HA Sustainable Infrastructure Capital, Inc. Quarterly report pursuant to Section 13 or 15(d)

Quarterly report pursuant to Section 13 or 15(d)

Fair Value Measurements (Tables)

Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2023

Schedule of Fair Value and Carrying Value of Financial Assets and Liabilities

The tables below illustrate the estimated fair value of our financial instruments on our balance sheet. Unless otherwise discussed below, fair values for our Level 2 and Level 3 measurements are measured using a discounted cash flow model, contractual terms and inputs which consist of base interest rates and spreads over base rates which are based upon market observation and recent comparable transactions. An increase in these inputs would result in a lower fair value and a decline would result in a higher fair value. Our senior unsecured notes and Convertible Notes are valued using a market based approach and observable prices. The receivables held-for-sale, if any, are carried at the lower of cost or fair value.


	As of September 30, 2023
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Commercial receivables	$	2,398	$	2,706	Level 3
Government receivables	85		93		Level 3
Receivables held-for-sale	18		17		Level 3
Investments (1)	9		9		Level 3
Securitization residual assets (2)	183		183		Level 3
Derivative assets	100		100		Level 2
Liabilities (3)
Credit facilities	$	487	$	487	Level 3
Commercial paper notes	50		50		Level 3
Term loans payable	573		573		Level 3
Non-recourse debt	158		170		Level 3
Senior unsecured notes	1,589		1,795		Level 2
Convertible Notes:
2028 Exchangeable Senior Notes	393		405		Level 2
2025 Exchangeable Senior Notes	193		210		Level 2
Total Convertible Notes	586		615

(1)The amortized cost of our investments as of September 30, 2023, was $12 million.

(2)Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets net of allowance for credit losses as of September 30, 2023 was $247 million.

(3)Fair value and carrying value exclude unamortized financing costs.


	As of December 31, 2022
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Commercial receivables	$	1,859	$	1,887	Level 3
Government receivables	96		103		Level 3
Receivables held-for-sale	92		85		Level 3
Investments (1)	10		10		Level 3
Securitization residual assets (2)	177		177		Level 3
Liabilities (3)
Credit facilities	$	51	$	51	Level 3
Commercial paper notes	—		—		Level 3
Term loan facility	384		384		Level 3
Non-recourse debt	402		442		Level 3
Senior unsecured notes	1,546		1,784		Level 2
Convertible Notes:
2022 Convertible Senior Notes	137		143		Level 2
2023 Convertible Senior Notes	185		206		Level 2
Total Convertible Notes	322		349

(1) The amortized cost of our investments as of December 31, 2022, was $12 million.

(2) Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of December 31, 2022, was $224 million.

(3) Fair value and carrying value exclude unamortized financing costs.

Schedule of Securitization Residual Assets

The following table reconciles the beginning and ending balances for our Level 3 securitization residual assets that are carried at fair value on a recurring basis, with changes in fair value recorded through AOCI:


	For the three months ended September 30,				For the nine months ended September 30,
	2023		2022		2023		2022
	(in millions)
Balance, beginning of period	$	204	$	178	$	177	$	210
Accretion of securitization residual assets	4		4		11		9
Additions to securitization residual assets	1		10		27		25
Collections of securitization residual assets	(3)		(2)		(13)		(10)

Unrealized gains (losses) on securitization residual assets recorded in OCI	(20)		(12)		(16)		(56)
Provision for loss on securitization residual assets	(3)		—		(3)		—
Balance, end of period	$	183	$	178	$	183	$	178

Schedule of Investments in Unrealized Loss Position

The following table illustrates our securitization residual assets in an unrealized loss position:


	Estimated Fair Value				Unrealized Losses (1)				Count of Securities
	Securities with a loss shorter than 12 months		Securities with a loss longer than 12 months		Securities with a loss shorter than 12 months		Securities with a loss longer than 12 months		Securities with a loss shorter than 12 months	Securities with a loss longer than 12 months
	(in millions)
September 30, 2023	$	30	$	143	$	3	$	66	18	67
December 31, 2022	118		51		27		22		66	12

(1) Other than the assets discussed in Note 5, loss position is due to interest rates movements and is not indicative of credit deterioration. We have the intent and ability to hold these investments until a recovery of fair value.

Schedule of Cash Deposits Subject to Credit Risk

We had cash deposits that are subject to credit risk as shown below:


	September 30, 2023		December 31, 2022
	(in millions)
Cash deposits	$	156	$	156
Restricted cash deposits (included in other assets)	14		20
Total cash deposits	$	170	$	176
Amount of cash deposits in excess of amounts federally insured	$	158	$	174

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

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