In September of 2021, to economically hedge the foreign currency exposure associated with the planned payment of the euro-denominated purchase price for HRA Pharma, we entered into two non-designated currency option contracts with a total notional amount of $1.1 billion that will mature in the third quarter of 2022. The company recorded a loss of $12.6 million for the change in fair value of the option contracts during the three months ended October 2, 2021 in Other (income) expense, net. Gains or losses on the derivatives due to changes in the EUR/USD exchange rate prior to the close of the acquisition will be economically offset at closing in the final settlement of the euro-denominated HRA Pharma purchase price. At the time of settlement, we are obligated to pay the deferred financing fee of $25.9 million.

On August 15, 2019, we entered into a cross-currency swap designated as a net investment hedge to hedge the EUR currency exposure of our net investment in European operations. This agreement is a contract to exchange floating-rate Euro payments for floating-rate U.S. dollar payments through August 15, 2022. The payments are based on a notional basis of €450.0 million ($498.0 million) and settle quarterly.

On June 19, 2020, we entered into a foreign currency forward contract designated as a net investment hedge of the GBP currency exposure of our net investment in certain of our U.K. operations. The hedge had a notional basis of £155.0 million ($194.5 million) and was settled during the three months ended September 26, 2020.


	Notional Amount
	October 2, 2021		December 31, 2020
European Euro (EUR)	$	1,277.7	$	312.6
British Pound (GBP)	121.5		92.3
Israeli Shekel (ILS)	—		94.4
Danish Krone (DKK)	44.8		65.2
Swedish Krona (SEK)	41.9		41.2
Chinese Yuan (CNY)	36.2		49.1
United States Dollar (USD)	21.2		101.5
Polish Zloty (PLZ)	17.9		21.8
Canadian Dollar (CAD)	17.7		36.8
Norwegian Krone (NOK)	9.9		7.8
Switzerland Franc (CHF)	6.9		8.2
Turkish Lira (TRY)	4.7		4.0
Australian Dollar (AUD)	3.8		11.3
Romanian New Leu (RON)	3.7		3.6
Mexican Peso (MPX)	0.6		15.6
Other	2.2		2.3


Total	$	1,610.7	$	867.7


		Asset Derivatives
		Fair Value
	Balance Sheet Location	October 2, 2021		December 31, 2020
Designated derivatives:
Foreign currency forward contracts	Prepaid expenses and other current assets	$	5.0	$	5.0
Foreign currency forward contracts	Other non-current assets	0.4		0.5

Cross-currency swap	Other non-current assets	—		6.3
Total designated derivatives		$	5.4	$	11.8
Non-designated derivatives:
Foreign currency forward contracts	Prepaid expenses and other current assets	$	0.4	$	4.3
Foreign currency options	Prepaid expenses and other current assets	13.3		—
Total non-designated derivatives		$	13.7	$	4.3


		Liability Derivatives
		Fair Value
	Balance Sheet Location	October 2, 2021		December 31, 2020
Designated derivatives:
Foreign currency forward contracts	Other accrued liabilities	$	0.4	$	5.5
Cross-currency swap	Other accrued liabilities	24.1		—

Total designated derivatives		$	24.5	$	5.5
Non-designated derivatives:
Foreign currency forward contracts	Other accrued liabilities	$	1.4	$	2.4


	Three Months Ended
	October 2, 2021
Instrument	Amount of Gain/(Loss) Recorded in OCI		Classification of Gain/(Loss) Reclassified from AOCI into Earnings	Amount of Gain/(Loss) Reclassified from AOCI into Earnings		Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing	Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing


Cash flow hedges:
Interest rate swap agreements	$	—	Interest expense, net	$	(0.4)	Interest expense, net	$	—
Foreign currency forward contracts	2.4		Net sales	(0.4)		Net sales	—
			Cost of sales	(0.5)		Cost of sales	—
						Other (income) expense, net	0.2
	$	2.4		$	(1.3)		$	0.2
Net investment hedges:
Cross-currency swap	$	(28.4)				Interest expense, net	$	(0.9)


	Nine Months Ended
	October 2, 2021
Instrument	Amount of Gain/(Loss) Recorded in OCI(1)		Classification of Gain/(Loss) Reclassified from AOCI into Earnings	Amount of Gain/(Loss) Reclassified from AOCI into Earnings		Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing	Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges:
Treasury locks	$	—	Interest expense, net	$	(0.1)	Interest expense, net	$	—

Interest rate swap agreements	—		Interest expense, net	(1.3)		Interest expense, net	—
Foreign currency forward contracts	2.0		Net sales	(2.3)		Net sales	—
			Cost of sales	1.4		Cost of sales	0.4
						Other (income) expense, net	0.6
	$	2.0		$	(2.3)		$	1.0
Net investment hedges:
Cross-currency swap	$	(30.5)				Interest expense, net	$	(2.9)


	Three Months Ended
	September 26, 2020
Instrument	Amount of Gain/(Loss) Recorded in OCI		Classification of Gain/(Loss) Reclassified from AOCI into Earnings	Amount of Gain/(Loss) Reclassified from AOCI into Earnings		Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing	Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges:


Interest rate swap agreements	$	—	Interest expense, net	$	(0.4)	Interest expense, net	$	—
Foreign currency forward contracts	(1.5)		Net sales	(0.1)		Net sales	—
			Cost of sales	1.3		Cost of sales	0.2
	$	(1.5)		$	0.8		$	0.2
Net investment hedges:
Cross-currency swap	$	(0.3)				Interest expense, net	$	0.9
Foreign currency forward contract	(11.7)					Interest expense, net	(0.1)
	$	(12.0)					$	0.8


	Nine Months Ended
	September 26, 2020
Instrument	Amount of Gain/(Loss) Recorded in OCI		Classification of Gain/(Loss) Reclassified from AOCI into Earnings	Amount of Gain/(Loss) Reclassified from AOCI into Earnings		Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing	Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges:
Treasury locks	$	—	Interest expense, net	$	(0.1)	Interest expense, net	$	—

Interest rate swap agreements	—		Interest expense, net	(1.3)		Interest expense, net	—
Foreign currency forward contracts	8.3		Net sales	(0.1)		Net sales	0.1
			Cost of sales	0.3		Cost of sales	0.8
	$	8.3		$	(1.2)		$	0.9
Net investment hedges:
Cross-currency swap	$	(18.6)				Interest expense, net	$	5.6
Foreign currency forward contract	(11.2)					Interest expense, net	(0.1)
	$	(29.8)					$	5.5

The amounts of (income)/expense recognized in earnings related to our non-designated derivatives on the Condensed Consolidated Statements of Operations were as follows (in millions):


		Three Months Ended				Nine Months Ended
Non-Designated Derivatives	Income Statement Location	October 2, 2021		September 26, 2020		October 2, 2021		September 26, 2020
Foreign currency forward contracts	Other (income) expense, net	$	(0.1)	$	(0.3)	$	(6.1)	$	(1.3)
	Interest expense, net	0.2		0.9		1.2		2.8
		$	0.1	$	0.6	$	(4.9)	$	1.5

Foreign currency options	Other (income) expense, net	$	12.6	$	—	$	12.6	$	—


	Three Months Ended
	October 2, 2021
	Net Sales		Cost of Sales		Interest Expense, net		Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded	$	1,042.7	$	706.3	$	30.9	$	18.5

The effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships
Foreign currency forward contracts
Amount of gain or (loss) reclassified from AOCI into earnings	$	(0.4)	$	(0.5)	$	—	$	—
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach	$	—	$	—	$	—	$	0.2





Interest rate swap agreements
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(0.4)	$	—


	Nine Months Ended
	October 2, 2021
	Net Sales		Cost of Sales		Interest Expense, net		Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded	$	3,033.8	$	1,980.0	$	94.5	$	20.4

The effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships
Foreign currency forward contracts
Amount of gain or (loss) reclassified from AOCI into earnings	$	(2.3)	$	1.4	$	—	$	—
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach	$	—	$	0.4	$	—	$	0.6

Treasury locks
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(0.1)	$	—


Interest rate swap agreements
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(1.3)	$	—


	Three Months Ended
	September 26, 2020
	Net Sales		Cost of Sales		Interest Expense, net		Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded	$	1,003.0	$	633.3	$	33.3	$	(1.0)

The effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships
Foreign currency forward contracts
Amount of gain or (loss) reclassified from AOCI into earnings	$	(0.1)	$	1.3	$	—	$	—
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach	$	—	$	0.2	$	—	$	—





Interest rate swap agreements
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(0.4)	$	—


	Nine Months Ended
	September 26, 2020
	Net Sales		Cost of Sales		Interest Expense, net		Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded	$	3,035.0	$	1,924.5	$	94.3	$	17.9

The effects of cash flow hedging:
Gain (loss) on cash flow hedging relationships
Foreign currency forward contracts
Amount of gain or (loss) reclassified from AOCI into earnings	$	(0.1)	$	0.3	$	—	$	—
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach	$	0.1	$	0.8	$	—	$	—

Treasury locks
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(0.1)	$	—


Interest rate swap agreements
Amount of gain or (loss) reclassified from AOCI into earnings	$	—	$	—	$	(1.3)	$	—