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, 2017

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

As of September 30, 2017
	Fair Value		Carrying Value		Level
	(dollars in millions)
Assets
Financing receivables ⁽¹⁾	$	1,044	$	1,062		Level 3
Investments ⁽²⁾		131		131		Level 3
Securitization residual assets		35		35		Level 3
Liabilities
Credit facilities	$	175	$	175		Level 3
Non-recourse debt ⁽³⁾		1,103		1,097		Level 3
Convertible notes ⁽³⁾		156		151		Level 2
Derivative liabilities		1		1		Level 2

(1)	There were no financing receivables held-for-sale as of September 30, 2017.

(2)	The amortized cost of our investments as of September 30, 2017 was $131 million.

(3)	Fair value and carrying value excludes unamortized debt issuance costs.


	As of December 31, 2016
	Fair Value		Carrying Value		Level
	(dollars in millions)
Assets
Financing receivables ⁽¹⁾	$	1,017	$	1,042		Level 3
Investments ⁽²⁾		58		58		Level 3
Securitization residual assets		19		19		Level 3
Derivative assets		1		1		Level 2
Liabilities
Credit facilities	$	283	$	283		Level 3
Non-recourse debt ⁽³⁾		718		709		Level 3

(1)	There were no financing receivables held-for-sale as of December 31, 2016.

(2)	The amortized cost of our investments as of December 31, 2016 was $61 million.

(3)	Fair value and carrying value excludes unamortized debt issuance costs.

Schedule of Reconciliation of Level 3 Investments Securities

The following table reconciles the beginning and ending balances for our Level 3 investments that are carried at fair value on a recurring basis:


	For the three months ended September 30,				For the nine months ended September 30,
	2017		2016		2017			2016
	(dollars in millions)
Balance, beginning of period	$	126	$	48	$	58		$	29
Purchases of investments		5		2		71			34
Payments on investments		—		—		(1	)		(1	)
Sale of investments		—		—		—			(14	)
Realized gains on investments recorded in earnings		—		—		—			1
Unrealized gains (losses) on investments recorded in OCI ⁽¹⁾		—		—		3			1

Balance, end of period	$	131	$	50	$	131		$	50

(1)

As of September 30, 2017 and December 31, 2016, approximately $10 million of investment grade rated debt was held for more than 12 months in an unrealized loss position of approximately $1 million due to interest rate movements. We have the intent and the ability to hold this investment until a recovery of amortized cost. As of September 30, 2017 and December 31, 2016, we held no other securities in an unrealized loss position for over 12 months.

Schedule of Cash Deposits Subject to Credit Risk

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


	September 30, 2017		December 31, 2016
	(dollars in millions)
Cash deposits	$	91	$	29
Restricted cash deposits (included in other assets)		68		30

Total cash deposits	$	159	$	59

Amount of cash deposits in excess of amounts federally insured	$	157	$	57

- 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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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) the reasons for electing a fair value option for each eligible item or group of similar eligible items and (b) if the fair value option is elected for some but not all eligible items within a group of similar eligible items: (i) a description of those similar items and the reasons for partial election and (ii) information of how the group of similar items relates to individual balance sheet line items; (c) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, information of how each line item in the statement of financial position relates to major categories of assets and liabilities presented in accordance with other fair value disclosures; (2) for items included in the income statement: (a) a description of how interest and dividends are measured and where they are reported in the income statement; (b) how the gains or losses attributable to changes in instrument-specific credit risk were determined; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk: (i) qualitative information about the reasons for the changes and (ii) how the gains and losses attributable to changes in instrument-specific credit risk were determined; and (3) certain other disclosures as required or determined to be provided.

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