Net Monetary Assets and Liabilities Hedge – Foreign Currency Forward Contracts

At December 31, 2019, the Company had 16 foreign currency forward contracts outstanding with an aggregate gross notional U.S. dollar equivalent of $530, and an average maturity of one month. At December 31, 2018, the Company had 20 foreign currency forward contracts outstanding with an aggregate gross notional U.S. dollar equivalent of $503, and an average maturity of one month. Chemours recognized a net loss of $2, and net gains of $3 and $4 for the years ended December 31, 2019, 2018, and 2017, respectively, which were recorded in other income (expense), net in the consolidated statements of operations.

At December 31, 2019, the Company had 150 foreign currency forward contracts outstanding under Chemours’ cash flow hedge program with an aggregate notional U.S. dollar equivalent of $124, and an average maturity of five months. At December 31, 2018, the Company had 75 foreign currency forward contracts outstanding under Chemours’ cash flow hedge program with an aggregate notional U.S. dollar equivalent of $143, and an average maturity of four months. The Company recognized pre-tax gains of $6 and $10 for the years ended December 31, 2019 and 2018, respectively, on its cash flow hedge within accumulated other comprehensive loss. For the years ended December 31, 2019 and 2018, $10 and $4 of gain was reclassified to the cost of goods sold from accumulated other comprehensive loss, respectively.

The Company expects to reclassify an approximate $3 of net gain from accumulated other comprehensive loss to the cost of goods sold over the next 12 months, based on current foreign currency exchange rates.

The Company recognized pre-tax gains of $20 and $32, and a pre-tax loss of $86 for the years ended December 31, 2019, 2018, and 2017, respectively, on its net investment hedges 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, 2019, 2018, and 2017.

The following table sets forth the fair value of the Company’s derivative assets and liabilities, and their level within the fair value hierarchy, at December 31, 2019 and 2018.

		December 31,
	Balance Sheet Location	2019		2018
Asset derivatives:
Foreign currency forward contracts not designated as a hedging instrument	Accounts and notes receivable, net	$	1	$	1
Foreign currency forward contracts designated as a cash flow hedge	Accounts and notes receivable, net		1		3
Total asset derivatives		$	2	$	4

Liability derivatives:
Foreign currency forward contracts not designated as a hedging instrument	Other accrued liabilities	$	1	$	1
Total liability derivatives		$	1	$	1

The Company’s foreign currency forward contracts 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 derivative assets and liabilities for the years ended December 31, 2019, 2018, and 2017.

	Gain (Loss) Recognized In
						Accumulated Other
Year Ended December 31,	Cost of Goods Sold		Other Income (Expense), Net			Comprehensive Loss
2019
Foreign currency forward contracts not designated as a hedging instrument	$	—	$	(2	)	$	—
Foreign currency forward contracts designated as a cash flow hedge		10		—			6
Euro-denominated debt designated as a net investment hedge		—		—			20

2018
Foreign currency forward contracts not designated as a hedging instrument	$	—	$	3		$	—
Foreign currency forward contracts designated as a cash flow hedge		4		—			10
Euro-denominated debt designated as a net investment hedge		—		—			32

2017
Foreign currency forward contracts not designated as a hedging instrument	$	—	$	4		$	—
Euro-denominated debt designated as a net investment hedge		—		—			(86	)