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Derivatives Hedges and Financial Instruments | 3 Months Ended
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Mar. 31, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivatives Hedges and Financial Instruments | 6. Derivatives, Hedges and Financial Instruments For the periods presented, the following significant instruments are accounted for on a fair value basis: Natural Gas Contracts During the first quarter 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 March 31, 2020, our natural gas contracts included 2.6 million MMBtu of natural gas and extend through January 2021 (none at December 31, 2019). The valuations of the natural gas contracts are classified as Level 2. At March 31, 2020, the valuation inputs included the contractual weighted-average cost of $2.01 per MMBtu and the weighted-average market value of $1.81 per MMBtu. For the three months ended March 31, 2020, we recognized a loss of $0.7 million (classified as cost of sales), which includes an unrealized loss of $0.5 million (none for the three months ended March 31, 2019). The cash flows relating to these natural contracts are included in cash flows from operating activities. 6. Derivatives, Hedges and Financial Instruments (continued) Embedded Derivative 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 March 31, 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 March 31, 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 $2.10 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 March 31, 2020 and 2019, we recognized an unrealized gain of approximately $0.6 million and an unrealized loss of $0.2 million, respectively, due to the change in fair value of the embedded derivative. These unrealized gains and losses are included in non-operating income and expense. The following details our liabilities that are measured at fair value on a recurring basis at March 31, 2020 and December 31, 2019:
|  |  |  |  |  | Fair Value Measurements at March 31, 2020 Using |  |  |  |  |
Description |  | Total Fair Value at March 31, 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 |  | $ | 527 |  |  | $ | — |  |  | $ | 527 |  |  | $ | — |  |  | $ | — |
Embedded derivative |  | $ | 447 |  |  | $ | — |  |  | $ | — |  |  | $ | 447 |  |  | $ | 1,084 |
Total |  | $ | 974 |  |  | $ | — |  |  | $ | 527 |  |  | $ | 447 |  |  | $ | 1,084 |
| (1) | There was no Level 3 transfer activity for the three months ended March 31, 2020 and 2019.
Other Financial Instruments At March 31, 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.
|  | March 31, 2020 |  |  | December 31, 2019 |
|  | Carrying |  |  | Estimated |  |  | Carrying |  |  | Estimated |
|  | Amount |  |  | Fair Value |  |  | Amount |  |  | Fair Value |
|  | (In Millions) |
Senior Secured Notes (1) |  | $ | 435 |  |  | $ | 348 |  |  | $ | 435 |  |  | $ | 449 |
(1)Based on a quoted price of 80.11 at March 31, 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.

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- References No definition available. + Details
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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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