XML 29 R13.htm IDEA: XBRL DOCUMENT

Fair Value

9 Months Ended

Sep. 30, 2021

Our accounting policy for the fair value measurement of cash equivalents, the fair value of contingent consideration related to business combinations, natural gas fixed price forward contracts, embedded Escalation Protection Plan ("EPP") derivatives and interest rate swap agreements have not changed from the policies described in our Annual Report on Form 10-K for the year ended December 31, 2020.

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, 2021	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	28,071	$	—	$	—	$	28,071


	$	28,071	$	—	$	—	$	28,071
Liabilities

Contingent consideration	$	—	$	—	$	3,623	$	3,623
Derivatives:


Embedded EPP derivatives	—		—		7,186		7,186
Interest rate swap agreements	—		11,853		—		11,853
	$	—	$	11,853	$	10,809	$	22,662


	Fair Value Measured at Reporting Date Using
December 31, 2020	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	235,902	$	—	$	—	$	235,902


	$	235,902	$	—	$	—	$	235,902
Liabilities

Derivatives:
Natural gas fixed price forward contracts	$	—	$	—	$	2,574	$	2,574

Embedded EPP derivatives	—		—		5,541		5,541
Interest rate swap agreements	—		15,989		—		15,989



	$	—	$	15,989	$	8,115	$	24,104

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

Natural Gas Fixed Price Forward Contracts - As of September 30, 2021, natural gas fixed price forward contracts were valued using a combination of factors including the counterparty's credit rating and estimates of future natural gas prices. The leveling of each financial instrument is reassessed at the end of each period and is based on pricing information received from third-party pricing sources. During 2021, we transferred natural gas forward contracts from Level 3 to Level 2. Transfers between these hierarchy levels were based on the availability of sufficient observable inputs to meet Level 2 versus Level 3 criteria.

For the three months ended September 30, 2021 and 2020, we recognized an unrealized gain of $0.1 million and an unrealized gain of $0.7 million, respectively, as a result of a change in the fair value of our natural gas fixed price forward contracts during these periods. We realized gains of $0.1 million and $1.2 million for the three months ended September 30, 2021 and 2020, respectively, on the settlement of these contracts in cost of revenue on our condensed consolidated statements of operations.

For the nine months ended September 30, 2021 and 2020, we recognized an unrealized gain of $1.1 million and no unrealized gains or losses, respectively. We realized gains of $1.5 million and $3.7 million for the nine months ended September 30, 2021 and 2020, respectively, on the settlement of these contracts in cost of revenue on our condensed consolidated statements of operations.

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.

For the three months ended September 30, 2021 and 2020, we recorded the fair value of the embedded EPP derivatives and recognized an unrealized loss of $0.2 million and an unrealized gain of $1.5 million, respectively, in (loss) gain on revaluation of embedded derivatives on our condensed consolidated statements of operations.

For the nine months ended September 30, 2021 and 2020, we recorded the fair value of the embedded EPP derivatives and recognized an unrealized loss of $1.6 million and an unrealized gain of $2.2 million, respectively, in (loss) gain on revaluation of embedded derivatives on our condensed consolidated statements of operations.

The changes in the Level 3 financial liabilities during the nine months ended September 30, 2021 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	(4,503)		—		(4,503)
Changes in fair value	109		(635)		(526)
Liabilities at December 31, 2020	2,574		5,541		8,115

Changes in fair value	—		1,645		1,645
Transfer from Level 3 to Level 2 in fair value hierarchy	(2,574)		—		(2,574)
Liabilities at September 30, 2021	$	—	$	7,186	$	7,186

Interest Rate Swap Agreements - Interest rate swap agreements are valued using quoted prices for similar contracts and are therefore classified as Level 2 financial assets. Interest rate swaps are designed as hedging instruments and are recognized at fair value on our condensed consolidated balance sheets. As of September 30, 2021, we expect $2.7 million of the loss on the interest rate swaps accumulated in other comprehensive loss to be reclassified into earnings in the next 12 months.

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

Customer Receivables and Debt Instruments - The fair value for customer financing receivables is based on a discounted cash flow model, whereby the fair value approximates the present value of the receivables (Level 3). The senior secured notes, term loans and convertible notes are based on rates currently offered for instruments with similar maturities and terms (Level 3). The following table presents the estimated fair values and carrying values of customer receivables and debt instruments (in thousands):


	September 30, 2021				December 31, 2020
	Net Carrying Value		Fair Value		Net Carrying Value		Fair Value

Customer receivables
Customer financing receivables	$	46,674	$	39,545	$	50,746	$	42,679
Debt instruments
Recourse:





10.25% Senior Secured Notes due March 2027	68,879		73,345		68,614		71,831
2.5% Green Convertible Senior Notes due August 2025	222,371		317,078		99,394		426,229
Non-recourse:

7.5% Term Loan due September 2028	29,699		36,370		31,746		37,658

6.07% Senior Secured Notes due March 2030	74,289		84,961		77,007		89,654
LIBOR + 2.5% Term Loan due December 2021	108,958		109,513		114,138		116,113

- 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.

+ References + Details