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, 2024

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 (as defined below) 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 determined on an individual asset basis.


	As of September 30, 2024
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Receivables	$	2,648	$	2,900	Level 3

Receivables held-for-sale	24		22		Level 3
Investments (1)	18		18		Level 3
Securitization residual assets (2)	258		258		Level 3
Derivative assets	10		10		Level 2
Liabilities (3)
Credit facilities	$	116	$	116	Level 3
Commercial paper notes	18		18		Level 3
Term loans payable	420		420		Level 3
Non-recourse debt	137		135		Level 3
Senior unsecured notes	2,858		2,862		Level 2
Convertible Notes:
2025 Exchangeable Senior Notes	213		217		Level 2
2028 Exchangeable Senior Notes	550		404		Level 2
Total Convertible Notes	763		621
Derivative liabilities	37		37		Level 2

(1)The amortized cost of our investments as of September 30, 2024, was $19 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, 2024 was $289 million.

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


	As of December 31, 2023
	Fair Value		Carrying Value		Level
	(in millions)
Assets
Receivables	$	2,733	$	3,074	Level 3

Receivables held-for-sale	36		35		Level 3
Investments (1)	7		7		Level 3
Securitization residual assets (2)	219		219		Level 3
Derivative assets	10		10		Level 2
Liabilities (3)
Credit facilities	$	401	$	401	Level 3
Commercial paper notes	30		30		Level 3
Term loan facilities	736		736		Level 3
Non-recourse debt	158		162		Level 3
Senior unsecured notes	2,251		2,337		Level 2
Convertible Notes:
2025 Exchangeable Senior Notes	202		211		Level 2
2028 Exchangeable Senior Notes	481		408		Level 2
Total Convertible Notes	683		619
Derivative liabilities	9		9		Level 2

(1) The amortized cost of our investments as of December 31, 2023, was $8 million.

(2) Included in securitization assets on the consolidated balance sheet. The amortized cost of our securitization residual assets as of December 31, 2023, was $258 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,
	2024		2023		2024		2023
	(in millions)
Balance, beginning of period	$	238	$	204	$	219	$	177
Accretion of securitization residual assets	5		4		13		11
Additions to securitization residual assets	3		1		32		27
Collections of securitization residual assets	(6)		(3)		(11)		(13)

Unrealized gains (losses) on securitization residual assets recorded in OCI	18		(20)		5		(16)
Provision for loss on securitization residual assets	—		(3)		—		(3)
Balance, end of period	$	258	$	183	$	258	$	183

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 Assets
	Assets with a loss shorter than 12 months		Assets with a loss longer than 12 months		Assets with a loss shorter than 12 months		Assets with a loss longer than 12 months		Assets with a loss shorter than 12 months	Assets with a loss longer than 12 months
	(in millions)
September 30, 2024	$	7	$	161	$	0.3	$	39	10	66
December 31, 2023	24		164		0.3		41		11	66

(1) Other than the assets for which there is a reserve as discussed in Note 5, loss positions are 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, 2024		December 31, 2023
	(in millions)
Cash deposits	$	44	$	63
Restricted cash deposits (included in other assets)	15		12
Total cash deposits	$	59	$	75
Amount of cash deposits in excess of amounts federally insured	$	57	$	63

- Definition

Tabular disclosure of the fair value measurement of assets using significant unobservable inputs (Level 3), a reconciliation of the beginning and ending balances, separately presenting changes during the period attributable to the following: (1) total gains or losses for the period (realized and unrealized), segregating those gains or losses included in earnings (or changes in net assets) and gains or losses recognized in other comprehensive income (loss), and a description of where those gains or losses included in earnings (or changes in net assets) are reported in the statement of income (or activities); (2) purchases, sales, issues, and settlements (each type disclosed separately); and (3) transfers in and transfers out of Level 3 (for example, transfers due to changes in the observability of significant inputs), by class of asset.

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- 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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