During September 2020, we entered into a series of interest rate swaps which fixed the LIBO rate to an annual rate of 0.18% to 0.47% (for an effective interest rate of 1.93% to 2.22%, including margin) for an aggregate notional amount of $1,650 million to hedge a portion of the interest rate exposure resulting from our Term Loan Facility and classified these instruments as cash flow hedges. Our cash flow hedge contracts are for periods ranging from one to five years. The effective portion of the gain or loss on the open hedging instrument will be recorded in other comprehensive income and will be reclassified into earnings as interest expense, net when settled. The associated asset or liability on the open hedges is recorded at its fair value in other assets or other liabilities, as applicable.

Derivative commodity contracts were recorded at fair value in our condensed consolidated balance sheets and consisted of a liability of $1 million, recorded in accrued and other current liabilities, and an asset of $1 million, recorded in other current assets, as of September 30, 2020 and December 31, 2019, respectively.

Our commodity contracts are primarily commodity swaps and are all Level 2 financial assets and liabilities. Commodity derivatives are valued using an income approach based on the observable market commodity index prices less the contract rate multiplied by the notional amount or based on pricing models that rely on market observable inputs such as commodity prices. Our calculation of the fair value of these financial instruments takes into consideration the risk of non-performance, including counterparty credit risk. The majority of our derivative contracts do not have a legal right of set-off. We manage the credit risk in connection with our derivatives by limiting the amount of exposure with each counterparty and monitoring the financial condition of our counterparties.

For the three and nine months ended September 30, 2020, we recognized no unrealized gain or loss and an unrealized loss of $1 million, respectively, compared to unrealized gains of $1 million and $9 million in the comparable prior year periods, in cost of sales in the condensed consolidated statements of income.

The following table provides the detail of outstanding commodity derivative contracts as of September 30, 2020:

Type

Unit of measure

Contracted

volume

Contracted

price range

Contracted date

of maturity

Benzene swaps

U.S. liquid gallon

199,827

$1.25-$1.25

Nov 2020

Diesel swaps

U.S. liquid gallon

1,771,810

$2.30-$3.16

Oct 2020 - Jun 2021