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Fair Value Measurements

9 Months Ended

Sep. 30, 2022

Fair Value Measurements

Fair Value Measurements

NOTE 11—FAIR VALUE MEASUREMENTS

Fair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Assets and liabilities measured at fair value are classified using the following hierarchy, which is based upon the transparency of inputs to the valuation as of the measurement date.

Level 1—Valuation is based upon quoted prices (unadjusted) for identical assets or liabilities in active markets.

Level 2—Valuation is based upon quoted prices for similar assets and liabilities in active markets, or other inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument.

Level 3—Valuation is based upon other unobservable inputs that are significant to the fair value measurement.

The following table summarizes the basis used to measure certain assets and liabilities at fair value on a recurring basis in the condensed consolidated balance sheets as of September 30, 2022 and December 31, 2021:


		September 30, 2022
		Quoted Prices in Active Markets for Identical Items			Significant Other Observable Inputs			Significant Unobservable Inputs
Assets (Liabilities) at Fair Value		(Level 1)			(Level 2)			(Level 3)			Total
Foreign exchange forward contracts—Assets		$	—		$	10.8		$	—		$	10.8
Commodity cash flow hedges—(Liabilities)			—			(1.8)			—			(1.8)
Total fair value		$	—		$	9.0		$	—		$	9.0


		December 31, 2021
		Quoted Prices in Active Markets for Identical Items			Significant Other Observable Inputs			Significant Unobservable Inputs
Assets (Liabilities) at Fair Value		(Level 1)			(Level 2)			(Level 3)			Total
Foreign exchange forward contracts—Assets		$	—		$	2.2		$	—		$	2.2
Foreign exchange forward contracts—(Liabilities)			—			(1.2)			—			(1.2)
Interest rate swaps—(Liabilities)			—			(2.2)			—			(2.2)
Cross currency swaps—(Liabilities)			—			(17.4)			—			(17.4)
Total fair value		$	—		$	(18.6)		$	—		$	(18.6)

The Company uses an income approach to value its derivative instruments, utilizing discounted cash flow techniques, considering the terms of the contract and observable market information available as of the reporting date, such as interest rate yield curves and currency spot and forward rates. Significant inputs to the valuation for these derivative instruments are obtained from broker quotations or from listed or over-the-counter market data, and are classified as Level 2 in the fair value hierarchy.

Nonrecurring Fair Value Measurements

The Company measured certain financial assets at fair value on a nonrecurring basis during the year ended December 31, 2021, which were still held as of September 30, 2022. These financial assets represent the Company’s styrene monomer assets in Boehlen, Germany, which it continues to operate. These assets were measured at fair value using underlying fixed asset records in conjunction with the use of industry experience and available market data, which are classified as Level 3 significant unobservable inputs in the fair value hierarchy. During the three and nine months ended September 30, 2022, the Company recorded additional impairment charges of $1.9 million and $3.9 million, respectively, related to capital expenditures at the Boehlen styrene monomer facility that it determined to be impaired, which are also included within “Other charges” on the condensed consolidated statements of operations. Refer to the Company’s Annual Report for further information. As of September 30, 2022 and December 31, 2021, the value of the Boehlen styrene monomer assets are recorded at $2.9 million and $3.4 million, respectively, within the Company’s condensed consolidated balance sheets herein.

There were no other financial assets or liabilities measured at fair value on a nonrecurring basis as of December 31, 2021.

Fair Value of Debt Instruments

The following table presents the estimated fair value of the Company’s outstanding debt not carried at fair value as of September 30, 2022 and December 31, 2021:


		As of			As of
		September 30, 2022			December 31, 2021
2029 Senior Notes		$	268.2		$	460.2
2028 Term Loan B			685.5			737.4
2025 Senior Notes			393.7			509.4
2024 Term Loan B			639.8			667.5
Total fair value		$	1,987.2		$	2,374.5

The fair value of the Company’s debt facilities above (each Level 2 securities) is determined using over-the-counter market quotes and benchmark yields received from independent vendors. Fair value amount presented reflect the Company’s carrying value of debt, net of original issuance discount.

There were no other significant financial instruments outstanding as of September 30, 2022 and December 31, 2021.

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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