Derivatives (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Fair Values of Derivative Instruments

As of March 31, 2020 and December 31, 2019, the fair values of the following derivative instruments were included in the respective balance sheet captions indicated below:


	Fair Value of Derivative Instruments¹
	Derivatives Designated as Hedging Instruments										Derivatives Not Designated as Hedging Instruments
(In thousands)	Interest Rate Swaps		Foreign Currency Contracts		Commodity Contracts		Interest Rate Swaps		Foreign Currency Contracts		Commodity Contracts		Gross Derivatives		Counterparty Netting²		Net Derivatives
As of March 31, 2020
Derivative assets, current	$	—	$	—	$	2,216	$	—	$	13,744	$	7,300	$	23,260	$	—	$	23,260
Derivative assets	—		—		29,266		—		—		20,951		50,217		—		50,217
Total assets	$	—	$	—	$	31,482	$	—	$	13,744	$	28,251	$	73,477	$	—	$	73,477
Derivative liabilities, current portion	$	14,039	$	—	$	—	$	49,476	$	—	$	—	$	63,515	$	—	$	63,515
Derivative liabilities	59,546		—		—		182,948		—		—		242,494		—		242,494
Total liabilities	$	73,585	$	—	$	—	$	232,424	$	—	$	—	$	306,009	$	—	$	306,009

As of December 31, 2019
Derivative assets, current	$	—	$	349	$	1,040	$	—	$	8,092	$	7,279	$	16,760	$	(941)	$	15,819
Derivative assets	809		24		33,269		—		504		23,583		58,189		(472)		57,717
Total assets	$	809	$	373	$	34,309	$	—	$	8,596	$	30,862	$	74,949	$	(1,413)	$	73,536
Derivative liabilities, current portion	$	12,046	$	631	$	—	$	21,923	$	310	$	—	$	34,910	$	(941)	$	33,969
Derivative liabilities	41,605		315		—		59,412		534		—		101,866		(472)		101,394
Total liabilities	$	53,651	$	946	$	—	$	81,335	$	844	$	—	$	136,776	$	(1,413)	$	135,363

————

(1)Fair value amounts are shown before the effect of counterparty netting adjustments.

(2)Represents the netting of derivative exposures covered by qualifying master netting arrangements.

Schedule of Notional Amounts for Derivative Instruments

The following table presents the notional amounts of derivative instruments as of March 31, 2020 and December 31, 2019:


	Notional Amount as of
(In thousands)	March 31, 2020	December 31, 2019
Derivatives designated as hedging instruments:
Cash flow hedges:
Interest rate swaps (USD)	279,832	441,628
Interest rate swaps (CAD)	137,391	138,575
Interest rate swaps (EUR)	304,401	310,721
Commodity contracts (MWhs)	5,175	5,360
Net investment hedges:
Foreign currency contracts (CAD)	—	94,100
Foreign currency contracts (EUR)	—	199,750
Derivatives not designated as hedging instruments:
Interest rate swaps (USD)	11,390	11,399
Interest rate swaps (EUR)¹	1,194,510	745,719
Foreign currency option contracts (EUR)²	625,200	625,200
Foreign currency forward contracts (EUR)2	—	118,550

Commodity contracts (MWhs)	7,345	7,610

————

(1)Represents the notional amount of the interest rate swaps at Saeta to economically hedge the interest rate payments on non-recourse debt. The Company did not designate these derivatives as hedging instruments per ASC 815 as of the respective balance sheet dates.

(2)Represents the notional amount of foreign currency contracts used to economically hedge portions of the Company’s foreign exchange risk associated with Euro-denominated intercompany loans that are not of long-term investment nature. The Company did not designate these derivatives as hedging instruments per ASC 815 as of March 31, 2020 and December 31, 2019.

Gains and Losses on Derivatives Not Designated As Hedges

Gains and losses on derivatives not designated as hedging instruments for the three months ended March 31, 2020 and 2019 consisted of the following:


	Location of Loss (Gain) in the Statements of Operations	Three Months Ended March 31,
(In thousands)						2020	2019
Interest rate swaps	Interest expense, net	$	4,365	$	22,317
Foreign currency contracts	Gain on foreign currency exchange, net	(18,129)		(21,197)
Commodity contracts	Operating revenues, net	(3,793)		(6,411)

Gains and Losses Recognized Related to Interest Rate Swaps and Commodity Contracts Designated as Cash Flow Hedges

Gains and losses recognized related to interest rate swaps, foreign currency contracts and commodity derivative contracts designated as hedging instruments for the three months ended March 31, 2020 and 2019 consisted of the following:


	Three Months Ended March 31,
Derivatives in Cash Flow and Net Investment Hedging Relationships	(Loss) Gain Included in the Assessment of Effectiveness Recognized in OCI, net of taxes¹					Location of Amount Reclassified from AOCI into Income			Loss (Gain) Included in the Assessment of Effectiveness Reclassified from AOCI into Income²
(In thousands)	2020		2019					2020			2019
Interest rate swaps	$	(36,263)	$	(9,676)	Interest expense, net	$	1,584		$	(561)
Foreign currency contracts	20,890		9,697		(Gain) on foreign currency exchange, net	—			—
Commodity contracts	(714)		535		Operating revenues, net	(1,368)			(316)
Total	$	(16,087)	$	556		$	216		$	(877)

————

(1)Net of $4.1 million tax benefit for the three months ended March 31, 2020. No tax expense or benefit was recorded for the three months ended March 31, 2019.

(2)No tax expense or benefit was recorded for the three months ended March 31, 2020 and 2019.

TerraForm Power, Inc. 10-Q