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Fair Value (Tables)

3 Months Ended

Mar. 31, 2021

Fair value hierarchy for recurring measurements table

The following table presents, by level within the fair value hierarchy, the Company’s financial assets and liabilities that were measured at fair value on a recurring basis as of the dates indicated (in millions). For the Company’s investments in marketable debt securities, the security classes presented were determined based on the nature and risk of the security and are consistent with how the Company manages, monitors, and measures its marketable securities:


	March 31, 2021								December 31, 2020
	Level 1		Level 2		Level 3		Total		Level 1		Level 2		Level 3		Total
Assets
DEBT SECURITIES:
Available-for-sale:
Unsecured debentures	$	—	$	—	$	—	$	—	$	—	$	21	$	—	$	21
Certificates of deposit	—		151		—		151		—		238		—		238

Total debt securities	—		151		—		151		—		259		—		259
EQUITY SECURITIES:
Mutual funds	29		15		—		44		28		51		—		79

Total equity securities	29		15		—		44		28		51		—		79
DERIVATIVES:
Interest rate derivatives	—		87		1		88		—		13		—		13
Cross-currency derivatives	—		7		5		12		—		5		—		5
Foreign currency derivatives	—		21		98		119		—		15		146		161
Commodity derivatives	—		28		1		29		—		8		2		10
Total derivatives — assets	—		143		105		248		—		41		148		189
TOTAL ASSETS	$	29	$	309	$	105	$	443	$	28	$	351	$	148	$	527
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	173	$	167	$	340	$	—	$	374	$	236	$	610
Cross-currency derivatives	—		2		8		10		—		2		2		4
Foreign currency derivatives	—		23		—		23		—		43		—		43
Commodity derivatives	—		82		—		82		—		22		—		22
Total derivatives — liabilities	—		280		175		455		—		441		238		679
TOTAL LIABILITIES	$	—	$	280	$	175	$	455	$	—	$	441	$	238	$	679

Marketable Securities [Table Text Block]

The following table presents gross proceeds from the sale of available-for-sale securities during the periods indicated (in millions):


	Three Months Ended March 31,
		2021		2020
Gross proceeds from sale of available-for-sale securities		$	245	$	258

Fair Value, Net Derivative Assets (Liabilities) measured on a recurring basis, Unobservable Input Reconciliation Table

The following tables present a reconciliation of net derivative assets and liabilities measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2021 and 2020 (presented net by type of derivative in millions). Transfers between Level 3 and Level 2 principally result from changes in the significance of unobservable inputs used to calculate the credit valuation adjustment.


Three Months Ended March 31, 2021	Interest Rate		Cross Currency		Foreign Currency		Commodity		Total
Balance at January 1	$	(236)	$	(2)	$	146	$	2	$	(90)
Total realized and unrealized gains (losses):
Included in earnings	2		(1)		(29)		—		(28)
Included in other comprehensive income — derivative activity	37		—		(10)		—		27


Settlements	12		—		(9)		(1)		2

Transfers of (assets)/liabilities, net out of Level 3	19		—		—		—		19
Balance at March 31	$	(166)	$	(3)	$	98	$	1	$	(70)
Total gains for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	2	$	—	$	(39)	$	—	$	(37)


Three Months Ended March 31, 2020	Interest Rate		Cross Currency		Foreign Currency		Commodity		Total
Balance at January 1	$	(184)	$	(11)	$	94	$	(1)	$	(102)
Total realized and unrealized gains (losses):
Included in earnings	2		—		12		1		15
Included in other comprehensive income — derivative activity	(53)		(18)		7		—		(64)


Settlements	1		—		(14)		—		(13)
Transfers of assets (liabilities), net into Level 3	(35)		—		—		—		(35)

Balance at March 31	$	(269)	$	(29)	$	99	$	—	$	(199)
Total gains for the period included in earnings attributable to the change in unrealized gains (losses) relating to assets and liabilities held at the end of the period	$	—	$	—	$	4	$	1	$	5

Derivative Assets, Significant unobservable inputs

The following table summarizes the significant unobservable inputs used for Level 3 derivative assets (liabilities) as of March 31, 2021 (in millions, except range amounts):


Type of Derivative	Fair Value		Unobservable Input	Amount or Range (Weighted Average)
Interest rate	$	(166)	Subsidiaries’ credit spreads	0.6% - 3.3% (3.3%)
Cross-currency	(3)		Subsidiaries’ credit spreads	3.6	%
Foreign currency:
Argentine peso	98		Argentine peso to U.S. dollar currency exchange rate after one year	93 - 640 (286)

Commodity:
Other	1
Total	$	(70)

The following table summarizes the significant unobservable inputs used in the Level 3 measurement of long-lived assets held and used measured on a nonrecurring basis during the three months ended March 31, 2021 (in millions, except range amounts):

Fair Value

Valuation Technique

Unobservable Input

Range (Weighted Average)

Long-lived assets held and used:

Puerto Rico

Discounted cash flow

Annual revenue growth

(80)% to 8%

Annual variable margin

37% to 97%

Weighted-average cost of capital

18.2%

Total

Fair value hierarchy for nonrecurring measurements table

The following table summarizes our major categories of assets measured at fair value on a nonrecurring basis and their level within the fair value hierarchy (in millions):


	Measurement Date	Carrying Amount		Fair Value						Pre-tax Loss
Three Months Ended March 31, 2021				Level 1		Level 2		Level 3





Long-lived assets held and used
Puerto Rico	03/31/2021	$	548	$	—	$	—	$	73	$	475


	Measurement Date	Carrying Amount (1)		Fair Value						Pre-tax Loss
Three Months Ended March 31, 2020				Level 1		Level 2		Level 3




Equity method investments:
OPGC	3/31/2020	$	195	$	—	$	—	$	152	$	43

_____________________________

(1)Represents the carrying values at the dates of measurement, before fair value adjustment and excluding $115 million of cumulative translation adjustment balance.

Financial instruments not measured at fair value in the condensed consolidated balance sheets

The following table presents (in millions) the carrying amount, fair value, and fair value hierarchy of the Company’s financial assets and liabilities that are not measured at fair value in the Condensed Consolidated Balance Sheets as of the periods indicated, but for which fair value is disclosed:


		March 31, 2021
		Carrying Amount		Fair Value
				Total		Level 1		Level 2		Level 3
Assets:	Accounts receivable — noncurrent (1)	$	100	$	187	$	—	$	—	$	187
Liabilities:	Non-recourse debt	16,429		17,783		4		14,790		2,989
	Recourse debt	3,365		3,438		—		3,438		—


		December 31, 2020
		Carrying Amount		Fair Value
				Total		Level 1		Level 2		Level 3
Assets:	Accounts receivable — noncurrent (1)	$	97	$	197	$	—	$	—	$	197
Liabilities:	Non-recourse debt	16,354		18,403		5		15,301		3,097
	Recourse debt	3,446		3,677		—		3,677		—

_____________________________

(1)These amounts primarily relate to amounts due from CAMMESA, the administrator of the wholesale electricity market in Argentina, and amounts impacted by the Stabilization Fund enacted by the Chilean government, and are included in Other noncurrent assets in the accompanying Condensed Consolidated Balance Sheets. The fair value and carrying amount of these receivables exclude VAT of $3 million and $4 million as of March 31, 2021 and December 31, 2020, respectively.