Quarterly decline in notional amount

[Table of Contents](#i677b09687fd443618b9c84261c8e0734_7)interest rate of 1.162%. The notional amount of the 2022 Swap Agreement declines by $100.0 million on a quarterly basis as of May 31, 2022 and is maturing on February 28, 2024. As of August 31, 2022, the notional amount of the 2022 Swap Agreement was $600.0 million. We have designated and accounted for the 2022 Swap Agreement as a cash flow hedge with the unrealized gains or losses recorded in AOCL, net of tax, in the Consolidated Balance Sheets. Realized gains or losses resulting from settlement are subsequently reclassified into Interest expense, net in the Consolidated Statements of Income. Since its inception on March 1, 2022 and through August 31, 2022, the interest rate swap was considered highly effective. Refer to Note 12, Debt, for further discussion of the 2022 Credit Facilities. Refer to Interest Rate Risk in Part II, Item 7A of this Annual Report on Form 10-K for further discussion of our exposure to interest rate risk on our long-term debt outstanding.Gross Notional Value and Fair Value of Derivative Instruments The following is a summary of the gross notional values of the derivative instruments: 

|  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |
| (in thousands) | Gross Notional Value |
| August 31, 2022 |  | August 31, 2021 |
| Foreign currency forward contracts | $ | 156,846  |  |  | $ | 154,728  |  |
| Interest rate swap agreement | 600,000  |  |  | 287,500  |  |
| Total cash flow hedges | $ | 756,846  |  |  | $ | 442,228  |  |

The following is a summary of the fair values of the derivative instruments:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
|  | Fair Value of Derivative Instruments |
| (in thousands) | Derivative Assets |  | Derivative Liabilities |
| Derivatives designated as hedging instruments | Balance Sheet Classification | August 31, 2022 | August 31, 2021 |  | Balance Sheet Classification | August 31, 2022 | August 31, 2021 |
| Foreign currency forward contracts | Prepaid expenses and other current assets | $ | —  |  | $ | 1,384  |  |  | Accounts payable and accrued expenses | $ | 8,307  |  | $ | 1,201  |  |
| Interest rate swap agreement | Prepaid expenses and other current assets | 10,621  |  | —  |  |  | Accounts payable and accrued expenses | —  |  | 1,934  |  |
| Other assets | 1,791  |  | —  |  |  | Other liabilities | —  |  | 1,045  |  |
| Total cash flow hedges |  | $ | 12,412  |  | $ | 1,384  |  |  |  | $ | 8,307  |  | $ | 4,181  |  |

  
All derivatives were designated as hedging instruments as of August 31, 2022 and 2021, respectively.Derivatives in Cash Flow Hedging RelationshipsThe following table provides the pre-tax effect of derivative instruments in cash flow hedging relationships for each of the three fiscal years ended August 31, 2022, 2021 and 2020:

|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| (in thousands) | Gain (Loss) Reclassified in AOCL on Derivatives | Location of Gain (Loss) Reclassified from AOCL into Income | Gain (Loss) Reclassified from AOCL into Income |
| Derivatives in Cash Flow Hedging Relationships | 2022 | 2021 | 2020 | 2022 | 2021 | 2020 |
| Foreign currency forward contracts | $ | (16,356) |  | $ | 1,660  |  | $ | 5,049  |  | SG&A | $ | (7,867) |  | $ | 5,027  |  | $ | (1,556) |  |
| Interest rate swap agreement | 17,245  |  | 745  |  | (6,138) |  | Interest expense, net | 1,854  |  | (1,956) |  | (458) |  |
| Total cash flow hedges | $ | 889  |  | $ | 2,405  |  | $ | (1,089) |  |  | $ | (6,013) |  | $ | 3,071  |  | $ | (2,014) |  |

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