At March 31, 2023 and December 31, 2022, we had no interest rate swap agreements outstanding.

The Company had treasury lock agreements, designated as cash flow hedges, to protect against unfavorable movements in the benchmark treasury rate related to the issuance of our senior unsecured notes. As part of the issuance of our senior notes, we net settled these derivatives for $10 million in cash and the deferred gains recorded in other comprehensive income (loss) will be released to interest expense over the life of the senior notes. The effect of these settled treasury locks reduces the effective interest rate on the senior notes by approximately 0.25%.

In November 2020, we entered into a cross currency and interest rate swap, which is designated as a cash flow hedge of a €270 million, 5-year amortizing, intercompany loan between one of our European subsidiaries and the U.S. parent company. Changes in the spot exchange are recorded to the general ledger and offset the fair value re-measurement of the hedged item. The net difference in the interest rates coupons is recorded as a credit to interest expense. The derivative swaps €270 million bearing interest at a fixed rate of 0.30% for $319.9 million at a fixed rate interest of 1.115%. The interest coupons settle semi-annually. The principal will amortize each year on November 15, as follows: for years 1 through 4, beginning November 15, 2021, €50 million versus $59.2 million, and a final settlement on November 15, 2025 of €70 million versus $82.9 million. The carrying value of the derivative at March 31, 2023 was a current asset of $5.9 million and a long-term asset of $9.9 million. The carrying value of the derivative at December 31, 2022 was a current asset of $6.2 million and a long-term asset of $10.1 million.

A number of our European subsidiaries are exposed to the impact of exchange rate volatility between the U.S. dollar and the subsidiaries’ functional currencies, being either the Euro or the British pound sterling. We have entered into contracts to exchange U.S. dollars for Euros and British pound sterling through November 2025. The aggregate notional amount of these contracts was $487.4 million and $503.3 million at March 31, 2023 and December 31, 2022, respectively. The purpose of these contracts is to hedge a portion of the forecasted transactions of our European subsidiaries under long-term sales contracts with certain customers. These contracts are expected to provide us with a more balanced matching of future cash receipts and expenditures by currency, thereby reducing our exposure to fluctuations in currency exchange rates. The effective portion of the hedges, gains of $4.0 million were recorded in other comprehensive (loss) income for the three months ended March 31, 2023, and losses of $6.8 million were recorded for the three months ended March 31, 2022, respectively. We classified $6.6 million of the carrying amount of these contracts as

assets ($2.8 million of which was recorded in prepaid expenses and other current assets) and $13.0 million as liabilities ($2.7 million of which is recorded in non-current liabilities) on the Condensed Consolidated Balance Sheets at March 31, 2023, and $5.3 million of the carrying amount of these contracts was classified in assets ($1.9 million of which was recorded in prepaid expenses and other current assets) and $19.4 million as liabilities ($5.3 million of which is in other non-current liabilities) at December 31, 2022. We recognized losses of $3.7 million and losses of $0.7 million in net sales during the three months ended March 31, 2023 and 2022, respectively.

In addition, we enter into foreign exchange forward contracts which are not designated as hedges. These are used to provide an offset to transactional gains or losses arising from the remeasurement of non-functional monetary assets and liabilities such as accounts receivable. The change in the fair value of the derivatives is recorded in the statement of operations. There are no credit contingency features in these derivatives. During the quarters ended March 31, 2023 and 2022, we recognized net foreign exchange gains of $0.4 million and losses of $0.2 million, respectively, in the Condensed Consolidated Statements of Operations. The net foreign exchange impact recognized from these hedges offset the translation exposure of these transactions. The carrying amount of the contracts for derivatives not designated as hedging instruments was $1.7 million classified in current liabilities at March 31, 2023, and $0.7 million classified in current liabilities on our Condensed Consolidated Balance Sheet at December 31, 2022.

The change in fair value of our foreign currency forward exchange contracts under hedge designations recorded net of tax within accumulated other comprehensive loss for the quarters ended March 31, 2023 and March 31, 2022 was as follows:


	Quarter Ended March 31,
(In millions)	2023			2022
Unrealized losses at beginning of period, net of tax	$	(10.5	)	$	(3.5	)
Losses reclassified to net sales		2.7			0.3
Increase (decrease) in fair value		3.0			(4.8	)
Unrealized losses at end of period, net of tax	$	(4.8	)	$	(8.0	)

Unrealized losses of $7.5 million recorded in accumulated other comprehensive loss, less taxes of $1.8 million, as of March 31, 2023, are expected to be reclassified into earnings over the next twelve months as the hedged sales are recorded.