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Derivative Instruments and Hedging Activities | 3 Months Ended
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Mar. 31, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities The Company is exposed to certain risks relating to its ongoing business operations. The primary risks managed by using derivative instruments are foreign currency risk and interest rate risk. Derivative contracts on various currencies are entered into in order to manage foreign currency exposures associated with certain product sourcing activities and intercompany cash flows. Interest rate swaps are entered into in order to maintain a balanced risk of fixed and floating interest rates associated with the Company’s debt. The Company’s foreign currency management objective is to mitigate the potential impact of currency fluctuations on the value of its U.S. dollar cash flows and to reduce the variability of certain cash flows at the subsidiary level. The Company actively manages certain forecasted foreign currency exposures and uses a centralized currency management operation to take advantage of potential opportunities to naturally offset foreign currency exposures. The decision of whether and when to execute derivative instruments, along with the duration of the instrument, may vary from period to period depending on market conditions, the relative costs of the instruments and capacity to hedge. The duration is linked to the timing of the underlying exposure, with the connection between the two being regularly monitored. The Company does not use any financial contracts for trading purposes. As of March 31, 2022 and December 31, 2021, the Company had the following open foreign currency contracts (in millions):
|  | March 31, 2022 |  | December 31, 2021
Foreign Currency |  | Notional Amounts (in U.S. Dollars) |  | Net Unrealized Gain (Loss) |  | Notional Amounts (in U.S. Dollars) |  | Net Unrealized Gain (Loss)
Australian Dollar |  | $ | 26.7 |  |  | $ | (0.3) |  |  | $ | 20.3 |  |  | $ | 0.4 |
Canadian Dollar |  | 149.8 |  |  | (0.8) |  |  | 121.1 |  |  | 0.6 |
Mexican Peso |  | 81.9 |  |  | 5.4 |  |  | 87.9 |  |  | 1.1 |
Total |  | $ | 258.4 |  |  | $ | 4.3 |  |  | $ | 229.3 |  |  | $ | 2.1 |
These contracts, with maturities through September 2023, met the criteria for cash flow hedges, and are recorded in other current assets or other current liabilities in the consolidated balance sheet. The unrealized gains or losses, after tax, are recorded as a component of accumulated other comprehensive loss in shareholders’ equity. The Company enters into interest rate swap transactions to hedge the variable interest rate payments for the Term Loan Facility. In connection with these transactions, the Company pays interest based upon a fixed rate and receives variable rate interest payments based on the one-month LIBOR. As of March 31, 2022 and December 31, 2021, the Company had the following open interest rate swap contracts (in millions):
|  |  |  | March 31, 2022 |  | December 31, 2021
Effective Date |  | Termination Date |  | Notional Amounts |  | Net Unrealized Gain (Loss) |  | Notional Amounts |  | Net Unrealized Gain (Loss)
September 30, 2019 |  | September 30, 2023 |  | 150.0 |  |  | (1.8) |  |  | 150.0 |  |  | (5.8) |
March 3, 2020 |  | February 28, 2023 |  | 400.0 |  |  | 2.7 |  |  | 400.0 |  |  | (2.0) |
Total |  |  |  | $ | 550.0 |  |  | $ | 0.9 |  |  | $ | 550.0 |  |  | $ | (7.8) |
These contracts, with maturities through September 2023, met the criteria for cash flow hedges, and are recorded in other current assets or other current liabilities in the consolidated balance sheet. Assets and liabilities are offset in the consolidated balance sheet if the right of offset exists. The unrealized gains or losses, after tax, are recorded as a component of accumulated other comprehensive loss in shareholders’ equity. The table below summarizes the carrying values of derivative instruments as of March 31, 2022 and December 31, 2021 (in millions):
| Carrying Values of Derivative Instruments as of March 31, 2022
| Fair Value— Assets |  | Fair Value— (Liabilities) |  | Derivative Net Carrying Value
Derivatives designated as hedging instruments |  |  |  |  |
Foreign exchange contracts | $ | 5.6 |  |  | $ | (1.3) |  |  | $ | 4.3 |
Interest rate contracts | 2.7 |  |  | (1.8) |  |  | 0.9 |
Total derivatives designated as hedging instruments | $ | 8.3 |  |  | $ | (3.1) |  |  | $ | 5.2 |
| Carrying Values of Derivative Instruments as of December 31, 2021
| Fair Value— Assets |  | Fair Value— (Liabilities) |  | Derivative Net Carrying Value
Derivatives designated as hedging instruments |  |  |  |  |
Foreign exchange contracts | $ | 2.4 |  |  | $ | (0.3) |  |  | $ | 2.1 |
Interest rate contracts | — |  |  | (7.8) |  |  | (7.8) |
Total derivatives designated as hedging instruments | $ | 2.4 |  |  | $ | (8.1) |  |  | $ | (5.7) |
Assets are included in prepaid expenses and other and liabilities are included in other accrued expenses in the consolidated balance sheets. Gains and losses on derivative instruments representing either hedge ineffectiveness or hedge components excluded from the assessment of effectiveness are recognized in the current statement of income. The amount of gains (losses), net of tax, related to the effective portion of derivative instruments designated as cash flow hedges included in accumulated other comprehensive loss for the three months ended March 31, 2022 was $8.3 million compared to $1.4 million for the same respective period in 2021. See Note 6 for information about the amount of gains and losses, net of tax, reclassified from accumulated other comprehensive loss into the statements of income for derivative instruments designated as hedging instruments. The ineffective portion of foreign currency contracts was not material for the three month period ended March 31, 2022.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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