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, 2021

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 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 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, 2021
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Government receivables	$	139	$	126	Level 3
Commercial receivables	1,397		1,225		Level 3

Investments (1)	18		18		Level 3
Securitization residual assets (2)	198		198		Level 3

Liabilities (3)
Credit facilities	$	25	$	25	Level 3
Non-recourse debt	487		449		Level 3
Senior unsecured notes	1,838		1,793		Level 2
Convertible notes	203		158		Level 2

(1)The amortized cost of our investments as of September 30, 2021, was $17 million.

(2)Included in securitization assets on the consolidated balance sheet. This amount excludes securitization servicing assets, which are carried at amortized cost. The amortized cost of our securitization assets as of September 30, 2021 was $184 million.

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


	As of December 31, 2020
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Government receivables	$	282	$	248	Level 3
Commercial receivables	1,018		965		Level 3

Investments (1)	55		55		Level 3
Securitization residual assets (2)	159		159		Level 3
Liabilities (3)
Credit facilities	$	23	$	23	Level 3
Non-recourse debt	678		605		Level 3
Senior unsecured notes	1,362		1,299		Level 2
Convertible notes	552		296		Level 2

(1) The amortized cost of our investments as of December 31, 2020, was $51 million.

(2) Included in securitization assets on the consolidated balance sheet. This amount excludes securitization servicing assets, which are carried at amortized cost. The amortized cost of our securitization assets as of December 31, 2020 was $141 million.

(3) Fair value and carrying value exclude unamortized financing 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,
	2021		2020		2021		2020
	(in millions)
Balance, beginning of period	$	18	$	46	$	55	$	75
Purchases of investments	—		5		5		23
Principal payments on investments	—		—		—		(2)
Sale of investments	—		—		(38)		(53)
Realized gains on investments recorded in gain on sale of receivables and investments	—		—		—		5
Unrealized gains (losses) on investments recorded in OCI	—		1		(4)		4
Balance, end of period	$	18	$	52	$	18	$	52

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:


	For the three months ended September 30,				For the nine months ended September 30,
	2021		2020		2021		2020
	(in millions)
Balance, beginning of period	$	188	$	135	$	159	$	122
Accretion of securitization residual assets	2		2		6		4
Additions to securitization residual assets	11		9		45		36
Collections of securitization residual assets	(2)		(4)		(8)		(9)
Sales of securitization residual assets	—		—		—		(21)
Unrealized gains (losses) on securitization residual assets recorded in OCI	(1)		—		(4)		10
Balance, end of period	$	198	$	142	$	198	$	142

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)
September 30, 2021	$	7	$	—	$	0.2	$	—
December 31, 2020	—		6		—		0.3

(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:


	September 30, 2021		December 31, 2020
	(in millions)
Cash deposits	$	413	$	286
Restricted cash deposits (included in other assets)	26		24
Total cash deposits	$	439	$	310
Amount of cash deposits in excess of amounts federally insured	$	437	$	309

- 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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