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Fair Value

6 Months Ended

Jun. 30, 2022

Our accounting policy for the fair value measurement of cash equivalents, natural gas fixed price forward contracts, 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, 2021.

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
June 30, 2022	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	172,479	$	—	$	—	$	172,479


	$	172,479	$	—	$	—	$	172,479
Liabilities


Derivatives:
Option to acquire a variable number of shares of Class A Common Stock	$	—	$	12,089	$	—	$	12,089



Embedded EPP derivatives	—		—		5,892		5,892

	$	—	$	12,089	$	5,892	$	17,981


	Fair Value Measured at Reporting Date Using
December 31, 2021	Level 1		Level 2		Level 3		Total

Assets
Cash equivalents:
Money market funds	$	297,034	$	—	$	—	$	297,034


	$	297,034	$	—	$	—	$	297,034
Liabilities

Derivatives:
Option to acquire a variable number of shares of Class A Common Stock	$	—	$	13,200	$	—	$	13,200

Embedded EPP derivatives	—		—		6,461		6,461




	$	—	$	13,200	$	6,461	$	19,661

We revalued the Option to its fair value as of June 30, 2022, which is included in other (expense) income, net in our condensed consolidated statements of operations. The fair value of the Option is reflected in accrued expenses and other current liabilities in our condensed consolidated balance sheets.

For the three months ended June 30, 2022 and 2021, we recorded the fair value of the embedded EPP derivatives and recognized an unrealized immaterial gain and an unrealized loss of $0.9 million, respectively, in (loss) gain on revaluation of embedded derivatives on our condensed consolidated statements of operations.

For the six months ended June 30, 2022 and 2021, we recorded the fair value of the embedded EPP derivatives and recognized an unrealized gain of $0.6 million and an unrealized loss of $1.5 million, respectively, in gain (loss) on revaluation of embedded derivatives on our condensed consolidated statements of operations.

The changes in the Level 3 financial liabilities during the six months ended June 30, 2022 were as follows (in thousands):


	Embedded EPP Derivative Liability







Liabilities at December 31, 2021	$	6,461
Changes in fair value	(569)
Liabilities at June 30, 2022	$	5,892

Financial Assets and Liabilities and Other Items 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):


	June 30, 2022				December 31, 2021
	Net Carrying Value		Fair Value		Net Carrying Value		Fair Value

Customer receivables
Customer financing receivable	$	—	$	—	$	45,269	$	38,334
Debt instruments
Recourse:





10.25% Senior Secured Notes due March 2027	67,124		64,775		68,968		72,573
2.5% Green Convertible Senior Notes due August 2025	223,848		289,271		222,863		356,822
Non-recourse:

7.5% Term Loan due September 2028 (Note 7)	—		—		29,006		35,669

6.07% Senior Secured Notes due March 2030	71,060		73,691		73,262		83,251
3.04% Senior Secured Notes due June 2031	127,229		120,481		132,631		137,983

- 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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