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Financial Instruments and Risk Management | 3 Months Ended
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Mar. 31, 2022
Fair Value Disclosures [Abstract] |
Financial Instruments and Risk Management | FINANCIAL INSTRUMENTS AND RISK MANAGEMENT In accordance with ASC 820, the Company uses a three-tier fair value hierarchy, which prioritizes the inputs used in measuring fair value. Observable inputs are from sources independent of the Company. Unobservable inputs reflect the Company’s assumptions about the factors market participants would use in valuing the asset or liability developed based upon the best information available in the circumstances. These tiers include the following: Level 1 — inputs include observable unadjusted quoted prices in active markets for identical assets or liabilities Level 2 — inputs include other than quoted prices in active markets that are either directly or indirectly observable Level 3 — inputs include unobservable inputs in which little or no market data exists, therefore requiring an entity to develop its own assumptions In determining fair value, the Company uses various valuation techniques and prioritizes the use of observable inputs. The availability of observable inputs varies from instrument to instrument and depends on a variety of factors including the type of instrument, whether the instrument is actively traded and other characteristics particular to the instrument. For many financial instruments, pricing inputs are readily observable in the market, the valuation methodology used is widely accepted by market participants and the valuation does not require significant management judgment. For other financial instruments, pricing inputs are less observable in the marketplace and may require management judgment. Recurring fair value measurements A summary of the Company's financial instruments recognized at fair value, and the fair value measurements used, follows:
| Balance Sheet Location | Total |  | Quoted prices in active markets for identical assets (Level 1) |  | Other observable inputs (Level 2) |  | Unobservable inputs (Level 3)
March 31, 2022 |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Interest rate swaps | Other current assets | $ | 4.4 |  |  | $ | — |  |  | $ | 4.4 |  |  | $ | — |
Interest rate swaps | Other noncurrent assets | 58.5 |  |  | — |  |  | 58.5 |  |  | — |
Total assets |  | $ | 62.9 |  |  | $ | — |  |  | $ | 62.9 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |
Contingent consideration | Accrued expenses and other liabilities | $ | 2.2 |  |  | $ | — |  |  | $ | — |  |  | $ | 2.2 |
Private warrants | Warrant liabilities | 54.7 |  |  | — |  |  | 54.7 |  |  | — |
Total liabilities |  | $ | 56.9 |  |  | $ | — |  |  | $ | 54.7 |  |  | $ | 2.2 |
| Balance Sheet Location | Total |  | Quoted prices in active markets for identical assets (Level 1) |  | Other observable inputs (Level 2) |  | Unobservable inputs (Level 3)
December 31, 2021 |  |  |  |  |  |  |  |
Assets: |  |  |  |  |  |  |  |
Interest rate swaps | Other noncurrent assets | $ | 16.1 |  |  | $ | — |  |  | $ | 16.1 |  |  | $ | — |
Total assets |  | $ | 16.1 |  |  | $ | — |  |  | $ | 16.1 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |
Interest rate swaps | Accrued expenses and other liabilities | $ | 7.4 |  |  | $ | — |  |  | $ | 7.4 |  |  | $ | — |
Contingent consideration | Accrued expenses and other liabilities | 3.7 |  |  | — |  |  | — |  |  | 3.7 |
Private warrants | Warrant liabilities | 149.6 |  |  | — |  |  | 149.6 |  |  | — |
Total liabilities |  | $ | 160.7 |  |  | $ | — |  |  | $ | 157.0 |  |  | $ | 3.7 |
Contingent consideration — As of March 31, 2022 in conjunction with the Acquisition, there is $2.2 of contingent earnout related to E&I's projected future results recorded in "Accrued expenses and other liabilities" in the Unaudited Condensed Consolidated Balance Sheets. For the three months ended March 31, 2022 the change in fair value of contingent consideration of $1.5 is included within "Other operating expense (income)" on the Unaudited Condensed Consolidated Statements of Earnings(Loss). Refer to "Note 3 - Acquisition" for more details on the Acquisition. Interest rate swaps — From time to time the Company may enter into derivative financial instruments designed to hedge the variability in interest expense on floating rate debt. Derivatives are recognized as assets or liabilities in the Unaudited Condensed Consolidated Balance Sheets at their fair value. When the derivative instrument qualifies as a cash flow hedge, changes in the fair value are deferred through other comprehensive income, depending on the nature and effectiveness of the offset. The Company uses interest rate swaps to manage the interest rate mix of our total debt portfolio and related overall cost of borrowing. At March 31, 2022 interest rate swap agreements designated as cash flow hedges effectively swapped a notional amount of $1,000.0 of LIBOR based floating rate debt for fixed rate debt. Our interest rate swaps mature in March 2027. The Company recognized $2.6 and $2.7 in earnings for the three months ended March 31, 2022 and 2021, respectively. At March 31, 2022, the Company expects that approximately $4.4 of pre-tax net gains on cash flow hedges will be reclassified from accumulated other comprehensive income (loss) into earnings during the next twelve months. The interest rate swaps are valued using the LIBOR yield curves at the reporting date. Counterparties to these contracts are highly rated financial institutions. The fair values of the Company’s interest rate swaps are adjusted for nonperformance risk and creditworthiness of the counterparty through the Company’s credit valuation adjustment (“CVA”). The CVA is calculated at the counterparty level utilizing the fair value exposure at each payment date and applying a weighted probability of the appropriate survival and marginal default percentages. Net investment hedge — From time to time the Company designates certain intercompany debt to hedge a portion of its investment in foreign subsidiaries and affiliates. The net impact of realized and unrealized translation adjustments from these hedges were insignificant and are included in "Foreign currency translation" in the Unaudited Condensed Consolidated Statement of Other comprehensive income (loss). As of March 31, 2022, approximately $257.0 of the Company's intercompany debt were designated to hedge investments in certain foreign subsidiaries and affiliates. Private warrants — the fair value of the Private warrants is considered a Level 2 valuation and is determined using the Black-Sholes-Merton valuation model. The significant assumptions which the Company used in the model are:
Warrant valuation inputs |  | March 31, 2022 |  | December 31, 2021
Stock price |  | $ | 14.00 |  |  | $ | 24.97 |
Strike price |  | $ | 11.50 |  |  | $ | 11.50 |
Remaining life |  | 2.85 |  | 3.10
Volatility |  | 41.0 | % |  | 34.2 | %
Interest rate (1) |  | 2.42 | % |  | 0.98 | %
Dividend yield (2) |  | 0.07 | % |  | 0.04 | %
(1) Interest rate determined from a constant maturity treasury yield (2) March 31, 2022 and December 31, 2021 dividend yield assumes $0.01 per share per annum. Other fair value measurements We determine the fair value of debt using Level 2 inputs based on quoted market prices. The following table presents the estimated fair value and carrying value of long-term debt, including the current portion of long-term debt as of March 31, 2022 and December 31, 2021.
| March 31, 2022 |  | December 31, 2021
| Fair Value |  | Par Value (1) |  | Fair Value |  | Par Value (1)
Term Loan due 2027 | $ | 2,102.3 |  |  | $ | 2,156.2 |  |  | $ | 2,148.2 |  |  | $ | 2,161.7 |
Senior Secured Notes due 2028 | 773.5 |  |  | 850.0 |  |  | 853.2 |  |  | 850.0 |
(1)See Note 6 — Debt for additional information

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- Definition The entire disclosure for derivatives and fair value of assets and liabilities. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -URI http://asc.fasb.org/topic&trid=2155941 Reference 2: 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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