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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2020
Fair Value Disclosures [Abstract] |
Fair Value Amounts by Hierarchy Level | Fair value amounts by hierarchy level as of September 30, 2020 and December 31, 2019 are presented gross in the tables below (in thousands):
| September 30, 2020
| Level 1 |  | Level 2 |  | Level 3 |  | Gross Fair Value |  | Effect of Counter-Party Netting |  | Net Carrying Value on Balance Sheet (1)
Assets |  |  |  |  |  |  |  |  |  |  |
Commodity derivatives | $ | 219 |  |  | $ | 16,233 |  |  | $ | — |  |  | $ | 16,452 |  |  | $ | (13,489 | ) |  | $ | 2,963 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Commodity derivatives | $ | (302 | ) |  | $ | (15,102 | ) |  | $ | — |  |  | $ | (15,404 | ) |  | $ | 13,489 |  |  | $ | (1,915 | )
J. Aron repurchase obligation derivative | — |  |  | — |  |  | (12,286 | ) |  | (12,286 | ) |  | — |  |  | (12,286 | )
MLC terminal obligation derivative | — |  |  | — |  |  | 6,991 |  |  | 6,991 |  |  | — |  |  | 6,991 |
Interest rate derivatives | — |  |  | (3,282 | ) |  | — |  |  | (3,282 | ) |  | — |  |  | (3,282 | )
Total | $ | (302 | ) |  | $ | (18,384 | ) |  | $ | (5,295 | ) |  | $ | (23,981 | ) |  | $ | 13,489 |  |  | $ | (10,492 | )
| December 31, 2019
| Level 1 |  | Level 2 |  | Level 3 |  | Gross Fair Value |  | Effect of Counter-Party Netting |  | Net Carrying Value on Balance Sheet (1)
Assets |  |  |  |  |  |  |  |  |  |  |
Commodity derivatives | $ | 4,595 |  |  | $ | 2,075 |  |  | $ | — |  |  | $ | 6,670 |  |  | $ | (4,595 | ) |  | $ | 2,075 |
Liabilities |  |  |  |  |  |  |  |  |  |  |
Common stock warrants | $ | — |  |  | $ | — |  |  | $ | (8,206 | ) |  | $ | (8,206 | ) |  | $ | — |  |  | $ | (8,206 | )
Commodity derivatives | (10,129 | ) |  | — |  |  | — |  |  | (10,129 | ) |  | 4,595 |  |  | (5,534 | )
J. Aron repurchase obligation derivative | — |  |  | — |  |  | 173 |  |  | 173 |  |  | — |  |  | 173 |
MLC terminal obligation derivative | — |  |  | — |  |  | (14,717 | ) |  | (14,717 | ) |  | — |  |  | (14,717 | )
Interest rate derivatives | — |  |  | (1,427 | ) |  | — |  |  | (1,427 | ) |  | — |  |  | (1,427 | )
Total | $ | (10,129 | ) |  | $ | (1,427 | ) |  | $ | (22,750 | ) |  | $ | (34,306 | ) |  | $ | 4,595 |  |  | $ | (29,711 | )
_________________________________________________________
(1) | Does not include cash collateral of $12.5 million and $19.8 million as of September 30, 2020 and December 31, 2019, respectively, included within Prepaid and other current assets and Other long-term assets on our condensed consolidated balance sheets.
Roll Forward of Level 3 Financial Instruments Measured at Fair Value on a Recurring Basis | A roll forward of Level 3 derivative instruments measured at fair value on a recurring basis is as follows (in thousands):
| Three Months Ended September 30, |  | Nine Months Ended September 30,
| 2020 |  | 2019 |  | 2020 |  | 2019
Balance, at beginning of period | $ | (66,098 | ) |  | $ | (12,720 | ) |  | $ | (22,750 | ) |  | $ | (922 | )
Settlements | 10,247 |  |  | 3,777 |  |  | (36,432 | ) |  | (4,121 | )
Acquired | — |  |  | 6,201 |  |  | — |  |  | 3,900 |
Total gains (losses) included in earnings | 50,556 |  |  | (3,463 | ) |  | 53,887 |  |  | (5,062 | )
Balance, at end of period | $ | (5,295 | ) |  | $ | (6,205 | ) |  | $ | (5,295 | ) |  | $ | (6,205 | )
Carrying Value and Fair Value of Long-term Debt and Other Financial Instruments | The carrying value and fair value of long-term debt and other financial instruments as of September 30, 2020 and December 31, 2019 are as follows (in thousands):
| September 30, 2020
| Carrying Value |  | Fair Value
5.00% Convertible Senior Notes due 2021 (1) (3) | $ | 46,646 |  |  | $ | 44,706 |
7.75% Senior Secured Notes due 2025 (1) | 292,968 |  |  | 267,750 |
Mid Pac Term Loan (2) | 1,408 |  |  | 1,408 |
Term Loan B Facility (1) | 222,407 |  |  | 203,500 |
Retail Property Term Loan (2) | 42,231 |  |  | 42,231 |
PHL Term Loan (2) | 5,833 |  |  | 5,833 |
12.875% Senior Secured Notes due 2026 (1) | 99,020 |  |  | 109,284 |
| December 31, 2019
| Carrying Value |  | Fair Value
5.00% Convertible Senior Notes due 2021 (1) (3) | $ | 44,783 |  |  | $ | 66,477 |
7.75% Senior Secured Notes due 2025 (1) | 292,015 |  |  | 309,375 |
Mid Pac Term Loan (2) | 1,433 |  |  | 1,433 |
Term Loan B Facility (1) | 230,474 |  |  | 240,625 |
Retail Property Term Loan (2) | 43,226 |  |  | 43,226 |
Common stock warrants (2) | 8,206 |  |  | 8,206 |
_________________________________________________________
(1) | The fair value measurements of the 5.00% Convertible Senior Notes, 7.75% Senior Secured Notes, Term Loan B Facility, and 12.875% Senior Secured Notes are considered Level 2 measurements in the fair value hierarchy as discussed below.
(2) | The fair value measurements of the common stock warrants, Mid Pac Term Loan, Retail Property Term Loan, and PHL Term Loan are considered Level 3 measurements in the fair value hierarchy.
(3) | The carrying value of the 5.00% Convertible Senior Notes excludes the fair value of the equity component, which was classified as equity upon issuance.

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