We are exposed to certain risks arising from operating internationally, including fluctuations in interest rates on our outstanding term loan borrowings and fluctuations in foreign exchange rates primarily related to the translation of euro-denominated net monetary liabilities, including intercompany balances, held by subsidiaries with a U.S. dollar functional currency. We manage these exposures within specified guidelines through the use of derivatives. All of our derivative instruments are utilized for risk management purposes, and we do not use derivatives for speculative trading purposes.

To achieve a desired mix of floating and fixed interest rates on our variable rate debt, we entered into interest rate swap agreements in March 2017 which are effective until July 2021. These agreements hedge contractual term loan interest rates. As of September 30, 2020 and December 31, 2019, the interest rate swap agreements had a notional amount of $300.0 million. As a result of these agreements, the interest rate on a portion of our term loan borrowings was fixed at 1.895%, plus the borrowing spread, until July 12, 2021.

The effective portion of changes in the fair value of derivatives designated as, and that qualify as, cash flow hedges is recorded in accumulated other comprehensive loss and is subsequently reclassified into earnings in the period that the hedged forecasted transaction affects earnings. The impact on accumulated other comprehensive loss and earnings from derivative instruments that qualified as cash flow hedges for the three and nine months ended September 30, 2020 and 2019 was as follows (in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
Interest Rate Contracts:	2020		2019		2020		2019
Gain (loss) recognized in accumulated other comprehensive loss, net of tax	$	9	$	(322)	$	(4,515)	$	(4,361)
Loss (gain) reclassified from accumulated other comprehensive loss to interest expense, net of tax	1,160		(236)		2,228		(1,019)

Assuming no change in London Inter-Bank Offered Rate, or LIBOR, based interest rates from market rates as of September 30, 2020, $3.6 million of losses, net of tax, recognized in accumulated other comprehensive loss will be reclassified to earnings over the next 12 months.

We enter into foreign exchange forward contracts, with durations of up to 12 months, designed to limit the exposure to fluctuations in foreign exchange rates related to the translation of certain non-U.S. dollar denominated liabilities, including intercompany balances. Hedge accounting is not applied to these derivative instruments as gains and losses on these hedge transactions are designed to offset gains and losses on underlying balance sheet exposures. As of September 30, 2020 and December 31, 2019, the notional amount of foreign exchange contracts where hedge accounting is not applied was $300.5 million and $180.9 million, respectively.

The foreign exchange loss in our condensed consolidated statements of income included the following gains and losses associated with foreign exchange contracts not designated as hedging instruments (in thousands):


	Three Months Ended September 30,				Nine Months Ended September 30,
Foreign Exchange Forward Contracts:	2020		2019		2020		2019
Gain (loss) recognized in foreign exchange loss	$	9,549	$	(7,430)	$	6,943	$	(10,718)

The cash flow effects of our derivative contracts for the nine months ended September 30, 2020 and 2019 are included within net cash provided by operating activities in the condensed consolidated statements of cash flows.

September 30, 2020

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Derivatives designated as hedging instruments:

Interest rate contracts

Other current assets

—

Accrued liabilities

4,143

Derivatives not designated as hedging instruments:

Foreign exchange forward contracts

Other current assets

4,079

Accrued liabilities

4,221

Total fair value of derivative instruments

4,079

8,364

December 31, 2019

Asset Derivatives

Liability Derivatives

Balance Sheet Location

Fair Value

Balance Sheet Location

Fair Value

Derivatives designated as hedging instruments:

Interest rate contracts

Other current assets

—

Accrued liabilities

855

Other non-current liabilities

660

Derivatives not designated as hedging instruments:

Foreign exchange forward contracts

Other current assets

2,508

Accrued liabilities

182

Total fair value of derivative instruments

2,508

1,697

Although we do not offset derivative assets and liabilities within our condensed consolidated balance sheets, our International Swap and Derivatives Association agreements provide for net settlement of transactions that are due to or from the same counterparty upon early termination of the agreement due to an event of default or other termination event. The following tables summarize the potential effect on our condensed consolidated balance sheets of offsetting our interest rate contracts and foreign exchange forward contracts subject to such provisions (in thousands):


	September 30, 2020
	Gross Amounts of Recognized Assets/ Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amounts Not Offset in the Consolidated Balance Sheet
Description							Derivative Financial Instruments		Cash Collateral Received (Pledged)		Net Amount
Derivative assets	$	4,079	$	—	$	4,079	$	(2,255)	$	—	$	1,824
Derivative liabilities	(8,364)		—		(8,364)		2,255		—		(6,109)


	December 31, 2019
	Gross Amounts of Recognized Assets/ Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amounts Not Offset in the Consolidated Balance Sheet
Description							Derivative Financial Instruments		Cash Collateral Received (Pledged)		Net Amount
Derivative assets	$	2,508	$	—	$	2,508	$	(596)	$	—	$	1,912
Derivative liabilities	(1,697)		—		(1,697)		596		—		(1,101)