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Derivative Instruments and Hedging Activities | 9 Months Ended
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Sep. 26, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities | DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES Cross Currency Swaps On August 15, 2019, we entered into a cross-currency swap designated as a net investment hedge to hedge the EUR currency exposure of our net investment in European operations. This agreement is a contract to exchange floating-rate Euro payments for floating-rate U.S. dollar payments. The payments are based on a notional basis of €450.0 million ($498.0 million) and settle quarterly. Interest Rate Swaps There were no active designated or non-designated interest rate swaps as of September 26, 2020 and December 31, 2019. Foreign Currency Forwards Net Investment Hedge On June 19, 2020, we entered into a foreign currency forward contract designated as a net investment hedge of the GBP currency exposure of our net investment in certain of our U.K. operations. The hedge had a notional basis of £155.0 million ($194.5 million) and was settled during the three months ended September 26, 2020. Foreign currency forward contracts were as follows (in millions):
|  | Notional Amount
|  | September 26, 2020 |  | December 31, 2019
Israeli Shekel (ILS) |  | $ | 398.0 |  |  | $ | 712.7 |
European Euro (EUR) |  | 193.5 |  |  | 157.6 |
United States Dollar (USD) |  | 83.1 |  |  | 92.4 |
Danish Krone (DKK) |  | 59.1 |  |  | 51.7 |
British Pound (GBP) |  | 56.9 |  |  | 86.9 |
Swedish Krona (SEK) |  | 45.9 |  |  | 42.0 |
Chinese Yuan (CNY) |  | 40.3 |  |  | 20.9 |
Canadian Dollar (CAD) |  | 27.5 |  |  | 41.3 |
Polish Zloty (PLZ) |  | 16.6 |  |  | 21.5 |
Mexican Peso (MPX) |  | 13.7 |  |  | 9.7 |
Norwegian Krone (NOK) |  | 7.7 |  |  | 6.6 |
Switzerland Franc (CHF) |  | 4.9 |  |  | 4.1 |
Romanian New Leu (RON) |  | 4.1 |  |  | 2.3 |
Other |  | 10.0 |  |  | 7.5 |
Total |  | $ | 961.3 |  |  | $ | 1,257.2 |
The maximum term of our forward currency exchange contracts is 18 months. Effects of Derivatives on the Financial Statements The below tables indicate the effects of all derivative instruments on the Condensed Consolidated Financial Statements. All amounts exclude income tax effects. The balance sheet location and gross fair value of our outstanding derivative instruments were as follows (in millions):
|  |  | Asset Derivatives
|  |  | Fair Value
| Balance Sheet Location |  | September 26, 2020 |  | December 31, 2019
Designated derivatives: |  |  |  |  |
Foreign currency forward contracts | Prepaid expenses and other current assets |  | $ | 4.5 |  |  | $ | 1.0 |
Cross-currency swap | Other non-current assets |  | 7.7 |  |  | 26.3 |
Total designated derivatives |  |  | $ | 12.2 |  |  | $ | 27.3 |
Non-designated derivatives: |  |  |  |  |
Foreign currency forward contracts | Prepaid expenses and other current assets |  | $ | 4.2 |  |  | $ | 3.3 |
|  |  | Liability Derivatives
|  |  | Fair Value
| Balance Sheet Location |  | September 26, 2020 |  | December 31, 2019
Designated derivatives: |  |  |  |  |
Foreign currency forward contracts | Other accrued liabilities |  | $ | 6.7 |  |  | $ | 4.7 |
Non-designated derivatives: |  |  |  |  |
Foreign currency forward contracts | Other accrued liabilities |  | $ | 2.1 |  |  | $ | 3.7 |
The following tables summarize the effect of derivative instruments designated as hedging instruments in Accumulated Other Comprehensive Income ("AOCI") (in millions):
|  | Three Months Ended
|  | September 26, 2020
Instrument |  | Amount of Gain/(Loss) Recorded in OCI |  | Classification of Gain/(Loss) Reclassified from AOCI into Earnings |  | Amount of Gain/(Loss) Reclassified from AOCI into Earnings |  | Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing |  | Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges: |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | $ | — |  |  | Interest expense, net |  | $ | (0.4 | ) |  | Interest expense, net |  | $ | — |
Foreign currency forward contracts |  | (2.6 | ) |  | Net sales |  | (0.1 | ) |  | Net sales |  | — |
|  |  |  | Cost of sales |  | 1.1 |  |  | Cost of sales |  | 0.3 |
|  | $ | (2.6 | ) |  |  |  | $ | 0.6 |  |  |  |  | $ | 0.3 |
Net investment hedges: |  |  |  |  |  |  |  |  |  |
Cross-currency swap |  | $ | (0.3 | ) |  |  |  |  |  | Interest expense, net |  | $ | 0.9 |
Foreign currency forward contract |  | (11.7 | ) |  |  |  |  |  | Interest expense, net |  | (0.1 | )
|  | $ | (12.0 | ) |  |  |  |  |  |  |  | $ | 0.8 |
|  | Nine Months Ended
|  | September 26, 2020
Instrument |  | Amount of Gain/(Loss) Recorded in OCI(1) |  | Classification of Gain/(Loss) Reclassified from AOCI into Earnings |  | Amount of Gain/(Loss) Reclassified from AOCI into Earnings |  | Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing |  | Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges: |  |  |  |  |  |  |  |  |  |
Treasury locks |  | $ | — |  |  | Interest expense, net |  | $ | (0.1 | ) |  | Interest expense, net |  | $ | — |
Interest rate swap agreements |  | — |  |  | Interest expense, net |  | (1.3 | ) |  | Interest expense, net |  | — |
Foreign currency forward contracts |  | 7.4 |  |  | Net sales |  | (0.1 | ) |  | Net sales |  | 0.1 |
|  |  |  | Cost of sales |  | 0.3 |  |  | Cost of sales |  | 0.9 |
|  | $ | 7.4 |  |  |  |  | $ | (1.2 | ) |  |  |  | $ | 1.0 |
Net investment hedges: |  |  |  |  |  |  |  |  |  |
Cross-currency swap |  | $ | (18.6 | ) |  |  |  |  |  | Interest expense, net |  | $ | 5.6 |
Foreign currency forward contract |  | (11.2 | ) |  |  |  |  |  | Interest expense, net |  | (0.1 | )
|  | $ | (29.8 | ) |  |  |  |  |  |  |  | $ | 5.5 |
(1) Net loss of $9.4 million is expected to be reclassified out of AOCI into earnings during the next 12 months.
|  | Three Months Ended
|  | September 28, 2019
Instrument |  | Amount of Gain/(Loss) Recorded in OCI |  | Classification of Gain/(Loss) Reclassified from AOCI into Earnings |  | Amount of Gain/(Loss) Reclassified from AOCI into Earnings |  | Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing |  | Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges: |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | $ | — |  |  | Interest expense, net |  | $ | (0.4 | ) |  | Interest expense, net |  | $ | — |
Foreign currency forward contracts |  | 2.6 |  |  | Net sales |  | 0.5 |  |  | Net sales |  | (0.2 | )
|  |  |  | Cost of sales |  | 0.5 |  |  | Cost of sales |  | 0.3 |
|  | $ | 2.6 |  |  |  |  | $ | 0.6 |  |  |  |  | $ | 0.1 |
Net investment hedges: |  |  |  |  |  |  |  |  |  |
Cross-currency swap |  | $ | 30.1 |  |  |  |  |  |  | Interest expense, net |  | $ | 1.7 |
|  | Nine Months Ended
|  | September 28, 2019
Instrument |  | Amount of Gain/(Loss) Recorded in OCI |  | Classification of Gain/(Loss) Reclassified from AOCI into Earnings |  | Amount of Gain/(Loss) Reclassified from AOCI into Earnings |  | Classification of Gain/(Loss) Recognized into Earnings Related to Amounts Excluded from Effectiveness Testing |  | Amount of Gain/(Loss) Recognized in Earnings on Derivatives Related to Amounts Excluded from Effectiveness Testing
Cash flow hedges: |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  | $ | — |  |  | Interest expense, net |  | $ | (1.3 | ) |  | Interest expense, net |  | $ | — |
Foreign currency forward contracts |  | 2.6 |  |  | Net sales |  | 0.8 |  |  | Net sales |  | (0.2 | )
|  |  |  | Cost of sales |  | (0.9 | ) |  | Cost of sales |  | (1.9 | )
|  | $ | 2.6 |  |  |  |  | $ | (1.4 | ) |  |  |  | $ | (2.1 | )
Net investment hedges: |  |  |  |  |  |  |  |  |  |
Cross-currency swap |  | $ | 30.1 |  |  |  |  |  |  | Interest expense, net |  | $ | 1.7 |
The amounts of (income)/expense recognized in earnings related to our non-designated derivatives on the Condensed Consolidated Statements of Operations were as follows (in millions):
|  |  |  | Three Months Ended |  | Nine Months Ended
Non-Designated Derivatives |  | Income Statement Location |  | September 26, 2020 |  | September 28, 2019 |  | September 26, 2020 |  | September 28, 2019
Foreign currency forward contracts |  | Other (income) expense, net |  | $ | 8.5 |  |  | $ | (14.7 | ) |  | $ | 1.4 |  |  | $ | (27.8 | )
|  | Interest expense, net |  | 1.7 |  |  | (0.5 | ) |  | 5.9 |  |  | 1.3 |
|  |  |  | $ | 10.2 |  |  | $ | (15.2 | ) |  | $ | 7.3 |  |  | $ | (26.5 | )
The classification and amount of gain/(loss) recognized in earnings on fair value and hedging relationships were as follows (in millions):
|  | Three Months Ended
|  | September 26, 2020
|  | Net Sales |  | Cost of Sales |  | Interest Expense, net |  | Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded |  | $ | 1,213.7 |  |  | $ | 785.6 |  |  | $ | 34.0 |  |  | $ | 0.4 |
The effects of cash flow hedging: |  |  |  |  |  |  |  |
Gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | (0.1 | ) |  | $ | 1.1 |  |  | $ | — |  |  | $ | — |
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach |  | $ | — |  |  | $ | 0.3 |  |  | $ | — |  |  | $ | — |
Interest rate swap agreements |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | — |  |  | $ | — |  |  | $ | (0.4 | ) |  | $ | — |
|  | Nine Months Ended
|  | September 26, 2020
|  | Net Sales |  | Cost of Sales |  | Interest Expense, net |  | Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded |  | $ | 3,773.8 |  |  | $ | 2,427.8 |  |  | $ | 97.6 |  |  | $ | 17.1 |
The effects of cash flow hedging: |  |  |  |  |  |  |  |
Gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | (0.1 | ) |  | $ | 0.3 |  |  | $ | — |  |  | $ | — |
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach |  | $ | 0.1 |  |  | $ | 0.9 |  |  | $ | — |  |  | $ | — |
Treasury locks |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | — |  |  | $ | — |  |  | $ | (0.1 | ) |  | $ | — |
Interest rate swap agreements |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | — |  |  | $ | — |  |  | $ | (1.3 | ) |  | $ | — |
|  | Three Months Ended
|  | September 28, 2019
|  | Net Sales |  | Cost of Sales |  | Interest Expense, net |  | Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded |  | $ | 1,191.1 |  |  | $ | 778.3 |  |  | $ | 30.5 |  |  | $ | (71.0 | )
The effects of cash flow hedging: |  |  |  |  |  |  |  |
Gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | 0.5 |  |  | $ | 0.5 |  |  | $ | — |  |  | $ | — |
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach |  | $ | (0.2 | ) |  | $ | 0.3 |  |  | $ | — |  |  | $ | — |
Interest rate swap agreements |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | — |  |  | $ | — |  |  | $ | (0.4 | ) |  | $ | — |
|  | Nine Months Ended
|  | September 28, 2019
|  | Net Sales |  | Cost of Sales |  | Interest Expense, net |  | Other (Income) Expense, net
Total amounts of income and expense line items presented on the Condensed Consolidated Statements of Operations in which the effects of fair value or cash flow hedges are recorded |  | $ | 3,514.6 |  |  | $ | 2,222.1 |  |  | $ | 90.4 |  |  | $ | (65.6 | )
The effects of cash flow hedging: |  |  |  |  |  |  |  |
Gain (loss) on cash flow hedging relationships |  |  |  |  |  |  |  |
Foreign currency forward contracts |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | 0.8 |  |  | $ | (0.9 | ) |  | $ | — |  |  | $ | — |
Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach |  | $ | (0.2 | ) |  | $ | (1.9 | ) |  | $ | — |  |  | $ | — |
Interest rate swap agreements |  |  |  |  |  |  |  |
Amount of gain or (loss) reclassified from AOCI into earnings |  | $ | — |  |  | $ | — |  |  | $ | (1.3 | ) |  | $ | — |

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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 + Details
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