Interest rate swaps, variable rate debt percent

  
  
On June 4, 2020, the Company entered into an interest rate swap with a notional value of $300 million in an effort to limit its exposure to changes in the variable interest rate on its Senior Secured Credit Facilities (see Note 10 for additional information). Interest on the swap began accruing on June 30, 2020 and the swap expires on June 28, 2024. The Company pays a fixed rate of 0.54% and receives a variable rate of interest equal to the three-month LIBOR on the swap.  
The critical terms of the swaps are substantially the same as the underlying borrowings. These interest rate swaps are accounted for as cash flow hedges as these transactions were executed to hedge the Company's interest payments and for accounting purposes are considered highly effective. As such, the effective portion of the hedges is recorded as unrealized gains (losses) on derivatives included in AOCI.  
The fair value of these interest rate swaps represents the present value of the anticipated net payments the Company will make to the counterparty, which, when they occur, are reflected as interest expense on the consolidated statements of income. These interest rate swaps result in a total debt mix of approximately 63% fixed rate debt and 37% variable rate debt.  
Net Investment Risk Management  
As of December 31, 2021, the Company's foreign currency denominated debt balance (net of original issue discount) designated as a hedge of its net investment in certain foreign subsidiaries totaled €5,227 million ($5,929 million). The amount of foreign exchange gains (losses) related to the net investment hedge included in the cumulative translation adjustment component of AOCI was $475 million, $(561) million and $97 million for the years ended December 31, 2021, 2020 and 2019, respectively.  
The fair values of the Company’s derivative instruments, on a gross basis, and the line items on the accompanying consolidated balance sheets to which they were recorded are summarized in the following table:  


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|  |  |  |  | December 31, 2021 |  | December 31, 2020 |
| (in millions) |  | Balance Sheet Classification |  | Assets |  | Liabilities |  | Notional |  | Assets |  | Liabilities |  | Notional |
| Derivatives designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Foreign exchange forward contracts |  | Other current assets and liabilities |  | $ | —  |  |  | 3  |  |  | $ | 110  |  |  | $ | 5  |  |  | $ | —  |  |  | $ | 70  |  |
| Interest rate swaps |  | Other assets and liabilities |  | 4  |  |  | 24  |  |  | 1,800  |  |  | —  |  |  | 55  |  |  | 1,800  |  |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Interest rate swaps |  | Other liabilities |  | —  |  |  | —  |  |  | —  |  |  | —  |  |  | 1  |  |  | 356  |  |
| Total derivatives |  |  |  | $ | 4  |  |  | $ | 27  |  |  |  |  | $ | 5  |  |  | $ | 56  |  |  |  |

  
The pre-tax effect of the Company’s cash flow hedging instruments on other comprehensive income (loss) is summarized in the following table:

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| --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- | --- |
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|  |  | Year Ended December 31, |
| (in millions) |  | 2021 |  | 2020 |  | 2019 |
| Foreign exchange forward contracts |  | $ | (8) |  |  | $ | 1  |  |  | $ | 2  |  |
| Interest rate derivatives |  | 35  |  |  | (28) |  |  | (22) |  |
| Total |  | $ | 27  |  |  | $ | (27) |  |  | $ | (20) |  |

  
The Company expects approximately $23 million of pre-tax unrealized losses related to its foreign exchange contracts and interest rate derivatives included in AOCI as of December 31, 2021 to be reclassified into earnings within the next twelve months. The total amount of cash flow hedge effect on the income statement is immaterial for the year ended December 31, 2021.  
  
  
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