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DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables) | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Interest Rate Derivatives | The following table contains information on the outstanding interest rate swaps as of September 30, 2020:
Outstanding Interest Rate Swaps (a)
Date Entered Into | Term | Notional Amount | Related Debt Facility | Fixed Rate of Swap (b) | Bank Margin on Debt | Total Effective Interest Rate (c)
August 2015 | 9 years | $170,000 |  | Term Credit Agreement | 2.20 | % | 1.60 | % | 3.80 | %
August 2015 | 9 years | 180,000 |  | Term Credit Agreement | 2.35 | % | 1.60 | % | 3.95 | %
April 2016 | 10 years | 100,000 |  | Incremental Term Loan | 1.60 | % | 1.90 | % | 3.50 | %
April 2016 | 10 years | 100,000 |  | Incremental Term Loan | 1.60 | % | 1.90 | % | 3.50 | %
July 2016 | 10 years | 100,000 |  | Incremental Term Loan | 1.26 | % | 1.90 | % | 3.16 | %
June 2020 | 10 years | 250,000 |  | 2020 Incremental Term Loan | 1.10 | % | 1.85 | % | 2.95 | %
(a) All interest rate swaps have been designated as interest rate cash flow hedges and qualify for hedge accounting. (b) The interest rate swap entered in June 2020, was an off-market derivative, meaning it contained an embedded financing element, which the counterparties recovered through an incremental charge in the fixed rate over what would have been charged for an at-market swap. (c) Rate is before estimated patronage payments. The following table contains information on the expired treasury lock agreements entered into during the nine months ended September 30, 2020:
Converted Treasury Rate Locks (a)
Date Entered Into | Term | Notional Amount | Rate | Related Debt Facility (b) | Expiration Date
January 2020 | 10 years | $100,000 |  | 1.53% | 2020 Incremental Term Loan Facility | March 30, 2020
January 2020 | 10 years | 100,000 |  | 1.53% | 2020 Incremental Term Loan Facility | March 31, 2020
February 2020 | 10 years | 50,000 |  | 1.35% | 2020 Incremental Term Loan Facility | March 31, 2020
(a) At inception, all treasury locks were designated as interest rate cash flow hedges and qualified for hedge accounting. (b) See Note 7 — Debt for more information. We anticipate extending the term of the 2020 Incremental Term Loan facility for an additional five-year term upon maturity. The following table contains information on the terminated interest rate swap lock agreements as of September 30, 2020:
Converted Interest Rate Swap Locks (a)
Date Entered Into | Term | Notional Amount | Fixed Rate of Swap Lock (b) | Related Debt Facility (c) | Termination Date
March 2020 | 10 years | $100,000 |  | 1.56% | 2020 Incremental Term Loan Facility | June 30, 2020
March 2020 | 10 years | 100,000 |  | 1.59% | 2020 Incremental Term Loan Facility | June 30, 2020
March 2020 | 10 years | 50,000 |  | 1.41% | 2020 Incremental Term Loan Facility | June 30, 2020
(a) All interest rate swap locks have been designated as interest rate cash flow hedges and qualify for hedge accounting. (b) These interest rate swap locks were off-market derivatives, meaning they contained an embedded financing element, which the counterparties recovered through an incremental charge in the fixed rate over what would have been charged for an at-market swap lock. (c) See Note 7 — Debt for information. We anticipate extending the term of the 2020 Incremental Term Loan facility for an additional five-year term upon maturity. The following table contains information on the outstanding forward-starting interest rate swaps as of September 30, 2020:
Outstanding Forward-Starting Interest Rate Swaps (a)
Date Entered Into | Term | Notional Amount | Fixed Rate of Swap | Related Debt Facility | Forward Date | Maximum Period Ending for Forecasted Issuance Date
February 2020 | 10 years | $325,000 |  | 1.40 | % | Anticipated refinancing of Senior Notes due 2022 | April 2022 | April 2022
March 2020 | 4 years | 100,000 |  | 0.88 | % | Term Credit Agreement | August 2024 | N/A
May 2020 | 4 years | 50,000 |  | 0.74 | % | Term Credit Agreement | August 2024 | N/A
(a) All forward-starting interest rate swaps have been designated as interest rate cash flow hedges and qualify for hedge accounting.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following tables demonstrate the impact, gross of tax, of the Company’s derivatives on the Consolidated Statements of Income and Comprehensive Income for the three and nine months ended September 30, 2020 and 2019:
|  |  | Three Months Ended September 30,
| Income Statement Location |  | 2020 |  | 2019
Derivatives designated as cash flow hedges: |  |  |  |  |
Foreign currency exchange contracts | Other comprehensive income (loss) |  | $1,946 |  |  | ($2,870) |
Foreign currency option contracts | Other comprehensive income (loss) |  | 358 |  |  | (300) |
Interest rate products | Other comprehensive income (loss) |  | 2,417 |  |  | (9,592) |
| Interest Expense |  | 3,783 |  |  | (549) |
|  |  | Nine Months Ended September 30,
| Income Statement Location |  | 2020 |  | 2019
Derivatives designated as cash flow hedges: |  |  |  |  |
Foreign currency exchange contracts | Other comprehensive income (loss) |  | $1,806 |  |  | ($1,971) |
Foreign currency option contracts | Other comprehensive income (loss) |  | 85 |  |  | (330) |
Interest rate products | Other comprehensive income (loss) |  | (91,203) |  |  | (38,558) |
| Interest Expense |  | 6,951 |  |  | (2,414) |
Derivatives not designated as hedging instruments: |  |  |  |
Foreign currency exchange contracts | Interest and other miscellaneous (expense) income, net |  | — |  |  | 135 |
Carbon option contracts | Interest and other miscellaneous income, net |  | 563 |  |  | 414 |
Schedule of Notional Amounts of Outstanding Derivative Positions | The following table contains the notional amounts of the derivative financial instruments recorded in the Consolidated Balance Sheets:
| Notional Amount |
| September 30, 2020 |  | December 31, 2019 |
Derivatives designated as cash flow hedges: |  |  |  |
Foreign currency exchange contracts | $47,650 |  |  | $56,350 |  |
Foreign currency option contracts | 32,000 |  |  | 22,000 |  |
Interest rate swaps | 900,000 |  |  | 650,000 |  |
Forward-starting interest rate swaps | 475,000 |  |  | — |  |
Derivative not designated as a hedging instrument: |  |  |  |
Carbon options (a) | — |  |  | 9,592 |  |
(a) Notional amount for carbon options is calculated as the number of units outstanding multiplied by the spot price as of the end of the period.
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table contains the fair values of the derivative financial instruments recorded in the Consolidated Balance Sheets:
| Location on Balance Sheet |  | Fair Value Assets / (Liabilities) (a)
|  |  | September 30, 2020 |  | December 31, 2019
Derivatives designated as cash flow hedges: |  |  |  |
Foreign currency exchange contracts | Other current assets |  | $1,252 |  |  | $424 |
| Other assets |  | 1,293 |  |  | 390 |
| Other current liabilities |  | (96) |  |  | (172) |
Foreign currency option contracts | Other current assets |  | 563 |  |  | 151 |
| Other assets |  | — |  |  | 209 |
| Other current liabilities |  | (174) |  |  | (27) |
| Other non-current liabilities |  | — |  |  | (30) |
Interest rate swaps | Other assets |  | — |  |  | 2,614 |
| Other non-current liabilities |  | (61,308) |  |  | (11,068) |
Forward-starting interest rate swaps | Other non-current liabilities |  | (20,980) |  |  | — |
Derivative not designated as a hedging instrument: |  |  |  |
Carbon options | Other current liabilities |  | — |  |  | (607) |
Total derivative contracts: |  |  |  |  |
Other current assets |  |  | $1,815 |  |  | $575 |
Other assets |  |  | 1,293 |  |  | 3,213 |
Total derivative assets |  |  | $3,108 |  |  | $3,788 |
Other current liabilities |  |  | (270) |  |  | (806) |
Other non-current liabilities |  |  | (82,288) |  |  | (11,098) |
Total derivative liabilities |  |  | ($82,558) |  |  | ($11,904) |
(a) See Note 16 — Fair Value Measurements for further information on the fair value of our derivatives including their classification within the fair value hierarchy.

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