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Fair Value (Tables)
6 Months Ended
Jun. 30, 2020
Fair Value Disclosures [Abstract]  
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
June 30, 2020Level 1Level 2Level 3Total
Assets
Cash equivalents:
Money market funds$236,037  $—  $—  $236,037  
$236,037  $—  $—  $236,037  
Liabilities
Accrued expenses and other current liabilities$1,451  $—  $—  $1,451  
Derivatives:
Natural gas fixed price forward contracts—  —  5,185  5,185  
Embedded EPP derivatives—  —  5,480  5,480  
Interest rate swap agreements—  17,881  —  17,881  
$1,451  $17,881  $10,665  $29,997  

 Fair Value Measured at Reporting Date Using
December 31, 2019Level 1Level 2Level 3Total
Assets
Cash equivalents:
Money market funds$276,615  $—  $—  $276,615  
Interest rate swap agreements
—   —   
$276,615  $ $—  $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):
 June 30, 2020December 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)1,407  $5,185  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 LiabilityTotal
Liabilities at December 31, 2019$6,968  $6,176  $13,144  
Settlement of natural gas fixed price forward contracts(2,478) —  (2,478) 
Changes in fair value695  (696) (1) 
Liabilities at June 30, 2020$5,185  $5,480  $10,665  
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table presents the unobservable inputs related to our Level 3 liabilities:
As of June 30, 2020
Commodity ContractsDerivative LiabilitiesValuation TechniqueUnobservable InputUnitsRangeAverage
(in thousands)($ per Units)
Natural Gas$5,185  Discounted Cash FlowForward basis priceMMBtu
$2.25 - $4.62
$3.07  
As of December 31, 2019
Commodity ContractsDerivative LiabilitiesValuation TechniqueUnobservable InputUnitsRangeAverage
(in thousands)($ per Units)
Natural Gas$6,968  Discounted Cash FlowForward basis priceMMBtu
$2.39 - $5.65
$3.23  
Schedule of Fair Values and Carrying Values of Customer Receivables and Debt Instruments The following table presents the estimated fair values and carrying values of customer receivables and debt instruments (in thousands):
 June 30, 2020December 31, 2019
 Net Carrying
Value
Fair ValueNet Carrying
Value
Fair Value
   
Customer receivables
Customer financing receivables$53,365  $44,157  $55,855  $44,002  
Debt instruments
Recourse:
LIBOR + 4% term loan due November 2020
697  713  1,536  1,590  
5% convertible promissory Constellation note due December 2021
—  —  36,482  32,070  
10% convertible promissory notes due December 20211
263,405  411,448  273,410  302,047  
10% notes due July 2024
83,497  83,977  89,962  97,512  
10.25% senior secured notes due March 2027
68,437  63,690  —  —  
Non-recourse:
7.5% term loan due September 2028
32,645  37,651  34,969  41,108  
6.07% senior secured notes due March 2030
78,565  89,032  80,016  87,618  
LIBOR + 2.5% term loan due December 2021
118,473  117,855  120,436  120,510  
1The fair value on the 10% convertible notes increased due to the increase in the fair value of the conversion feature.