Cheniere Energy, Inc. 10-K

ITEM 7A. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK Marketing and Trading Commodity Price Risk We have entered into commodity derivatives consisting of natural gas supply contracts for the commissioning and operation of the SPL Project, the CCL Project and potential future development of Corpus Christi Stage 3 (“Liquefaction Supply Derivatives”). We have also entered into physical and financial derivatives to hedge the exposure to the commodity markets in which we have contractual arrangements to purchase or sell physical LNG (collectively, “LNG Trading Derivatives”). In order to test the sensitivity of the fair value of the Liquefaction Supply Derivatives and the LNG Trading Derivatives to changes in underlying commodity prices, management modeled a 10% change in the commodity price for natural gas for each delivery location and a 10% change in the commodity price for LNG, respectively, as follows (in millions): December 31, 2021 December 31, 2020 Fair Value Change in Fair Value Fair Value Change in Fair Value Liquefaction Supply Derivatives $ (4,038) $ 903 $ 240 $ 204 LNG Trading Derivatives (400) 38 (134) 44 50 See Note 7 —Derivative Instruments of our Notes to Consolidated Financial Statements for additional details about our derivative instruments. Interest Rate Risk We are exposed to interest rate risk primarily when we incur debt related to project financing. Interest rate risk is managed in part by replacing outstanding floating-rate debt with fixed-rate debt with varying maturities. CCH has entered into interest rate swaps to hedge the exposure to volatility in a portion of the floating-rate interest payments under the CCH Credit Facility (“CCH Interest Rate Derivatives”). In order to test the sensitivity of the fair value of the CCH Interest Rate Derivatives to changes in interest rates, management modeled a 10% change in the forward one-month LIBOR curve across the remaining terms of the CCH Interest Rate Derivatives as follows (in millions): December 31, 2021 December 31, 2020 Fair Value Change in Fair Value Fair Value Change in Fair Value CCH Interest Rate Derivatives $ (40) $ — $ (140) $ 1 See Note 7 —Derivative Instruments of our Notes to Consolidated Financial Statements for additional details about our derivative instruments. Foreign Currency Exchange Risk We have entered into foreign currency exchange (“FX”) contracts to hedge exposure to currency risk associated with operations in countries outside of the United States (“FX Derivatives”). In order to test the sensitivity of the fair value of the FX Derivatives to changes in FX rates, management modeled a 10% change in FX rate between the U.S. dollar and the applicable foreign currencies as follows (in millions): December 31, 2021 December 31, 2020 Fair Value Change in Fair Value Fair Value Change in Fair Value FX Derivatives $ 12 $ 2 $ (22) $ 2 See Note 7 —Derivative Instruments of our Notes to Consolidated Financial Statements for additional details about our derivative instruments. 51