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FINANCIAL INSTRUMENTS AND DERIVATIVES (Tables) | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Instruments | The following summarizes the notional amounts of cash flow hedges by derivative instrument type at September 30, 2020 and the notional amounts expected to mature during the next 12 months, with a discussion of the various cash flow hedges by derivative instrument type following the table:
(in millions) |  | Aggregate Notional Amount |  | Aggregate Notional Amount Maturing within 12 Months
Foreign exchange forward contracts |  | $ | 325.6 |  |  | $ | 236.9 |
Total derivative instruments designated as cash flow hedges |  | $ | 325.6 |  |  | $ | 236.9 |
The notional amount of hedges of net investments by derivative instrument type at September 30, 2020 and the notional amounts expected to mature during the next 12 months were as follows:
(in millions) |  | Aggregate Notional Amount |  | Aggregate Notional Amount Maturing within 12 Months
Cross currency basis swaps |  | $ | 308.6 |  |  | $ | 308.6 |
Total for instruments designated as hedges of net investment |  | $ | 308.6 |  |  | $ | 308.6 |
The notional amounts of fair value hedges by derivative instrument type at September 30, 2020 and the notional amounts expected to mature during the next 12 months were as follows:
(in millions) |  | Aggregate Notional Amount |  | Aggregate Notional Amount Maturing within 12 Months
Foreign exchange forward contracts |  | $ | 98.3 |  |  | $ | 70.2 |
Total derivative instruments as fair value hedges |  | $ | 98.3 |  |  | $ | 70.2 |
Derivative Instruments, Gain (Loss) | Gains and losses recorded in AOCI in the Consolidated Balance Sheets, Cost of products sold and Interest expense in the Company's Consolidated Statements of Operations related to all cash flow hedges for the nine months ended September 30, 2020 were as follows:
|  | Nine Months Ended September 30, 2020
|  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Location |  | Effective Portion Reclassified from AOCI into Income (Expense) |  | Ineffective Portion Recognized in Income (Expense)
(in millions) |  |  |  |
Effective Portion: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | (1.7) |  |  | Cost of products sold |  | $ | 2.2 |  |  | $ | — |
Interest rate swaps |  | (17.1) |  |  | Interest expense |  | (2.6) |  |  | — |
Ineffective Portion: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | — |  |  | Cost of products sold |  | — |  |  | 2.2 |
Total in cash flow hedging |  | $ | (18.8) |  |  |  |  | $ | (0.4) |  |  | $ | 2.2 |
Gains and losses recorded in AOCI in the Consolidated Balance Sheets, Cost of products sold and Interest expense in the Company’s Consolidated Statements of Operations related to all cash flow hedges for the nine months ended September 30, 2019 were as follows:
|  | Nine Months Ended September 30, 2019
|  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Location |  | Effective Portion Reclassified from AOCI into Income (Expense) |  | Ineffective Portion Recognized in Income (Expense)
(in millions) |  |  |  |
Effective Portion: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | (4.0) |  |  | Cost of products sold |  | $ | 0.4 |  |  | $ | — |
Interest rate swaps |  | (14.6) |  |  | Interest expense |  | (1.8) |  |  | — |
Ineffective Portion: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | — |  |  | Cost of products sold |  | — |  |  | 1.5 |
Total in cash flow hedging |  | $ | (18.6) |  |  |  |  | $ | (1.4) |  |  | $ | 1.5 |
The fair value of the foreign exchange forward contracts and cross currency basis swaps is the estimated amount the Company would receive or pay at the reporting date, taking into account the effective interest rates, cross currency swap basis rates, and foreign exchange rates. The effective portion of the change in the value of these derivatives is recorded in AOCI, net of tax effects. Gains and losses recorded in AOCI in the Consolidated Balance Sheets, Interest expense and Other expense (income), net in the Company’s Consolidated Statements of Operations related to the hedges of net investments for the three months ended September 30, 2020 and 2019 were as follows:
|  | Three Months Ended September 30, 2020
|  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Location |  | Recognized in Income (Expense)
(in millions) |  |  |
Effective Portion: |  |  |  |  |  |
Cross currency basis swaps |  | $ | (16.8) |  |  | Interest expense |  | $ | 2.0 |
Total for net investment hedging |  | $ | (16.8) |  |  |  |  | $ | 2.0 |
|  | Three Months Ended September 30, 2019
(in millions) |  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Locations |  | Recognized in Income (Expense)
Effective Portion: |  |  |  |  |  |
Cross currency basis swaps |  | $ | 12.4 |  |  | Interest expense |  | $ | 2.2 |
Foreign exchange forward contracts |  | 25.5 |  |  | Other expense (income), net |  | 6.1 |
Total for net investment hedging |  | $ | 37.9 |  |  |  |  | $ | 8.3 |
Gains and losses recorded in AOCI in the Consolidated Balance Sheets, Interest expense and Other expense (income), net in the Company's Consolidated Statements of Operations related to the hedges of net investments for the nine months ended September 30, 2020 and 2019 were as follows:
|  | Nine Months Ended September 30, 2020
|  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Location |  | Recognized in Income (Expense)
(in millions) |  |  |
Effective Portion: |  |  |  |  |  |
Cross currency basis swaps |  | $ | (13.4) |  |  | Interest expense |  | $ | 6.4 |
Foreign exchange forward contracts |  | 6.4 |  |  | Other expense (income), net |  | 6.2 |
Total for net investment hedging |  | $ | (7.0) |  |  |  |  | $ | 12.6 |
|  | Nine Months Ended September 30, 2019
(in millions) |  | Gain (Loss) in AOCI |  | Consolidated Statements of Operations Location |  | Recognized in Income (Expense)
Effective Portion: |  |  |  |  |  |
Cross currency basis swaps |  | $ | 13.1 |  |  | Interest expense |  | $ | 6.3 |
Foreign exchange forward contracts |  | 31.7 |  |  | Other expense (income), net |  | 15.7 |
Total for net investment hedging |  | $ | 44.8 |  |  |  |  | $ | 22.0 |
On April 7, 2020, the Company terminated its entire foreign exchange forward contracts net investment hedge portfolio early which resulted in a $48.1 million cash receipt. The Company elected to enter into this transaction to convert the favorable gain position into additional liquidity.
Schedule of Aggregate Notional Amounts of Economic Hedges Not Designated as Hedges | The aggregate notional amounts of the Company’s economic hedges not designated as hedges by derivative instrument types at September 30, 2020 and the notional amounts expected to mature during the next 12 months were as follows:
(in millions) |  | Aggregate Notional Amount |  | Aggregate Notional Amount Maturing within 12 Months
Foreign exchange forward contracts |  | $ | 226.2 |  |  | $ | 226.2 |
Total for instruments not designated as hedges |  | $ | 226.2 |  |  | $ | 226.2 |
Fair Value, by Balance Sheet Grouping | The fair value and the location of the Company's derivatives in the Consolidated Balance Sheets at December 31, 2019 were as follows:
|  | December 31, 2019
(in millions) |  | Prepaid Expenses and Other Current Assets |  | Other Noncurrent Assets |  | Accrued Liabilities |  | Other Noncurrent Liabilities
Designated as Hedges: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 26.9 |  |  | $ | 11.3 |  |  | $ | 1.3 |  |  | $ | 1.8 |
Interest rate swaps |  | — |  |  | — |  |  | — |  |  | 10.8 |
Cross currency basis swaps |  | — |  |  | 6.9 |  |  | — |  |  | — |
Total |  | $ | 26.9 |  |  | $ | 18.2 |  |  | $ | 1.3 |  |  | $ | 12.6 |
Not Designated as Hedges: |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 2.0 |  |  | $ | — |  |  | $ | 1.5 |  |  | $ | — |
Total |  | $ | 2.0 |  |  | $ | — |  |  | $ | 1.5 |  |  | $ | — |
Offsetting Derivative Assets and Liabilities |
|  |  |  |  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |
(in millions) |  | Gross Amounts Recognized |  | Gross Amount Offset in the Consolidated Balance Sheets |  | Net Amounts Presented in the Consolidated Balance Sheets |  | Financial Instruments |  | Cash Collateral Received/Pledged |  | Net Amount
Assets |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 4.3 |  |  | $ | — |  |  | $ | 4.3 |  |  | $ | (2.5) |  |  | $ | — |  |  | $ | 1.8 |
Total assets |  | $ | 4.3 |  |  | $ | — |  |  | $ | 4.3 |  |  | $ | (2.5) |  |  | $ | — |  |  | $ | 1.8 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 4.4 |  |  | $ | — |  |  | $ | 4.4 |  |  | $ | — |  |  | $ | — |  |  | $ | 4.4 |
Cross currency basis swaps |  | 6.5 |  |  | — |  |  | 6.5 |  |  | (2.5) |  |  | — |  |  | 4.0 |
Total liabilities |  | $ | 10.9 |  |  | $ | — |  |  | $ | 10.9 |  |  | $ | (2.5) |  |  | $ | — |  |  | $ | 8.4 |
Offsetting of financial assets and liabilities under netting arrangements at December 31, 2019 were as follows:
|  |  |  |  |  |  |  | Gross Amounts Not Offset in the Consolidated Balance Sheets |  |
(in millions) |  | Gross Amounts Recognized |  | Gross Amount Offset in the Consolidated Balance Sheets |  | Net Amounts Presented in the Consolidated Balance Sheets |  | Financial Instruments |  | Cash Collateral Received/Pledged |  | Net Amount
Assets |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 38.8 |  |  | $ | — |  |  | $ | 38.8 |  |  | $ | (7.8) |  |  | $ | — |  |  | $ | 31.0 |
Cross currency basis swaps |  | 6.9 |  |  | — |  |  | 6.9 |  |  | (0.9) |  |  | — |  |  | 6.0 |
Total assets |  | $ | 45.7 |  |  | $ | — |  |  | $ | 45.7 |  |  | $ | (8.7) |  |  | $ | — |  |  | $ | 37.0 |
Liabilities |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange forward contracts |  | $ | 3.2 |  |  | $ | — |  |  | $ | 3.2 |  |  | $ | (3.0) |  |  | $ | — |  |  | $ | 0.2 |
Interest rate swaps |  | 10.8 |  |  | — |  |  | 10.8 |  |  | (5.7) |  |  | — |  |  | 5.1 |
Total liabilities |  | $ | 14.0 |  |  | $ | — |  |  | $ | 14.0 |  |  | $ | (8.7) |  |  | $ | — |  |  | $ | 5.3 |

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