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)

6 Months Ended

Jun. 30, 2018

Summary 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 value for our Level 2 and Level 3 measurements is 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 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 June 30, 2018
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Government receivables	$	494	$	512	Level 3
Commercial receivables	447		468		Level 3
Receivables held-for-sale	18		18		Level 3
Investments ⁽¹⁾	154		154		Level 3
Securitization residual assets ⁽²⁾	62		62		Level 3
Derivative assets	8		8		Level 2
Liabilities
Credit facility	$	103	$	103	Level 3
Non-recourse debt ⁽³⁾	1,202		1,223		Level 3
Convertible notes ⁽³⁾	146		152		Level 2


(1)	The amortized cost of our investments as of June 30, 2018 was $159 million.


(2)	Included in other assets on the consolidated balance sheet.


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



	As of December 31, 2017
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Government receivables	$	519	$	519	Level 3
Commercial receivables	464		473		Level 3
Receivables held-for-sale	20		19		Level 3
Investments ⁽¹⁾	151		151		Level 3
Securitization residual assets ⁽²⁾	45		45		Level 3
Liabilities
Credit facility	$	70	$	70	Level 3
Non-recourse debt ⁽³⁾	1,239		1,238		Level 3
Convertible notes ⁽³⁾	156		152		Level 2

(1) The amortized cost of our investments as of December 31, 2017 was $153 million.

(2) Included in other assets on the consolidated balance sheet.

(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 June 30,						For the six months ended June 30,
	2018			2017			2018			2017
	(in millions)
Balance, beginning of period	$	152		$	125		$	151		$	58
Purchases of investments	3			1			6			67
Payments on investments	(1		)	(1		)	(1		)	(1		)
Unrealized gains (losses) on investments recorded in AOCI	—			1			(2		)	2
Balance, end of period	$	154		$	126		$	154		$	126

Schedule of Investments in Unrealized Loss Position

The following table illustrates our investments in an unrealized loss position:



	Estimated Fair Value				Unrealized Losses ⁽¹⁾
	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)
June 30, 2018	$	105	$	44	$	3	$	2
December 31, 2017	26		46		1		2

(1) Loss position is due to interest rates movements. 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:



	June 30, 2018		December 31, 2017
	(in millions)
Cash deposits	$	42	$	57
Restricted cash deposits (included in other assets)	68		61
Total cash deposits	$	110	$	118
Amount of cash deposits in excess of amounts federally insured	$	109	$	116

- 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.

+ References + Details