For the periods presented, the following significant instruments are accounted for on a fair value basis:

During the first six months of 2020, we entered into certain forward natural gas contracts (“natural gas contracts”), which are accounted for on a mark-to-market basis. We are utilizing these natural gas contracts as economic hedges for risk management purposes but are not designated as hedging instruments. At June 30, 2020, our natural gas contracts included 1.8 million MMBtu of natural gas and extend through January 2021 (there were none at December 31, 2019). The valuations of the natural gas contracts are classified as Level 2. At June 30, 2020, the valuation inputs included the contractual weighted-average cost of $2.01 per MMBtu and the weighted-average market value of $1.94 per MMBtu.

For the three and six months ended June 30, 2020, we recognized a minimal gain and a loss $0.7 million (classified as cost of sales), respectively (none for the three and six months ended June 30, 2019), which includes an unrealized gain of $0.4 million and a minimal unrealized loss, respectively, attributed to natural gas contracts still held at the reporting date.

As discussed in Note 8, certain embedded features (“embedded derivative”) relating to the redemption of the Series E Redeemable Preferred, which includes certain contingent redemption features and the participation rights value have been bifurcated from the Series E Redeemable Preferred and recorded as a liability. At June 30, 2020 and December 31, 2019, we estimate that the contingent redemption features have fair value since we estimate that it is probable that a portion of the shares of this preferred stock would be redeemed prior to October 25, 2023. For certain other embedded features, we estimated no fair value based on our assessment that there is a remote probability that these features will be exercised.

The fair value of the embedded derivative was valued using discounted cash flow models and primarily based on the difference in the present value of estimated future cash flows with no redemptions prior to October 25, 2023 compared to certain redemptions deemed probable during the same period and applying the effective dividend rate of the Series E Redeemable Preferred. In addition, at June 30, 2020 and December 31, 2019, the fair value of the embedded derivative included the valuation of the participation rights, which was based on the equivalent of 303,646 shares of our common stock at $1.16 and $4.20 per share, respectively.

The valuations of the embedded derivative are classified as Level 3. This derivative is valued using market information, management’s redemption assumptions, the underlying number of shares as defined in the terms of the Series E Redeemable Preferred, and the market price of our common stock.

For the three months ended June 30, 2020 and 2019, we recognized an unrealized gain of approximately $0.1 million and $0.7 million, respectively, due to the change in fair value of the embedded derivative. For the six months ended June 30, 2020 and 2019, we recognized an unrealized gain of approximately $0.8 million and $0.5 million, respectively, due to the change in fair value of the embedded derivative. These unrealized gains are included in non-operating other income.

The following details our liabilities that are measured at fair value on a recurring basis at June 30, 2020 and December 31, 2019:

			Fair Value Measurements at June 30, 2020 Using
Description	Total Fair Value at June 30, 2020		Quoted Prices in Active Markets for Identical Contracts (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)⁽¹⁾		Total Fair Value at December 31, 2019
	(In Thousands)

Liabilities - Current and noncurrent accrued and other liabilities:
Natural gas contracts	$	131	$	—	$	131	$	—	$	—
Embedded derivative	$	327	$	—	$	—	$	327	$	1,084
Total	$	458	$	—	$	131	$	327	$	1,084

At June 30, 2020 and December 31, 2019, we did not have any financial instruments with fair values significantly different from their carrying amounts (which excludes issuance costs, if applicable), except for the Senior Secured Notes as shown below.

	June 30, 2020				December 31, 2019
	Carrying		Estimated		Carrying		Estimated
	Amount		Fair Value		Amount		Fair Value
	(In Millions)
Senior Secured Notes (1)	$	435	$	422	$	435	$	449

(1)Based on a quoted price of 97.0 at June 30, 2020 and 103.25 at December 31, 2019.

The Senior Secured Notes valuations are classified as Level 2. The fair value of financial instruments is not indicative of the overall fair value of our assets and liabilities since financial instruments do not include all assets, including intangibles, and all liabilities.