Purchases
 
17

 
9

 
93

 
14

Settlements
 
—

 
1

 
44

 
(27
)
Transfers out of Level 3 (1)
 
—

 
(1
)
 
—

 
—

Balance, end of period
 
$
(31
)
 
$
26

 
$
(31
)
 
$
26

Change in unrealized gains (losses) relating to instruments still held at end of period
 
$
(137
)
 
$
5

 
$
(139
)
 
$
(4
)
 
(1)    Transferred to Level 2 as a result of observable market for the underlying natural gas purchase agreements.
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):
 
 
Gross Amounts Recognized
 
Gross Amounts Offset in the Consolidated Balance Sheets
 
Net Amounts Presented in the Consolidated Balance Sheets
Offsetting Derivative Assets (Liabilities)
 
 
 
As of September 30, 2019
 
 
 
 
 
 
CCH Interest Rate Derivatives
 
$
(104
)
 
$
—

 
$
(104
)
CCH Interest Rate Forward Start Derivatives
 
(68
)
 
—

 
(68
)
Liquefaction Supply Derivatives
 
175

 
(28
)
 
147

Liquefaction Supply Derivatives
 
(208
)
 
9

 
(199
)
LNG Trading Derivatives
 
84

 
(5
)
 
79

LNG Trading Derivatives
 
(56
)
 
1

 
(55
)
FX Derivatives
 
45

 
(8
)
 
37

As of December 31, 2018
 
 
 
 
 


CCH Interest Rate Derivatives
 
$
19

 
$
(1
)
 
$
18

Liquefaction Supply Derivatives
 
95

 
(36
)
 
59

Liquefaction Supply Derivatives
 
(121
)
 
20

 
(101
)
LNG Trading Derivatives
 
112

 
(88
)
 
24

LNG Trading Derivatives
 
(92
)
 
44

 
(48
)
FX Derivatives
 
30

 
(14
)
 
16

FX Derivatives
 
(2
)
 
1

 
(1
)
Interest Rate Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions
As of September 30, 2019, we had the following Interest Rate Derivatives outstanding:
 
 
Initial Notional Amount
 
Maximum Notional Amount
 
Effective Date
 
Maturity Date
 
Weighted Average Fixed Interest Rate Paid
 
Variable Interest Rate Received
CCH Interest Rate Derivatives
 
$29 million
 
$4.7 billion
 
May 20, 2015
 
May 31, 2022
 
2.30%
 
One-month LIBOR
CCH Interest Rate Forward Start Derivatives
 
$1.5 billion
 
$1.5 billion
 
June 30, 2020
 
December 31, 2030
 
2.08%
 
Three-month LIBOR
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of the Interest Rate Derivatives on our Consolidated Balance Sheets (in millions):
 
September 30, 2019
 
December 31, 2018
 
CCH Interest Rate Derivatives
 
CCH Interest Rate Forward Start Derivatives
 
Total
 
CCH Interest Rate Derivatives
 
CCH Interest Rate Forward Start Derivatives
 
Total
Consolidated Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
—

 
$
—

 
$
—

 
$
10

 
$
—

 
$
10

Non-current derivative assets
—

 
—

 
—

 
8

 
—

 
8

Total derivative assets
—


—


—


18


—


18

 
 
 
 
 


 
 
 
 
 


Derivative liabilities
(30
)
 
(46
)
 
(76
)
 
—

 
—

 
—

Non-current derivative liabilities
(74
)
 
(22
)
 
(96
)
 
—

 
—

 
—

Total derivative liabilities
(104
)

(68
)

(172
)

—


—


—

 
 
 
 
 


 
 
 
 
 


Derivative asset (liability), net
$
(104
)

$
(68
)

$
(172
)

$
18


$
—


$
18
Derivative Instruments, Gain (Loss)
The following table 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, 2019 and 2018 (in millions):
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
CCH Interest Rate Derivatives gain (loss)
 
$
(17
)
 
$
21

 
$
(119
)
 
$
119

CCH Interest Rate Forward Start Derivatives loss
 
(61
)
 
—

 
(68
)
 
—

CQP Interest Rate Derivatives gain
 
—

 
2

 
—

 
13
Commodity Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of our Liquefaction Supply Derivatives and LNG Trading Derivatives (collectively, “Commodity Derivatives”) on our Consolidated Balance Sheets (in millions, except notional amount):
 
September 30, 2019
 
December 31, 2018
 
Liquefaction Supply Derivatives (1)
 
LNG Trading Derivatives (2)
 
Total
 
Liquefaction Supply Derivatives (1)
 
LNG Trading Derivatives (2)
 
Total
Consolidated Balance Sheet Location
 
 
 
 
 
 
 
 
 
 
 
Derivative assets
$
27

 
$
78

 
$
105

 
$
13

 
$
24

 
$
37

Non-current derivative assets
120

 
1

 
121

 
46

 
—

 
46

Total derivative assets
147

 
79

 
226

 
59

 
24

 
83

 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities
(52
)
 
(53
)
 
(105
)
 
(79
)
 
(48
)
 
(127
)
Non-current derivative liabilities
(147
)
 
(2
)
 
(149
)
 
(22
)
 
—

 
(22
)
Total derivative liabilities
(199
)
 
(55
)
 
(254
)
 
(101
)
 
(48
)
 
(149
)
 
 
 
 
 
 
 
 
 
 
 
 
Derivative asset (liability), net
$
(52
)
 
$
24

 
$
(28
)
 
$
(42
)
 
$
(24
)
 
$
(66
)
 
 
 
 
 
 
 
 
 
 
 
 
Notional amount, net (in TBtu) (3)
9,455

 
25

 
 
 
5,832

 
12

 
 

 
    
(1)
Does not include collateral calls of $20 million and $5 million for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2019 and December 31, 2018, respectively. Includes derivative assets of $0.1 million and $2 million and non-current assets of $1 million and $3 million as of September 30, 2019 and December 31, 2018, respectively, for a natural gas supply contract CCL has with a related party.
(2)
Does not include collateral of $20 million and $9 million deposited for such contracts, which are included in other current assets in our Consolidated Balance Sheets as of September 30, 2019 and December 31, 2018, respectively.
(3)
SPL had secured up to approximately 4,108 TBtu and 3,464 TBtu as of September 30, 2019 and December 31, 2018, respectively. CCL had secured up to approximately 3,065 TBtu and 2,801 TBtu of natural gas feedstock through natural gas supply contracts as of September 30, 2019 and December 31, 2018, respectively, of which 122 TBtu and 55 TBtu, respectively, were for a natural gas supply contract CCL has with a related party. CCL Stage III had secured up to approximately 2,361 TBtu of natural gas feedstock through natural gas supply contracts as of September 30, 2019.
Derivative Instruments, Gain (Loss)
The following table 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, 2019 and 2018 (in millions):
 
Consolidated Statements of Operations Location (1)
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
LNG Trading Derivatives gain (loss)
LNG revenues
 
$
22

 
$
(58
)
 
$
180

 
$
(128
)
LNG Trading Derivatives loss
Cost of sales
 
(17
)
 
—

 
(68
)
 
—

Liquefaction Supply Derivatives gain (2)
LNG revenues
 
—

 
—

 
1

 
—

Liquefaction Supply Derivatives gain (loss) (2)(3)
Cost of sales
 
(139
)
 
21

 
—

 
(32
)
 
(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.
(3)
Includes $23 million and $59 million that CCL recorded in cost of sales under a natural gas supply contract with a related party during the three and nine months ended September 30, 2019, respectively. Of this amount, $1 million was included in accrued liabilities as of September 30, 2019. CCL did not have any transactions during the three and nine months ended September 30, 2018 under this contract.
FX Derivatives [Member]  
Derivative Instruments and Hedging Activities Disclosures [Line Items]  
Fair Value of Derivative Instruments by Balance Sheet Location
The following table shows the fair value and location of our FX Derivatives on our Consolidated Balance Sheets (in millions):
 
 
 
Fair Value Measurements as of
 
Consolidated Balance Sheet Location
 
September 30, 2019
 
December 31, 2018
FX Derivatives
Derivative assets
 
$
35

 
$
16

FX Derivatives
Non-current derivative assets
 
2

 
—

FX Derivatives
Derivative liabilities
 
—

 
(1
)
Derivative Instruments, Gain (Loss)
The following table shows the changes in the fair value, settlements and location of our FX Derivatives recorded on our Consolidated Statements of Operations during the three and nine months ended September 30, 2019 and 2018 (in millions):
 
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
Consolidated Statements of Operations Location
 
2019
 
2018
 
2019
 
2018
FX Derivatives gain
LNG revenues
 
$
43

 
$
1

 
$
52

 
$
11