Foreign Currency Exchange Rate Derivatives—The notional value of our outstanding foreign exchange rate derivative contracts totaled $682 million as of March 31, 2020, with maturities extending through September 2023. These instruments consist of contracts to purchase or sell foreign-denominated currencies. As of March 31, 2020, the fair value of these contracts was in a net liability position totaling approximately $55 million. The fair value of outstanding derivative instruments is determined using observable financial market inputs, such as quoted market prices, and is classified as Level 2 in nature.

As of March 31, 2020, we have approximately $54 million of unrealized net losses in AOCI in connection with foreign exchange rate derivatives designated as cash flow hedges, and we expect to reclassify approximately $22 million of deferred losses out of AOCI by March 31, 2021, as hedged items are recognized in earnings.

Interest Rate Derivatives—On May 8, 2018, we entered into a U.S. dollar interest rate swap arrangement to mitigate exposure associated with cash flow variability on the Term Facility in an aggregate notional value of $1.9 billion. The interest rate swap arrangement was designated as a cash flow hedge at inception. As of September 30, 2019, our hedged forecasted transaction was no longer probable to occur, and as such, our hedge accounting ceased.

Upon commencement of the Chapter 11 Cases, we filed an emergency motion to perform under amended and restated hedging agreements, which was approved by the Court. The amended and restated interest rate swap arrangement resulted in a decrease in notional amount from $1.9 billion to $500 million, to match the agreed-upon exit facility term loan. As of March 31, 2020, the fair value of the $500 million notional value interest rate swap arrangement was in a liability position totaling $39 million and was recorded in “Accrued Liabilities” in our Balance Sheet. The change in the fair value of this swap arrangement in the first quarter of 2020 was approximately $20 million and was reflected in “Interest expense, net” in our Statement of Operations for the three months ended March 31, 2020.

Approximately $47 million, representing the fair value of the cancelled $1.4 billion interest rate swap as of the Petition Date, was included in the “Liabilities Subject to Compromise” as it is an allowed claim, discussed in Note 3, Reorganization.

The following table presents the total fair value of the derivatives by underlying risk and balance sheet classification:

	March 31, 2020				December 31, 2019
	Derivatives designated as cash flow hedges		Derivatives not designated as cash flow hedges		Derivatives designated as cash flow hedges		Derivatives not designated as cash flow hedges
	(In millions)
Other current assets	$	-	$	1	$	3	$	1
Other non-current assets		-		-		1		-
Total derivatives asset	$	-	$	1	$	4	$	1

Accrued liabilities	$	22	$	41	$	10	$	68
Other non-current liabilities		32		-		2		-
Total derivatives liability	$	54	$	41	$	12	$	68

The following table presents the total value, by underlying risk, recognized in other comprehensive income and reclassified from AOCI to our Statements of Operations, in connection with derivatives:

	Three Months Ended March 31,
	2020			2019
	(In millions)
Loss recognized in other comprehensive income (loss)
Foreign exchange hedges	$	(49	)	$	(7	)
Interest rate hedges		-			(15	)
Gain (loss) recognized on derivatives designated as cash flow hedges
Foreign exchange hedges
Revenue		(1	)		1
Cost of operations		(3	)		1
Interest rate hedges
Interest expense		-			1
Gain (loss) recognized on derivatives not designated as cash flow hedges
Foreign exchange hedges
Revenue		-			1
Cost of operations		(2	)		-
Interest rate hedges
Interest expense		(20	)		-