filings.toolsItem 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
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Item 3. QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK
See Part II.—Item 7A. "Quantitative and Qualitative Disclosures About Market Risk" in our Annual Report for further details of our market risks and our market sensitive instruments as of December 31, 2022. During the six months ended June 30, 2023, our market risk sensitive instruments fluctuated as a result of changes in interest rates, currency exchange rates and commodity prices.
Interest Rate Risk
In May 2023, we amended our 2026 forward starting interest rate swaps to replace LIBOR with SOFR. Subsequent to this transition, we are no longer exposed to LIBOR. For the period ended June 30, 2023, the following table presents our fixed rate debt and forward starting interest rate swaps as well as the impact of an absolute 1% adverse change in interest rates on their respective fair values. For the period ended December 31, 2022, the following table presents our fixed rate debt and forward starting interest rate swaps and the impact of an absolute 1% adverse change in interest rates on our forward starting interest rate swaps and a 10% adverse change in the yield on our fixed rate debt. Notional amounts and fair values are presented in USD based on the applicable exchange rates as of June 30, 2023 and December 31, 2022, respectively. See Part I - Item 1. Financial Statements, Note 7. "Debt" for the maturity dates of our outstanding debt instruments.
| Notional amounts | Fair Value Asset/(Liability) | Effect of Adverse Change | ||||||||||||||||||||||||||||||||||||
| (in millions) | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | ||||||||||||||||||||||||||||||||
| USD denominated fixed rate debt | $ | 4,900.0 | $ | 4,900.0 | $ | (4,436.4) | $ | (4,295.9) | $ | (409.3) | $ | (223.4) | ||||||||||||||||||||||||||
| Foreign currency denominated fixed rate debt | $ | 1,627.9 | $ | 1,594.2 | $ | (1,598.9) | $ | (1,557.4) | $ | (18.8) | $ | (11.1) | ||||||||||||||||||||||||||
| Forward starting interest rate swaps | $ | 1,000.0 | $ | 1,000.0 | $ | 29.3 | $ | 40.0 | $ | (76.9) | $ | (73.8) |
Foreign Exchange Risk
The following table includes details of our foreign currency forwards used to hedge our foreign exchange rate risk as well as the impact of a hypothetical 10% adverse change in the related foreign currency exchange rates on the fair value of the foreign currency forwards. Notional amounts and fair values are presented in USD based on the applicable exchange rates as of June 30, 2023 and December 31, 2022.
| Notional amounts | Fair Value Asset/(Liability) | Effect of Adverse Change | ||||||||||||||||||||||||||||||||||||
| (in millions) | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | ||||||||||||||||||||||||||||||||
| Foreign currency denominated fixed rate debt | $ | 1,627.9 | $ | 1,594.2 | $ | (1,598.9) | $ | (1,557.4) | $ | (149.4) | $ | (142.6) | ||||||||||||||||||||||||||
| Foreign currency forwards | $ | 238.6 | $ | 176.6 | $ | 0.8 | $ | 7.6 | $ | (22.7) | $ | (18.3) | ||||||||||||||||||||||||||
The table above excludes approximately CAD 260 million (195 million USD) of undesignated foreign exchange forward contracts entered into in the second quarter of 2023 which were used to manage our exposure to foreign currency fluctuations related to the repayment of our CAD 500 million 2.84% notes that matured on July 15, 2023. These contracts settled on July 12, 2023 in advance of the CAD 500 million 2.84% note repayment for an immaterial amount.
Commodity Price Risk
The following table includes details of our commodity swaps used to hedge commodity price risk as well as the impact of a hypothetical 10% adverse change in the related commodity prices on the fair value of the derivatives. The following table excludes our commodity options because we have offsetting buy and sell positions. Notional amounts and fair values are presented in USD based on the applicable exchange rates as of June 30, 2023 and December 31, 2022.
| Notional amounts | Fair Value Asset/(Liability) | Effect of Adverse Change | ||||||||||||||||||||||||||||||||||||
| (in millions) | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | As of June 30, 2023 | As of December 31, 2022 | ||||||||||||||||||||||||||||||||
| Swaps | $ | 678.6 | $ | 525.2 | $ | (45.9) | $ | 69.0 | $ | (58.9) | $ | (55.8) |
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