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Derivative Financial Instruments | 6 Months Ended
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Jun. 30, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments | Derivative Financial Instruments Risk Management Objective of Using Derivatives We are exposed to certain risks arising from both our business operations and economic conditions, and we principally manage our exposures to these risks through management of our core business activities. Certain of our foreign operations expose us to fluctuations of foreign interest rates and exchange rates that may impact revenue, expenses, cash receipts, cash payments, and the value of our stockholders' equity. We enter into derivative financial instruments to protect the value or fix the amount of certain cash flows in terms of the functional currency of the business unit with that exposure and also reduce the volatility in stockholders' equity. Cash Flow Hedges of Foreign Exchange Risk We are exposed to fluctuations in various foreign currencies against our functional currencies. We use foreign currency derivatives, including currency forward agreements, to manage our exposure to fluctuations in the various exchange rates. Currency forward agreements involve fixing the foreign currency exchange rate for delivery of a specified amount of foreign currency on a specified date. Certain business units with exposure to foreign currency exchange risks have designated certain currency forward agreements as cash flow hedges of forecasted intercompany inventory purchases and sales. Our principal currency exposures relate to the Euro, Swedish Krona, British Pound, Canadian Dollar, Polish Zloty and Australian Dollar. We had foreign exchange contracts with purchased notional amounts totaling $270 million and $0 million as of June 30, 2021 and December 31, 2020, respectively. As of June 30, 2021, our most significant foreign currency derivatives included contracts to sell U.S. Dollar and purchase Euro, purchase Swedish Krona and sell Euro, sell British Pound and purchase Euro, purchase Polish Zloty and sell Euro, purchase U.S. Dollar and sell Canadian Dollar, and to sell Canadian Dollar and purchase Euro. The purchased notional amounts associated with these currency derivatives are $97 million, $88 million, $36 million, $14 million, $13 million and $12 million, respectively. Hedges of Net Investments in Foreign Operations We are exposed to changes in foreign currencies impacting our net investments held in foreign subsidiaries. Cross-Currency Swaps Beginning in 2015, we entered into cross-currency swaps to manage our exposure to fluctuations in the Euro-U.S. Dollar exchange rate. During the second quarter of 2019 and third quarter of 2020 we entered into additional cross-currency swaps. The total notional amount of derivative instruments designated as net investment hedges was $1,208 million and $1,249 million as of June 30, 2021 and December 31, 2020, respectively. Foreign Currency Denominated Debt On March 11, 2016, we issued 2.250% Senior Notes of €500 million aggregate principal amount due March 2023. We designated the entirety of the outstanding balance, or $591 million and $610 million as of June 30, 2021 and December 31, 2020, respectively, net of unamortized discount, as a hedge of a net investment in certain foreign subsidiaries. The table below presents the effect of our derivative financial instruments on the Condensed Consolidated Income Statements and Statements of Comprehensive Income:
| Three Months Ended |  | Six Months Ended
| June 30, |  | June 30,
(in millions) | 2021 |  | 2020 |  | 2021 |  | 2020
Cash Flow Hedges |  |  |  |  |  |  |
Foreign Exchange Contracts |  |  |  |  |  |  |
Amount of (loss) gain recognized in OCI | $ | 4 |  |  | $ | 6 |  |  | $ | (7) |  |  | $ | 4 |
Amount of (gain) loss reclassified from OCI into revenue | 1 |  |  | (1) |  |  | (1) |  |  | 1 |
Amount of (gain) loss reclassified from OCI into cost of revenue | — |  |  | 1 |  |  | (1) |  |  | 2 |
Net Investment Hedges |  |  |  |  |  |  |
Cross-Currency Swaps |  |  |  |  |  |  |
Amount of gain (loss) recognized in OCI | $ | 2 |  |  | $ | (22) |  |  | $ | 32 |  |  | $ | 23 |
Amount of income recognized in Interest Expense | 5 |  |  | 5 |  |  | $ | 10 |  |  | $ | 9 |
Foreign Currency Denominated Debt |  |  |  |  |  |  |
Amount of gain (loss) recognized in OCI | $ | (6) |  |  | $ | (15) |  |  | $ | 20 |  |  | $ | (5) |
As of June 30, 2021, $6 million of net losses on cash flow hedges are expected to be reclassified into earnings in the next 12 months. As of June 30, 2021, no gains or losses on the net investment hedges are expected to be reclassified into earnings over their duration. The fair values of our derivative assets and liabilities are measured on a recurring basis using Level 2 inputs and are determined through the use of models that consider various assumptions including yield curves, time value and other measurements. The fair values of our derivative contracts currently included in our hedging program were as follows:
(in millions) | June 30, 2021 |  | December 31, 2020
Derivatives designated as hedging instruments |  |  |
Liabilities |  |  |
Cash Flow Hedges |  |  |
Other current liabilities | $ | (5) |  |  | $ | — |
Net Investment Hedges |  |  |
Other non-current accrued liabilities | $ | (82) |  |  | $ | (117) |
The fair value of our long-term debt, due in 2023, designated as a net investment hedge was $614 million and $640 million as of June 30, 2021 and December 31, 2020, respectively.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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