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, 2022

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 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, 2022
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Commercial receivables	$	1,526	$	1,511	Level 3
Government receivables	93		103		Level 3
Receivables held-for-sale	21		17		Level 3
Investments (1)	11		11		Level 3
Securitization residual assets (2)	178		178		Level 3

Liabilities (3)
Credit facilities	$	101	$	101	Level 3
Commercial paper notes	100		100		Level 3
Non-recourse debt	370		418		Level 3
Senior unsecured notes	1,479		1,795		Level 2
Convertible Notes:
2023 Convertible Senior Notes	132		144		Level 2
2025 Exchangeable Senior Notes	177		203		Level 2
Total Convertible Notes	309		347

(1)The amortized cost of our investments as of September 30, 2022, was $12 million.

(2)Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of September 30, 2022 was $218 million.

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


	As of December 31, 2021
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Commercial receivables	$	1,433	$	1,299	Level 3
Government receivables	137		125		Level 3
Receivables held-for-sale	32		22		Level 3
Investments (1)	18		18		Level 3
Securitization residual assets (2)	210		210		Level 3
Liabilities (3)
Credit facilities	$	100	$	100	Level 3
Commercial paper notes	50		50		Level 3
Non-recourse debt	476		440		Level 3
Senior unsecured notes	1,823		1,784		Level 2
Convertible Notes:
2022 Convertible Senior Notes	16		8		Level 2
2023 Convertible Senior Notes	170		144		Level 2
Total Convertible Notes	186		152

(1) The amortized cost of our investments as of December 31, 2021, was $17 million.

(2) Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of December 31, 2021 was $194 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,
	2022		2021		2022		2021
	(in millions)
Balance, beginning of period	$	12	$	18	$	18	$	55
Purchases of investments	—		—		2		5

Sale of investments	—		—		(7)		(38)

Unrealized gains (losses) on investments recorded in OCI	(1)		—		(2)		(4)
Balance, end of period	$	11	$	18	$	11	$	18

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, 2022	$	5	$	6	$	0.6	$	0.9
December 31, 2021	7		—		0.1		—

(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 Reconciles Beginning and Ending Balances Level 3 Residual Assets Fair Value Recurring Basis

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,
	2022		2021		2022		2021
	(in millions)
Balance, beginning of period	$	178	$	188	$	210	$	159
Accretion of securitization residual assets	4		2		9		6
Additions to securitization residual assets	10		11		25		45
Collections of securitization residual assets	(2)		(2)		(10)		(8)

Unrealized gains (losses) on securitization residual assets recorded in OCI	(12)		(1)		(56)		(4)
Balance, end of period	$	178	$	198	$	178	$	198

Schedule of Cash Deposits Subject to Credit Risk

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


	September 30, 2022		December 31, 2021
	(in millions)
Cash deposits	$	273	$	226
Restricted cash deposits (included in other assets)	25		25
Total cash deposits	$	298	$	251
Amount of cash deposits in excess of amounts federally insured	$	296	$	249

- 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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