Net Monetary Assets and Liabilities Hedge – Foreign Currency Forward Contracts

At December 31, 2022, the Company had 9 foreign currency forward contracts outstanding with an aggregate gross notional U.S. dollar equivalent of $180 and an average maturity of one month. At December 31, 2021, the Company had 12 foreign currency forward contracts outstanding with an aggregate gross notional U.S. dollar equivalent of $254, and an average maturity of one month. Chemours recognized a net gain of $2, a net loss of $15, and a net gain of $29 for the years ended December 31, 2022, 2021 and 2020, respectively, in other income (expense), net.

At December 31, 2022, the Company had 153 foreign currency forward contracts outstanding under its cash flow hedge program with an aggregate notional U.S. dollar equivalent of $180, and an average maturity of four months. At December 31, 2021, the Company had 175 foreign currency forward contracts outstanding under its cash flow hedge program with an aggregate notional U.S. dollar equivalent of $195, and an average maturity of four months. Chemours recognized a pre-tax gain of $17, a pre-tax gain of $10, and a pre-tax loss of $4 for the years ended December 31, 2022, 2021 and 2020, respectively, within accumulated other comprehensive loss. For the year ended December 31, 2022, $19 of gain was reclassified to the cost of goods sold from accumulated other comprehensive loss. For the years ended December 31, 2021 and 2020, $2 of loss and $3 of gain was reclassified to the cost of goods sold from accumulated other comprehensive loss, respectively.

The Company expects to reclassify approximately $4 of net pre-tax gain, based on current foreign currency exchange rates, from accumulated other comprehensive loss to the cost of goods sold over the next 12 months.

In 2020, the Company entered into interest rate swaps, the objective of which is to mitigate the volatility in the Company’s cash payments for interest related to the portion of its senior secured term loan facility denominated in U.S. dollars, which bears a variable interest rate equal to, at the election of the Company, adjusted LIBOR plus 1.75% or adjusted base rate plus 0.75%, subject to an adjusted LIBOR or an adjusted base rate floor of 0.00% or 1.00%, respectively.

At December 31, 2021, the Company had three interest rate swaps outstanding under its cash flow hedge program with an aggregate notional U.S. dollar equivalent of $400; each of the interest rate swaps mature on March 31, 2023. In September 2022, the Company terminated all of its outstanding interest rate swaps, which resulted in a cash settlement of $8. Chemours recognized a pre-tax gain of $8, a pre-tax gain of $2 and a pre-tax loss of $4 for the years ended December 31, 2022, 2021 and 2020 within accumulated other comprehensive loss, respectively. For the years ended December 31, 2022, 2021 and 2020, $5 of gain, $2 and less than $1 of loss were reclassified to interest expense, net from accumulated other comprehensive loss, respectively.

The Company expects to reclassify approximately $4 of pre-tax gain from accumulated other comprehensive loss to interest expense, net through March 2023.

The Company recognized a pre-tax gain of $53, a pre-tax gain of $73 and a pre-tax loss of $88 for the years ended December 31, 2022, 2021 and 2020, respectively, on its net investment hedge within accumulated other comprehensive loss. No amounts were reclassified from accumulated other comprehensive loss for the Company’s net investment hedges during the years ended December 31, 2022, 2021 and 2020.

The following table sets forth the fair value of the Company’s derivative assets and liabilities at December 31, 2022 and 2021.


		Fair Value Using Level 2 Inputs
	Balance Sheet Location	December 31, 2022		December 31, 2021
Asset derivatives:
Foreign currency forward contracts not designated as a hedging instrument	Accounts and notes receivable, net (Note 11)	$	—	$	1
Foreign currency forward contracts designated as a cash flow hedge	Accounts and notes receivable, net (Note 11)		2		5
Interest rate swaps designated as a cash flow hedge	Accounts and notes receivable, net (Note 11)		—		—
Total asset derivatives		$	2	$	6

Liability derivatives:
Foreign currency forward contracts not designated as a hedging instrument	Other accrued liabilities (Note 19)	$	1	$	1
Foreign currency forward contracts designated as a cash flow hedge	Other accrued liabilities (Note 19)		4		—
Total liability derivatives		$	5	$	1

The Company’s foreign currency forward contracts and interest rate swaps are classified as Level 2 financial instruments within the fair value hierarchy as the valuation inputs are based on quoted prices and market observable data of similar instruments. For derivative assets and liabilities, standard industry models are used to calculate the fair value of the various financial instruments based on significant observable market inputs, such as foreign exchange rates and implied volatilities obtained from various market sources. Market inputs are obtained from well-established and recognized vendors of market data, and are subjected to tolerance and/or quality checks.

The following table sets forth the pre-tax changes in fair value of the Company’s financial instruments for the years ended December 31, 2022, 2021 and 2020.


	Gain (Loss) Recognized In
										Accumulated Other
	Cost of			Interest			Other Income			Comprehensive
Year Ended December 31,	Goods Sold			Expense, Net			(Expense), Net			Loss
2022
Foreign currency forward contracts not designated as a hedging instrument	$	—		$	—		$	2		$	—
Foreign currency forward contracts designated as a cash flow hedge		19			—			—			17
Interest rate swaps designated as a cash flow hedge		—			5			—			8
Euro-denominated debt designated as a net investment hedge		—			—			—			53

2021
Foreign currency forward contracts not designated as a hedging instrument	$	—		$	—		$	(15	)	$	—
Foreign currency forward contracts designated as a cash flow hedge		(2	)		—			—			10
Interest rate swaps designated as a cash flow hedge		—			(2	)		—			2
Euro-denominated debt designated as a net investment hedge		—			—			—			73

2020
Foreign currency forward contracts not designated as a hedging instrument	$	—		$	—		$	29		$	—
Foreign currency forward contracts designated as a cash flow hedge		3			—			—			(4	)
Interest rate swaps designated as a cash flow hedge		—			—			—			(4	)
Euro-denominated debt designated as a net investment hedge		—			—			—			(88	)