Fair Value (Tables)

9 Months Ended

Sep. 30, 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:


	September 30, 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	—		137		—		137		—		238		—		238

Total debt securities	—		137		—		137		—		259		—		259
EQUITY SECURITIES:
Mutual funds	30		12		—		42		28		51		—		79

Total equity securities	30		12		—		42		28		51		—		79
DERIVATIVES:
Interest rate derivatives	—		53		1		54		—		13		—		13
Cross-currency derivatives	—		—		3		3		—		5		—		5
Foreign currency derivatives	—		19		117		136		—		15		146		161
Commodity derivatives	—		68		3		71		—		8		2		10
Total derivatives — assets	—		140		124		264		—		41		148		189
TOTAL ASSETS	$	30	$	289	$	124	$	443	$	28	$	351	$	148	$	527
Liabilities
DERIVATIVES:
Interest rate derivatives	$	—	$	362	$	91	$	453	$	—	$	374	$	236	$	610
Cross-currency derivatives	—		—		13		13		—		2		2		4
Foreign currency derivatives	—		32		—		32		—		43		—		43
Commodity derivatives	—		58		5		63		—		22		—		22
Total derivatives — liabilities	—		452		109		561		—		441		238		679
TOTAL LIABILITIES	$	—	$	452	$	109	$	561	$	—	$	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 September 30,				Nine Months Ended September 30,
	2021		2020		2021		2020
Gross proceeds from sale of available-for-sale securities	$	207	$	97	$	507	$	410

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 and nine months ended September 30, 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 September 30, 2021	Interest Rate		Cross Currency		Foreign Currency		Commodity		Total
Balance at July 1	$	(192)	$	(32)	$	97	$	15	$	(112)
Total realized and unrealized gains (losses):
Included in earnings	12		20		22		(1)		53
Included in other comprehensive income — derivative activity	(14)		—		7		(15)		(22)
Included in other comprehensive income — foreign currency translation activity	—		2		—		—		2
Included in regulatory (assets) liabilities	—		—		—		(2)		(2)
Settlements	12		—		(9)		1		4
Transfers of assets (liabilities), net into Level 3	(4)		—		—		—		(4)
Transfers of (assets)/liabilities, net out of Level 3	96		—		—		—		96
Balance at September 30	$	(90)	$	(10)	$	117	$	(2)	$	15
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	$	15	$	(1)	$	18

Three Months Ended September 30, 2020	Interest Rate		Cross Currency		Foreign Currency		Commodity		Total
Balance at July 1	$	(286)	$	(23)	$	76	$	1	$	(232)
Total realized and unrealized gains (losses):
Included in earnings	—		—		8		1		9
Included in other comprehensive income — derivative activity	(8)		3		3		—		(2)

Included in regulatory (assets) liabilities	—		—		—		(1)		(1)
Settlements	12		9		(9)		1		13
Transfers of assets (liabilities), net into Level 3	—		—		—		—		—
Transfers of (assets)/liabilities, net out of Level 3	13		—		1		—		14
Balance at September 30	$	(269)	$	(11)	$	79	$	2	$	(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	$	—	$	—	$	—	$	1	$	1


Nine Months Ended September 30, 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	13		(13)		(1)		(1)		(2)
Included in other comprehensive income — derivative activity	6		—		(1)		(3)		2
Included in other comprehensive income — foreign currency translation activity	—		4		—		—		4
Included in regulatory (assets) liabilities	—		—		—		1		1
Settlements	35		1		(27)		(1)		8
Transfers of assets (liabilities), net into Level 3	(4)		—		—		—		(4)
Transfers of (assets) liabilities, net out of Level 3	96		—		—		—		96
Balance at September 30	$	(90)	$	(10)	$	117	$	(2)	$	15
Total gains (losses) 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	$	1	$	4	$	(29)	$	(1)	$	(25)


Nine Months Ended September 30, 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		—		10		2		14
Included in other comprehensive income — derivative activity	(79)		(10)		4		—		(85)

Included in regulatory (assets) liabilities	—		—		—		1		1
Settlements	20		10		(30)		—		—
Transfers of assets (liabilities), net into Level 3	(28)		—		—		—		(28)
Transfers of (assets) liabilities, net out of Level 3	—		—		1		—		1
Balance at September 30	$	(269)	$	(11)	$	79	$	2	$	(199)
Total gains (losses) 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	$	—	$	—	$	(13)	$	2	$	(11)

Derivative Assets, Significant unobservable inputs

The following table summarizes the significant unobservable inputs used for Level 3 derivative assets (liabilities) as of September 30, 2021 (in millions, except range amounts):


Type of Derivative	Fair Value		Unobservable Input	Amount or Range (Weighted Average)
Interest rate	$	(90)	Subsidiaries’ credit spreads	0.6% - 3.4% (3.4%)
Cross-currency	(10)		Subsidiaries’ credit spreads	3.4	%
Foreign currency:
Argentine peso	117		Argentine peso to U.S. dollar currency exchange rate after one year	100 - 626 (293)

Commodity:
Other	(2)
Total	$	15

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 nine months ended September 30, 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%

Mountain View I & II

Discounted cash flow

Annual revenue growth

(69)% to 54% (-0.02%)

Annual variable margin

(10)% to 56% (45.99%)

Weighted-average cost of capital

7.5%

Ventanas 3 & 4

Discounted cash flow

Annual revenue growth

(18)% to 23% (2%)

Annual variable margin

(5)% to 21% (6%)

Weighted-average cost of capital

11%

Angamos

Discounted cash flow

Annual revenue growth

(8)% to 58% (8%)

Annual variable margin

(8)% to 53% (11%)

Weighted-average cost of capital

11%

Total

171

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 (1)		Fair Value						Pre-tax Loss
Nine Months Ended September 30, 2021				Level 1		Level 2		Level 3
Long-lived assets held-for-sale:
Estrella del Mar I	09/30/2021	$	17	$	—	$	6	$	—	$	11



Long-lived assets held and used:
Puerto Rico	03/31/2021	$	548	$	—	$	—	$	73	$	475
Mountain View I & II	04/30/2021	78		—		—		11		67
Ventanas 3 & 4	06/30/2021	661		—		—		12		649
Angamos	06/30/2021	241		—		—		86		155


	Measurement Date	Carrying Amount (1)		Fair Value						Pre-tax Loss
Nine Months Ended September 30, 2020				Level 1		Level 2		Level 3
Long-lived assets held and used:
Angamos	08/01/2020	$	870	$	—	$	—	$	306	$	564
Ventanas 1 & 2	08/01/2020	213		—		—		—		213

Hawaii	08/31/2020	114		—		—		76		38
Estrella del Mar I	09/30/2020	44		—		—		14		30


Equity method investments:
OPGC (2)	3/31/2020	$	195	$	—	$	—	$	152	$	43
OPGC (3)	6/30/2020	272		—		104		—		158

_____________________________

(1)Represents the carrying values at the dates of measurement, before fair value adjustment.

(2)Excludes $115 million of cumulative translation adjustment (debit balance) in the carrying value.

(3)Includes $114 million of cumulative translation adjustment (debit balance) in the carrying value. Pre-tax loss is limited to the carrying value of the equity method investment excluding CTA.

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:


		September 30, 2021
		Carrying Amount		Fair Value
				Total		Level 1		Level 2		Level 3
Assets:	Accounts receivable — noncurrent (1)	$	80	$	162	$	—	$	—	$	162
Liabilities:	Non-recourse debt	16,501		18,644		—		18,615		29
	Recourse debt	3,395		3,543		—		3,543		—


		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 $2 million and $4 million as of September 30, 2021 and December 31, 2020, respectively.