The Company enters into forward foreign exchange contracts to hedge its foreign currency exposures on future production expenses and tax credit receivables denominated in various foreign currencies (i.e., cash flow hedges). The Company also enters into forward foreign exchange contracts that economically hedge certain of its foreign currency risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting. The Company monitors its positions with, and the credit quality of, the financial institutions that are party to its financial transactions. Changes in the fair value of the foreign exchange contracts that are designated as hedges are reflected in accumulated other comprehensive income (loss), and changes in the fair value of foreign exchange contracts that are not designated as hedges and do not qualify for hedge accounting are recorded in direct operating expense. Gains and losses realized upon settlement of the foreign exchange contracts that are designated as hedges are amortized to direct operating expense on the same basis as the production expenses being hedged.

September 30, 2020

Foreign Currency

Foreign Currency Amount

US Dollar Amount

Weighted Average Exchange Rate Per $1 USD

(Amounts in millions)

British Pound Sterling

£3.8

in exchange for

$5.1

£0.81

Hungarian Forint

HUF 274.1

in exchange for

$1.0

HUF 281.68

Euro

€1.0

in exchange for

$1.2

€0.80

Canadian Dollar

C$2.8

in exchange for

$2.0

C$1.42

Croatian Kuna

HRK2.5

in exchange for

$0.4

HRK6.32

The Company is exposed to the impact of interest rate changes primarily through its borrowing activities. The Company’s objective is to mitigate the impact of interest rate changes on earnings and cash flows. The Company primarily uses pay-fixed interest rate swaps to facilitate its interest rate risk management activities, which the Company generally designates as cash flow hedges of interest payments on floating-rate borrowings. Pay-fixed swaps effectively convert floating-rate borrowings to fixed-rate borrowings. The unrealized gains or losses from these designated cash flow hedges are deferred in accumulated other comprehensive income (loss) and recognized in interest expense as the interest payments occur. Changes in the fair value of interest rate swaps that are not designated as hedges are recorded in interest expense (see further explanation below).


Effective Date	Notional Amount (in millions)	Fixed Rate Paid	Maturity Date
May 23, 2018	$1,000.0	2.915%	March 24, 2025
June 25, 2018	$200.0	2.723%	March 23, 2025
July 31, 2018	$300.0	2.885%	March 23, 2025
December 24, 2018	$50.0	2.744%	March 23, 2025
December 24, 2018	$100.0	2.808%	March 23, 2025
December 24, 2018	$50.0	2.728%	March 23, 2025
Total	$1,700.0

During the three and six months ended September 30, 2020, the Company completed a series of transactions to amend and extend certain interest rate swap agreements. These transactions effectively replaced $1.4 billion ($200.0 million in the three months ended September 30, 2020), of the interest rate swaps presented in the table above, and resulted in an extension of the maturity date on an aggregate of $1.4 billion of the Company's interest rate swaps by an additional 2 to 5 years, subject to mandatory early termination dates, and a decrease of the weighted average fixed pay rate from 2.870% to 2.250% per annum.

These interest rate swap transactions consisted of the following in the six months ended September 30, 2020: (i) $1.4 billion of the interest rate swaps presented in the table above were de-designated as cash flow hedges, (ii) the Company entered into $1.4 billion of pay-variable receive-fixed interest rate swaps which are designed to offset the terms of the $1.4 billion of swaps in (i) and which are not designated as cash flow hedges, and (iii) the Company entered into $1.4 billion of new pay-fixed interest rate swaps with extended maturities. These new pay-fixed interest rate swaps are considered hybrid instruments with a financing component and an embedded at-market derivative that was designated as a cash flows hedge (see discussion of cash flow presentation below).


Effective Date	Notional Amount (in millions)	Fixed Rate Received	Maturity Date
May 19, 2020	$700.0	2.915%	March 24, 2025
May 19, 2020	$300.0	2.885%	March 23, 2025
May 19, 2020	$50.0	2.744%	March 23, 2025
June 15, 2020	$100.0	2.808%	March 23, 2025
June 15, 2020	$50.0	2.728%	March 23, 2025
August 14, 2020	$200.0	2.723%	March 23, 2025
Total	$1,400.0


Effective Date	Notional Amount (in millions)	Fixed Rate Paid	Maturity Date(1)
May 19, 2020	$700.0	1.923%	March 23, 2030
May 19, 2020	$350.0	2.531%	March 23, 2027
June 15, 2020	$150.0	2.343%	March 23, 2027
August 14, 2020	$200.0	1.840%	March 23, 2030
Total	$1,400.0

At the time of the de-designation of the above $1.4 billion in interest rate swaps, there was approximately $163.0 million of unrealized losses recorded in accumulated other comprehensive income (loss). This amount will be amortized to interest expense through the remaining term of the original de-designated swaps unless it becomes probable that the cash flows originally hedged will not occur, in which case the proportionate amount of the loss will be recorded to interest expense at that time. The $1.4 billion of interest rate swaps de-designated as cash flow hedges and the $1.4 billion of offsetting swaps will be marked to market with changes in fair value recognized, along with the fixed and variable payments on these swaps, in interest expense, which are expected to nearly offset each other.

Cash settlements related to interest rate contracts are generally classified as operating activities on the consolidated statements of cash flows. However, due to an other-than-insignificant financing element on a portion of our interest rate swaps (see table above for new designated cash flow hedge pay-fixed interest rate swaps), the cash flows related to these contracts are classified as financing activities.

Unaudited condensed consolidated statement of operations and comprehensive loss: The following table presents the pre-tax effect of the Company's derivatives on the accompanying unaudited condensed consolidated statements of operations and comprehensive loss for the three and six months ended September 30, 2020 and 2019:


	Three Months Ended				Six Months Ended
	September 30,				September 30,
	2020		2019		2020		2019
	(Amounts in millions)
Derivatives designated as cash flow hedges:
Forward exchange contracts
Loss recognized in accumulated other comprehensive loss	$	(0.4)	$	0.4	$	(0.6)	$	1.6
Gain (loss) reclassified from accumulated other comprehensive loss into direct operating expense	$	—	$	0.4	$	(0.1)	$	1.6
Interest rate swaps
Loss recognized in accumulated other comprehensive loss	$	(10.5)	$	(23.6)	$	(28.2)	$	(71.1)
Loss reclassified from accumulated other comprehensive loss into interest expense	$	(9.6)	$	(2.7)	$	(17.0)	$	(4.4)

Derivatives not designated as cash flow hedges:
Forward exchange contracts
Gain recognized in direct operating expense	$	—	$	—	$	0.3	$	—
Interest rate swaps
Loss reclassified from accumulated other comprehensive loss into interest expense	$	(8.0)	$	—	$	(11.4)	$	—

Total direct operating expense on consolidated statements of operations	$	366.8	$	499.4	$	789.8	$	1,067.4
Total interest expense on consolidated statements of operations	$	45.7	$	48.0	$	90.2	$	97.0

Unaudited condensed consolidated balance sheets: The Company classifies its forward foreign exchange contracts and interest rate swap agreements within Level 2 as the valuation inputs are based on quoted prices and market observable data of similar instruments (see Note 7). The portion of the swaps reflecting the financing component of the hybrid instrument discussed above is recorded at amortized cost and reduced over time based on payments. Pursuant to the Company's accounting policy to offset the fair value amounts recognized for derivative instruments, the Company presents the asset or liability position of the swaps that are with the same counterparty under a master netting arrangement net as either an asset or liability in its unaudited condensed consolidated balance sheets. The gross amount of swaps in an asset and liability position that were subject to a master netting arrangement was $161.3 million and $276.4 million, respectively, resulting in a net liability recorded in other liabilities - non-current of $115.1 million as of September 30, 2020.


	September 30, 2020
	Other Current Assets		Accounts Payable and Accrued Liabilities		Other Non-Current Liabilities
	(Amounts in millions)
Derivatives designated as cash flow hedges:
Forward exchange contracts	$	0.4	$	0.7	$	—
Interest rate swaps	—		—		36.0
Derivatives not designated as cash flow hedges:

Interest rate swaps(1)	—		—		156.6
Fair value of derivatives	$	0.4	$	0.7	$	192.6


	March 31, 2020
	Other Current Assets		Accounts Payable and Accrued Liabilities		Other Non-Current Liabilities
	(Amounts in millions)
Derivatives designated as cash flow hedges:
Forward exchange contracts	$	0.6	$	0.5	$	—
Interest rate swaps	—		—		187.9
Derivatives not designated as cash flow hedges:
Forward exchange contracts	—		0.4		—
Fair value of derivatives	$	0.6	$	0.9	187.9

As of September 30, 2020, based on the current release schedule, the Company estimates approximately $1.2 million of gains associated with forward foreign exchange contract cash flow hedges in accumulated other comprehensive loss will be reclassified into earnings during the one-year period ending September 30, 2021.