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Fair Value (Tables)
9 Months Ended
Sep. 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
September 30, 2020Level 1Level 2Level 3Total
Assets
Cash equivalents:
Money market funds$438,234 $— $— $438,234 
$438,234 $— $— $438,234 
Liabilities
Accrued expenses and other current liabilities$— $— $— $— 
Derivatives:
Natural gas fixed price forward contracts— — 3,245 3,245 
Embedded EPP derivatives— — 3,975 3,975 
Interest rate swap agreements— 17,272 — 17,272 
$— $17,272 $7,220 $24,492 

 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):
 September 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)1,112 $3,245 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 during the three months ended September 30, 2020 were as follows (in thousands):
Natural
Gas
Fixed Price
Forward
Contracts
Embedded
Derivative
Liability
Total
Liabilities at June 30, 2020$5,185 $5,480 $10,665 
Settlement of natural gas fixed price forward contracts(1,214)— (1,214)
Changes in fair value(726)(1,505)(2,231)
Liabilities at September 30, 2020$3,245 $3,975 $7,220 
The changes in the Level 3 financial liabilities during the nine months ended September 30, 2020 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(3,692)— (3,692)
Changes in fair value(31)(2,201)(2,232)
Liabilities at September 30, 2020$3,245 $3,975 $7,220 
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation
The following table presents the unobservable inputs related to our Level 3 liabilities:
As of September 30, 2020
Commodity ContractsDerivative LiabilitiesValuation TechniqueUnobservable InputUnitsRangeAverage
(in thousands)($ per Units)
Natural Gas$3,245 Discounted Cash FlowForward basis priceMMBtu
$2.86 - $5.50
$3.85 
As of December 31, 2019
Commodity ContractsDerivative LiabilitiesValuation TechniqueUnobservable InputUnitsRangeAverage
(in thousands)($ 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):
 September 30, 2020December 31, 2019
 Net Carrying
Value
Fair ValueNet Carrying
Value
Fair Value
   
Customer receivables
Customer financing receivables$52,066 $43,623 $55,855 $44,002 
Debt instruments
Recourse:
LIBOR + 4% term loan due November 2020
278 287 1,536 1,590 
5% convertible promissory Constellation note due December 2021
— — 36,482 32,070 
10% convertible promissory notes due December 20211
99,379 234,816 273,410 302,047 
10% notes due July 2024
76,743 71,385 89,962 97,512 
10.25% senior secured notes due March 2027
68,526 59,747 — — 
2.5% green convertible senior notes due August 2025
98,212 293,135 — — 
Non-recourse:
7.5% term loan due September 2028
32,717 36,665 34,969 41,108 
6.07% senior secured notes due March 2030
77,846 89,079 80,016 87,618 
LIBOR + 2.5% term loan due December 2021
117,145 117,457 120,437 120,510 
1The fair value on the 10% convertible notes increased due to the increase in the fair value of the conversion feature.