CELGENE CORP /DE/ - 10-Q filing on 2015-04-30

Derivative Instruments and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of foreign exchange contracts, statement of financial position

oreign currency option contracts entered into to hedge forecasted revenue were as follows at March 31, 2015 and December 31, 2014:



	Notional Amount¹
	March 31, 2015		December 31, 2014
Foreign currency option contracts designated as hedging activity:
Purchased Put	$	207.9	$	152.6
Written Call	$	220.5	$	160.9

¹ U.S. dollar notional amounts are calculated as the hedged local currency amount multiplied by the strike value of the foreign currency option. The local currency notional amounts of our purchased put and written call that are designated as hedging activities are equal to each other.

Schedule of fair value and balance sheet location of derivative instruments

The following tables summarize the fair value and presentation in the Consolidated Balance Sheets for derivative instruments as of March 31, 2015 and December 31, 2014:



		March 31, 2015
		Fair Value
Instrument	Balance Sheet Location	Asset Derivatives		Liability Derivatives
Derivatives designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	$	424.1	$	57.2
	Other current liabilities	0.3		1.7
	Other non-current assets	529.4		17.6
Interest rate swap agreements	Other current assets	21.0		—
	Other non-current assets	21.7		—
	Other non-current liabilities	—		11.2
Derivatives not designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	49.8		2.9
	Other current liabilities	0.1		1.0
Interest rate swap agreements	Other current assets	—		—
	Other non-current assets	1.3		—
Total		$	1,047.7	$	91.6



		December 31, 2014
		Fair Value
Instrument	Balance Sheet Location	Asset Derivatives		Liability Derivatives
Derivatives designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	$	264.9	$	44.9
	Other current liabilities	0.1		1.7
	Other non-current assets	322.3		17.5
Interest rate swap agreements	Other current assets	17.9		—
	Other non-current assets	4.8		0.3
	Other non-current liabilities	—		3.8
Derivatives not designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	39.7		6.0
	Other current liabilities	0.1		1.1
Interest rate swap agreements	Other current assets	0.1		—
	Other non-current assets	1.3		—
Total		$	651.2	$	75.3

¹ Derivative instruments in this category are subject to master netting arrangements and are presented on a net basis in the Consolidated Balance Sheets in accordance with ASC 210-20.

The following tables summarize the fair value and presentation in the Consolidated Balance Sheets for derivative instruments as of March 31, 2015 and December 31, 2014:



		March 31, 2015
		Fair Value
Instrument	Balance Sheet Location	Asset Derivatives		Liability Derivatives
Derivatives designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	$	424.1	$	57.2
	Other current liabilities	0.3		1.7
	Other non-current assets	529.4		17.6
Interest rate swap agreements	Other current assets	21.0		—
	Other non-current assets	21.7		—
	Other non-current liabilities	—		11.2
Derivatives not designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	49.8		2.9
	Other current liabilities	0.1		1.0
Interest rate swap agreements	Other current assets	—		—
	Other non-current assets	1.3		—
Total		$	1,047.7	$	91.6



		December 31, 2014
		Fair Value
Instrument	Balance Sheet Location	Asset Derivatives		Liability Derivatives
Derivatives designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	$	264.9	$	44.9
	Other current liabilities	0.1		1.7
	Other non-current assets	322.3		17.5
Interest rate swap agreements	Other current assets	17.9		—
	Other non-current assets	4.8		0.3
	Other non-current liabilities	—		3.8
Derivatives not designated as hedging instruments:
Foreign exchange contracts¹	Other current assets	39.7		6.0
	Other current liabilities	0.1		1.1
Interest rate swap agreements	Other current assets	0.1		—
	Other non-current assets	1.3		—
Total		$	651.2	$	75.3

¹ Derivative instruments in this category are subject to master netting arrangements and are presented on a net basis in the Consolidated Balance Sheets in accordance with ASC 210-20.

Cash flow hedges

Derivative [Line Items]

Schedule of effect of derivative instruments designated as hedging instruments on Consolidated Statements of Income

The following tables summarize the effect of derivative instruments designated as cash-flow hedging instruments on the Consolidated Statements of Income for the three-month periods ended March 31, 2015 and 2014:



	Three-Month Period Ended March 31, 2015
	(Effective Portion)							(Ineffective Portion and Amount Excluded From Effectiveness Testing)
Instrument	Amount of Gain/(Loss) Recognized in OCI on Derivative¹			Location of Gain/(Loss) Reclassified from Accumulated OCI into Income	Amount of Gain/(Loss) Reclassified from Accumulated OCI into Income			Location of Gain/(Loss) Recognized in Income on Derivative	Amount of Gain/(Loss) Recognized in Income on Derivative
Foreign exchange contracts	$	432.6		Net product sales	$	70.5		Other income, net	$	3.8	(2	)
Treasury rate lock agreements	$	—		Interest expense	$	(0.9	)
Interest rate swap agreements	$	(25.7	)	Interest expense	$	(0.4	)

⁽¹⁾ Net gains of $391.6 million are expected to be reclassified from Accumulated OCI into income in the next 12 months.

⁽²⁾ The amount of net gains recognized in income represents $7.2 million of gains related to amounts excluded from the assessment of hedge effectiveness (fair value adjustments of forward point amounts) and $3.4 million in losses related to the ineffective portion of the hedging relationships.



	Three-Month Period Ended March 31, 2014
	(Effective Portion)							(Ineffective Portion and Amount Excluded From Effectiveness Testing)
Instrument	Amount of Gain/(Loss) Recognized in OCI on Derivative			Location of Gain/(Loss) Reclassified from Accumulated OCI into Income	Amount of Gain/(Loss) Reclassified from Accumulated OCI into Income			Location of Gain/(Loss) Recognized in Income on Derivative	Amount of Gain/(Loss) Recognized in Income on Derivative
Foreign exchange contracts	$	(8.9	)	Net product sales	$	(1.0	)	Other income, net	$	(3.5	)	(1	)
Treasury rate lock agreements	$	—		Interest expense	$	(0.9	)
Interest rate swap agreements	$	(9.7	)		$	—

⁽¹⁾ The amount of net losses recognized in income represents $3.2 million of losses related to amounts excluded from the assessment of hedge effectiveness and $0.3 million in losses related to the ineffective portion of the hedging relationships.

Fair value hedges

Derivative [Line Items]

Schedule of effect of derivative instruments designated as hedging instruments on Consolidated Statements of Income

The following table summarizes the effect of derivative instruments designated as fair value hedging instruments on the Consolidated Statements of Income for the three-month periods ended March 31, 2015 and 2014:



		Amount of Gain (Loss) Recognized in Income on Derivative
	Location of Gain (Loss) Recognized in Income on Derivative	Three-Month Periods Ended March 31,
Instrument	Location of Gain (Loss) Recognized in Income on Derivative	2015		2014
Interest rate swap agreements	Interest expense	$	14.0	$	10.4

The following table summarizes the effect of derivative instruments not designated as hedging instruments on the Consolidated Statements of Income for the three-month periods ended March 31, 2015 and 2014:



		Amount of Gain (Loss) Recognized in Income on Derivative
	Location of Gain (Loss) Recognized in Income on Derivative	Three-Month Periods Ended March 31,
Instrument	Location of Gain (Loss) Recognized in Income on Derivative	2015		2014
Foreign exchange contracts	Other income (expense), net	$	74.5	$	(3.3	)
Put options on our common stock	Other income (expense), net	$	3.9	$	2.4

Foreign currency forward contracts

Derivative [Line Items]

Schedule of notional amount of derivative contracts

Foreign currency forward contracts entered into to hedge forecasted revenue and expenses were as follows at March 31, 2015 and December 31, 2014:



	Notional Amount
Foreign Currency	March 31, 2015		December 31, 2014
Australian Dollar	$	54.5	$	18.8
British Pound	363.8		304.8
Canadian Dollar	66.4		43.7
Euro	3,181.7		3,375.7
Japanese Yen	504.2		541.1
Total	$	4,170.6	$	4,284.1

Interest rate swap contracts

Derivative [Line Items]

Schedule of notional amount of derivative contracts

The following table summarizes the notional amounts of our outstanding swap contracts at March 31, 2015 and December 31, 2014:



	Notional Amount
	March 31, 2015		December 31, 2014
Interest rate swap contracts entered into as fair value hedges of the following fixed-rate senior notes:
2.450% senior notes due 2015	$	300.0	$	300.0
1.900% senior notes due 2017	300.0		300.0
2.300% senior notes due 2018	200.0		200.0
2.250% senior notes due 2019	500.0		500.0
3.950% senior notes due 2020	500.0		500.0
3.250% senior notes due 2022	1,000.0		750.0
4.000% senior notes due 2023	600.0		150.0
Total	$	3,400.0	$	2,700.0