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SEC Filings
10-K
TERRAFORM POWER, INC. filed this Form 10-K on 03/15/2019
Entire Document
 

As of December 31, 2018 and December 31, 2017, the Company had posted letters of credit in the amount of $15.0 million, as collateral related to certain commodity contracts. Certain derivative contracts contain provisions providing the counterparties a lien on specific assets as collateral. There was no cash collateral received or pledged as of December 31, 2018 and December 31, 2017 related to the Company’s derivative transactions.

As of December 31, 2018 and 2017, notional amounts for derivative instruments consisted of the following:
 
 
Notional Amount as of December 31,
(In thousands)
 
2018
 
2017
Derivatives designated as hedging instruments:
 
 
 
 
Cash flow hedges:
 
 
 
 
Interest rate swaps (USD)
 
357,797

 
395,986

Interest rate swaps (CAD)
 
147,522

 
156,367

Commodity contracts (MWhs)
 
6,030

 
15,579

Net investment hedges:
 
 
 
 
Foreign currency contracts (CAD)
 
81,600

 

Foreign currency contracts (EUR)
 
320,000

 

Derivatives not designated as hedging instruments:
 
 
 
 
Interest rate swaps (USD)
 
12,326

 
13,520

Interest rate swaps (EUR)1
 
1,044,253

 

Foreign currency contracts (EUR)2
 
640,200

 

Foreign currency contracts (CAD)
 

 
9,875

Commodity contracts (MWhs)
 
8,707

 
987

————
(1)
Represents the notional amount of the interest rate swaps acquired from 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 December 31, 2018.
(2)
Represents the notional amount of foreign exchange contracts used to economically hedge portions of the Company’s foreign exchange risk associated with Euro-denominated intercompany loans. The Company did not designate these derivatives as hedging instruments per ASC 815 as of December 31, 2018.

The Company elected to present all derivative assets and liabilities on a net basis on the consolidated balance sheets as a right to set-off exists. The Company enters into ISDA Master Agreements with its counterparties. An ISDA Master Agreement is an agreement governing multiple derivative transactions between two counterparties that typically provides for the net settlement of all, or a specified group, of these derivative transactions through a single payment, and in a single currency, as applicable. A right to set-off typically exists when the Company has a legally enforceable ISDA Master Agreement. No amounts were netted for commodity contracts as of December 31, 2018 or 2017 as each of the commodity contracts were in a gain position.
    
Gains and losses on derivatives not designated as hedging instruments for the years ended December 31, 2018, 2017 and 2016 consisted of the following:
 
 
Location of Loss (Gain) in the Statements of Operations
 
Year Ended December 31,
(In thousands)
2018
 
2017
 
2016
Interest rate swaps
 
Interest expense, net
 
$
2,565

 
$
3,161

 
$
26,280

Foreign currency contracts
 
(Gain) loss on foreign currency exchange, net
 
(34,714
)
 
966

 
(1,325
)
Commodity contracts
 
Operating revenues, net
 
3,209

 
(5,117
)
 
(10,890
)

During the second quarter of 2018, the Company discontinued hedge accounting for a certain long-dated commodity contract as it was no longer considered highly effective in offsetting the cash flows associated with the underlying risk being hedged. Long-term electricity prices in the related market declined significantly during the second quarter of 2018, causing the option component of the derivative contract to have an intrinsic value which negatively impacted the effectiveness assessment of the hedge relationship. Hedge accounting was prospectively discontinued effective April 1, 2018, with changes in fair value


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