Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, Assets and Liabilities Measured on Recurring Basis

The tables below set forth, by level, our financial assets that were 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
March 31, 2020	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	271,435	$	—	$	—	$	271,435
	$	271,435	$	—	$	—	$	271,435
Liabilities
Accrued expenses and other current liabilities	$	697	$	—	$	—	$	697
Derivatives:
Natural gas fixed price forward contracts	—		—		6,503		6,503
Embedded EPP derivatives	—		—		5,892		5,892
Interest rate swap agreements	—		17,415		—		17,415
	$	697	$	17,415	$	12,395	$	30,507



	Fair Value Measured at Reporting Date Using
December 31, 2019	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	276,615	$	—	$	—	$	276,615
Interest rate swap agreements	—		3		—		3
	$	276,615	$	3	$	—	$	276,618
Liabilities
Accrued expenses and other current liabilities	$	996	$	—	$	—	$	996
Derivatives:
Natural gas fixed price forward contracts	—		—		6,968		6,968
Embedded EPP derivatives	—		—		6,176		6,176
Interest rate swap agreements	—		9,241		—		9,241
	$	996	$	9,241	$	13,144	$	23,381

Schedule of Natural Gas Forward Contracts

The following table provides the number and fair value of our natural gas fixed price forward contracts (in thousands):

March 31, 2020

December 31, 2019

Number of

Contracts

(MMBTU)²

Fair

Value

Number of
Contracts
(MMBTU)²

Fair

Value

Liabilities¹:

Natural gas fixed price forward contracts (not under hedging relationships)

1,699

6,503

1,991

6,968

¹ Recorded in current liabilities and derivative liabilities in the consolidated balance sheets.

² One MMBTU is a traditional unit of energy used to describe the heat value (energy content) of fuels.

Change in Level 3 Financial Liabilities

The changes in the Level 3 financial liabilities were as follows (in thousands):



	Natural Gas Fixed Price Forward Contracts			Embedded EPP Derivative Liability			Total
Liabilities at December 31, 2019	$	6,968		$	6,176		$	13,144
Settlement of natural gas fixed price forward contracts	(1,025		)	—			(1,025		)
Changes in fair value	560			(284		)	276
Liabilities at March 31, 2020	$	6,503		$	5,892		$	12,395

Summary of Unobservable Inputs

The following table presents the unobservable inputs related to our Level 3 liabilities:

For the Three Months Ended March 31, 2020

Commodity Contracts

Derivative Liabilities

Valuation Technique

Unobservable Input

Units

Range

Weighted Average

(in thousands)

($ per Units)

Natural Gas

6,503

Discounted Cash Flow

Forward basis price

MMBtu

$1.69 - $4.61

2.88

For the Three Months Ended December 31, 2019