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Derivative Financial Instruments (Tables) | 6 Months Ended
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Mar. 31, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table shows our derivative instruments measured at gross fair value as reflected in the Consolidated Balance Sheets:
(in thousands) |  | Fair Value of Derivatives Designated As Hedging Instruments |  |  | Fair Value of Derivatives Not Designated As Hedging Instruments |
|  | March 31, 2021 |  |  | September 30, 2020 |  |  | March 31, 2021 |  |  | September 30, 2020 |
Derivative assets(1): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward Contracts |  | $ | 2,470 |  |  | $ | 3 |  |  | $ | 3,414 |  |  | $ | 900 |
Options |  | $ | — |  |  | $ | — |  |  | $ | 962 |  |  | $ | — |
Derivative liabilities(2): |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Forward Contracts |  | $ | — |  |  | $ | 306 |  |  | $ | 4,259 |  |  | $ | 767 |
(1) | As of March 31, 2021 and September 30, 2020, current derivative assets of $6.8 million and $0.9 million, respectively, are recorded in other current assets in the Consolidated Balance Sheets.
(2) | As of March 31, 2021 and September 30, 2020, current derivative liabilities of $4.3 million and $1.1 million, respectively, are recorded in accrued expenses and other current liabilities in the Consolidated Balance Sheets.
Schedule of Notional Amounts of Outstanding Forward Contracts and Options | As of March 31, 2021 and September 30, 2020, we had outstanding forward contracts and options with notional amounts equivalent to the following:
Currency Hedged (in thousands) |  | March 31, 2021 |  |  | September 30, 2020 |
Canadian / U.S. Dollar |  | $ | 5,824 |  |  | $ | 6,847 |
Euro / U.S. Dollar(1) |  |  | 532,906 |  |  |  | 390,673 |
British Pound / U.S. Dollar |  |  | 1,459 |  |  |  | 6,328 |
Israeli Shekel / U.S. Dollar |  |  | 10,115 |  |  |  | 9,503 |
Japanese Yen / U.S. Dollar |  |  | 10,186 |  |  |  | 50,379 |
Swiss Franc / U.S. Dollar |  |  | 2,327 |  |  |  | 12,874 |
Swedish Krona / U.S. Dollar |  |  | 25,564 |  |  |  | 18,871 |
Chinese Renminbi / U.S. Dollar |  |  | 12,523 |  |  |  | 5,415 |
Taiwanese Dollar / U.S. Dollar |  |  | 7,876 |  |  |  | 1,482 |
All other |  |  | 13,506 |  |  |  | 10,090 |
Total |  | $ | 622,286 |  |  | $ | 512,462 |
(1) | As of March 31, 2021, $456.7 million of the Euro to U.S. Dollar outstanding notional amount relates to forward contracts and $76.2 million relates to options. As of September 30, 2020, all of the Euro to U.S. Dollar outstanding notional amount relates to forward contracts.
As of March 31, 2021 and September 30, 2020, we had outstanding forward contracts designated as net investment hedges with notional amounts equivalent to the following:
Currency Hedged (in thousands) |  | March 31, 2021 |  |  | September 30, 2020 |
Euro / U.S. Dollar |  | $ | 165,784 |  |  | $ | 164,885 |
Schedule of Net Gains and Losses on Foreign Currency Exposures | The following table shows the effect of our non-designated hedges in the Consolidated Statements of Operations for the three and six months ended March 31, 2021 and March 28, 2020:
(in thousands) |  |  |  | Three months ended |  |  | Six months ended |
|  | Location of Gain (Loss) |  | March 31, 2021 |  |  | March 28, 2020 |  |  | March 31, 2021 |  |  | March 28, 2020 |
Net realized and unrealized gain (loss), excluding the underlying foreign currency exposure being hedged |  | Other expense, net |  | $ | (3,033 | ) |  | $ | 1,189 |  |  | $ | (4,620 | ) |  | $ | 652 |
The following table shows the effect of our derivative instruments designated as net investment hedges in the Consolidated Statements of Operations for the three and six months ended March 31, 2021 and March 28, 2020:
(in thousands) |  |  |  | Three months ended |  |  | Six months ended |
|  | Location of Gain (Loss) |  | March 31, 2021 |  |  | March 28, 2020 |  |  | March 31, 2021 |  |  | March 28, 2020 |
Gain (loss) recognized in OCI |  | OCI |  | $ | 1,462 |  |  | $ | (2,140 | ) |  | $ | 2,041 |  |  | $ | (5,706 | )
Loss reclassified from OCI |  | OCI |  |  | (3,041 | ) |  |  | (6,016 | ) |  |  | (99 | ) |  |  | (6,778 | )
Gain recognized, excluded portion |  | Other expense, net |  |  | 426 |  |  |  | 962 |  |  |  | 733 |  |  |  | 2,191 |
Schedule of Offsetting Assets | The following table sets forth the offsetting of derivative assets as of March 31, 2021:
(in thousands) |  | Gross Amounts Offset in the Consolidated Balance Sheets |  |  |  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |  |  |  |
As of March 31, 2021 |  | Gross Amount of Recognized Assets |  |  | Gross Amounts Offset in the Consolidated Balance Sheets |  |  | Net Amounts of Assets Presented in the Consolidated Balance Sheets |  |  | Financial Instruments |  |  | Cash Collateral Received |  |  | Net Amount |
Forward Contracts |  | $ | 5,884 |  |  | $ | — |  |  | $ | 5,884 |  |  | $ | (4,259 | ) |  | $ | — |  |  | $ | 1,625 |
Schedule of Offsetting Liabilities | The following table sets forth the offsetting of derivative liabilities as of March 31, 2021:
(in thousands) |  | Gross Amounts Offset in the Consolidated Balance Sheets |  |  |  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |  |  |  |
As of March 31, 2021 |  | Gross Amount of Recognized Liabilities |  |  | Gross Amounts Offset in the Consolidated Balance Sheets |  |  | Net Amounts of Liabilities Presented in the Consolidated Balance Sheets |  |  | Financial Instruments |  |  | Cash Collateral Pledged |  |  | Net Amount |
Forward Contracts |  | $ | 4,259 |  |  | $ | — |  |  | $ | 4,259 |  |  | $ | (4,259 | ) |  | $ | — |  |  | $ | — |

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