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Fair Value

9 Months Ended

Sep. 30, 2023

Our accounting policy for the fair value measurement of cash equivalents and embedded Escalation Protection Plan (“EPP”) derivatives is described in Part II, Item 8 Note 2 - Summary of Significant Accounting Policies in our Annual Report on Form 10-K for the fiscal year ended December 31, 2022.

Financial Assets and Liabilities Measured at Fair Value on a Recurring Basis

The tables below set forth, by level, our financial assets that are accounted for at fair value for the respective periods. The table does not include assets and liabilities that are measured at historical cost or any basis other than fair value (in thousands):


	Fair Value Measured at Reporting Date Using
September 30, 2023	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	489,395	$	—	$	—	$	489,395


	$	489,395	$	—	$	—	$	489,395
Liabilities


Derivatives:



Embedded EPP derivatives	$	—	$	—	$	3,948	$	3,948

	$	—	$	—	$	3,948	$	3,948


	Fair Value Measured at Reporting Date Using
December 31, 2022	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	291,903	$	—	$	—	$	291,903


	$	291,903	$	—	$	—	$	291,903
Liabilities

Derivatives:


Embedded EPP derivatives	$	—	$	—	$	5,895	$	5,895




	$	—	$	—	$	5,895	$	5,895

Money Market Funds - Money market funds are valued using quoted market prices for identical securities and are therefore classified as Level 1 financial assets.

Embedded Escalation Protection Plan Derivative Liability in Sales Contracts - We estimate the fair value of the embedded EPP derivatives in certain sales contracts using a Monte Carlo simulation model, which considers various potential electricity price curves over the sales contracts’ terms. We use historical grid prices and available forecasts of future electricity prices to estimate future electricity prices. We have classified these derivatives as a Level 3 financial liability.

The changes in the Level 3 financial liabilities during the nine months ended September 30, 2023 were as follows (in thousands):


	Embedded EPP Derivative Liability








Liabilities at December 31, 2022	$	5,895
EPP liability settlement	(3,160)
Changes in fair value	1,213
Liabilities at September 30, 2023	$	3,948

In June 2023, per an EPP agreement with one of our customers, we paid $3.2 million, which was recorded as a reduction to our balance of embedded EPP derivative liability as of September 30, 2023.

Financial Assets and Liabilities and Other Items Not Measured at Fair Value on a Recurring Basis

Debt Instruments - The senior secured notes and convertible notes are based on rates currently offered for instruments with similar maturities and terms (Level 2). The following table presents the estimated fair values and carrying values of debt instruments (in thousands):


	September 30, 2023			December 31, 2022
	Net Carrying Value		Fair Value	Net Carrying Value		Fair Value



Debt instruments
Recourse:





3% Green Convertible Senior Notes due June 2028	$	614,183	613,298	$	—	—
2.5% Green Convertible Senior Notes due August 2025	226,309		249,665	224,832		309,488

10.25% Senior Secured Notes due March 2027	—		—	60,960		60,472
Non-recourse:




3.04% Senior Secured Notes due June 2031	—		—	125,787		117,028
4.6% Term Loan due March 2026	$	1,483	1,345	$	—	—

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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