We operate internationally and, in the normal course of business, are exposed to fluctuations in foreign currency exchange rates. The exposures result from portions of our revenues, as well as the related receivables, and expenses that are denominated in currencies other than the U.S. dollar, primarily the Euro and Japanese Yen. We are also exposed to fluctuations in interest rates on outstanding borrowings under our revolving credit facility, if any, and term loan facility. 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.

We enter into foreign exchange forward contracts, with durations of up to 60 months, to hedge exposures resulting from portions of our forecasted revenues, including intercompany revenues, and certain forecasted expenses that are denominated in currencies other than the U.S. dollar. The purpose of these hedges is to reduce the volatility of exchange rate fluctuations on our operating results. These hedges are designated as cash flow hedges upon contract inception. As of September 30, 2020, we had open revenue related foreign exchange forward contracts with notional amounts totaling $1,029.0 that qualified for hedge accounting with current contract maturities through June 2022. As of September 30, 2020, we had open expense related foreign exchange forward contracts with notional amounts totaling $10.0 that qualified for hedge accounting with contract maturities through September 2022.

To achieve a desired mix of floating and fixed interest rates on our term loan, we enter into interest rate swap agreements that qualify for and are designated as cash flow hedges. These contracts convert the floating interest rate on a portion of our debt to a fixed rate, plus a borrowing spread.

Type of Interest Rate Swap Contract

Notional Amount

Effective Date

Termination Date

Fixed Interest Rate or Rate Range

Floating to Fixed

$450.0

December 2018

December 2022

2.60% - 2.79%

Floating to Fixed

$1,300.0

December 2019

December 2022

2.37% - 2.83%

The amount of gains and (losses) recognized in the condensed consolidated statements of operations for the three and nine months ended September 30, 2020 and 2019 from foreign exchange and interest rate swap contracts that qualified as cash flow hedges were as follows:


	Three months ended				Three months ended
	September 30, 2020				September 30, 2019
Financial Statement Line Item in which the Effects of Cash Flow Hedges are Recorded	Net Product Sales		Interest Expense		Net Product Sales		Interest Expense
Total amount presented in the Condensed Consolidated Statements of Operations	$	1,588.3	$	(27.6)	$	1,263.1	$	(17.9)
Impact of cash flow hedging relationships:
Foreign exchange forward contracts	$	(5.0)	$	—	$	11.0	$	—
Interest rate swap contracts	$	—	$	(11.3)	$	—	$	3.4


	Nine months ended				Nine months ended
	September 30, 2020				September 30, 2019
Financial Statement Line Item in which the Effects of Cash Flow Hedges are Recorded	Net Product Sales		Interest Expense		Net Product Sales		Interest Expense
Total amount presented in the Condensed Consolidated Statements of Operations	$	4,477.4	$	(77.0)	$	3,605.8	$	(56.1)
Impact of cash flow hedging relationships:
Foreign exchange forward contracts	$	15.9	$	—	$	27.1	$	—
Interest rate swap contracts	$	—	$	(25.9)	$	—	$	12.5

The impact on accumulated other comprehensive income (AOCI) and earnings from foreign exchange and interest rate swap contracts that qualified as cash flow hedges, for the three and nine months ended September 30, 2020 and 2019 were as follows:


	Three months ended				Nine months ended
	September 30,				September 30,
	2020		2019		2020		2019
Foreign Exchange Forward Contracts:
(Loss) gain recognized in AOCI, net of tax	$	(22.9)	$	30.5	$	(3.0)	$	40.8
(Loss) gain reclassified from AOCI to net product sales, net of tax	$	(4.0)	$	8.6	$	12.2	$	21.0
Interest Rate Swap Contracts:
Gain (loss) recognized in AOCI, net of tax	$	0.1	$	(7.1)	$	(52.6)	$	(45.9)
(Loss) gain reclassified from AOCI to interest expense, net of tax	$	(8.8)	$	2.6	$	(20.1)	$	9.6

Assuming no change in foreign exchange rates from market rates at September 30, 2020, $13.6 of losses recognized in AOCI will be reclassified to revenue over the next 12 months. Assuming no change in LIBOR-based interest rates from market rates at September 30, 2020, $45.6 of losses recognized in AOCI will be reclassified to interest expense over the next 12 months. Amounts recognized in AOCI for expense related foreign exchange forward contracts were immaterial as of September 30, 2020.

We enter into foreign exchange forward contracts, with durations of up to 6 months, designed to limit the balance sheet exposure of monetary assets and liabilities. We enter into these hedges to reduce the impact of fluctuating exchange rates on our operating results. 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, the notional amount of foreign exchange contracts where hedge accounting is not applied was $1,253.0.

We recognized a (loss) gain of $(6.2) and $1.4, in other income and (expense) for the three months ended September 30, 2020 and 2019, respectively, associated with the foreign exchange contracts not designated as hedging instruments. We recognized a gain (loss) of $6.8 and $(1.2), in other income and (expense) for the nine months ended September 30, 2020 and 2019, respectively, associated with the foreign exchange contracts not designated as hedging instruments. These amounts were partially offset by gains or losses on monetary assets and liabilities.

September 30, 2020

Derivative Assets

Derivative Liabilities

Balance Sheet
Location

Fair
Value

Balance Sheet
Location

Fair
Value

Derivatives designated as hedging instruments:

Foreign exchange forward contracts

Prepaid expenses and other current assets

3.0

Other current liabilities

16.8

Foreign exchange forward contracts

Other assets

0.4

Other liabilities

0.3

Interest rate swap contracts

Prepaid expenses and other current assets

—

Other current liabilities

45.6

Interest rate swap contracts

Other assets

—

Other liabilities

57.6

Derivatives not designated as hedging instruments:

Foreign exchange forward contracts

Prepaid expenses and other current assets

8.7

Other current liabilities

8.0

Total fair value of derivative instruments

12.1

128.3

December 31, 2019

Derivative Assets

Derivative Liabilities

Balance Sheet
Location

Fair
Value

Balance Sheet
Location

Fair
Value

Derivatives designated as hedging instruments:

Foreign exchange forward contracts

Prepaid expenses and other current assets

12.7

Other current liabilities

6.2

Foreign exchange forward contracts

Other assets

0.6

Other liabilities

1.1

Interest rate swap contracts

Prepaid expenses and other current assets

—

Other current liabilities

19.5

Interest rate swap contracts

Other assets

—

Other liabilities

41.9

Derivatives not designated as hedging instruments:

Foreign exchange forward contracts

Prepaid expenses and other current assets

17.2

Other current liabilities

20.4

Total fair value of derivative instruments

30.5

89.1

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 foreign exchange forward contracts and interest rate contracts subject to such provisions:


	September 30, 2020
							Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Description	Gross Amounts of Recognized Assets/Liabilities		Gross Amounts Offset in the Condensed Consolidated Balance Sheet		Net Amounts of Assets/Liabilities Presented in the Condensed Consolidated Balance Sheet		Derivative Financial Instruments		Cash Collateral Received (Pledged)		Net Amount
Derivative assets	$	12.1	$	—	$	12.1	$	(11.4)	$	—	$	0.7
Derivative liabilities	$	(128.3)	$	—	$	(128.3)	$	11.4	$	—	$	(116.9)


	December 31, 2019
							Gross Amounts Not Offset in the Condensed Consolidated Balance Sheet
Description	Gross Amounts of Recognized Assets/Liabilities		Gross Amounts Offset in the Condensed Consolidated Balance Sheet		Net Amounts of Assets/Liabilities Presented in the Condensed Consolidated Balance Sheet		Derivative Financial Instruments		Cash Collateral Received (Pledged)		Net Amount
Derivative assets	$	30.5	$	—	$	30.5	$	(21.4)	$	—	$	9.1
Derivative liabilities	$	(89.1)	$	—	$	(89.1)	$	21.4	$	—	$	(67.7)