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Derivative Instruments and Hedging Activities
 3 Months Ended
Mar. 28, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments and Hedging Activities DERIVATIVE INSTRUMENTS AND HEDGING ACTIVITIES

Cross Currency Swaps

We entered into a cross-currency swap designated as a net investment hedge on August 15, 2019, 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 March 28, 2020 and December 31, 2019.

Foreign Currency Forwards

Foreign currency forward contracts were as follows (in millions):
 
 
Notional Amount
 
 
March 28,
2020
 
December 31,
2019
Israeli Shekel (ILS)
 
$
288.3

 
$
712.7

European Euro (EUR)
 
150.5

 
157.6

British Pound (GBP)
 
79.7

 
86.9

United States Dollar (USD)
 
55.9

 
92.4

Danish Krone (DKK)
 
52.4

 
51.7

Canadian Dollar (CAD)
 
27.4

 
41.3

Chinese Yuan (CNY)
 
14.6

 
20.9

Swedish Krona (SEK)
 
14.0

 
42.0

Mexican Peso (MPX)
 
12.5

 
9.7

Polish Zloty (PLZ)
 
7.8

 
21.5

Switzerland Franc (CHF)
 
4.4

 
4.1

Romanian New Leu (RON)
 
0.4

 
2.3

Norwegian Krone (NOK)
 
0.3

 
6.6

Other
 
4.7

 
7.5

Total
 
$
712.9

 
$
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
 
March 28,
2020
 
December 31,
2019
Designated derivatives:
 
 
 
 
 
Foreign currency forward contracts
Prepaid expenses and other current assets
 
$
5.3

 
$
1.0

Cross-currency swap
Prepaid expenses and other current assets
 
11.4

 
26.3

Total designated derivatives
 
 
$
16.7

 
$
27.3

Non-designated derivatives:
 
 
 
 
 
Foreign currency forward contracts
Prepaid expenses and other current assets
 
$
5.8

 
$
3.3

 
 
 
Liability Derivatives
 
 
 
Fair Value
 
Balance Sheet Location
 
March 28,
2020
 
December 31,
2019
Designated derivatives:
 
 
 
 
 
Foreign currency forward contracts
Other accrued liabilities
 
$
10.9

 
$
4.7

Non-designated derivatives:
 
 
 
 
 
Foreign currency forward contracts
Other accrued liabilities
 
$
2.8

 
$
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
 
 
March 28, 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:
 
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
 
$
—

 
Interest expense, net
 
$
(0.4
)
 
Interest expense, net
 
$
—

Foreign currency forward contracts
 
7.0

 
Net sales
 
(0.4
)
 
Net sales
 
—

 
 
 
 
Cost of sales
 
(0.6
)
 
Cost of sales
 
0.4

 
 
$
7.0

 
 
 
$
(1.4
)
 
 
 
$
0.4

Net investment hedges:
 
 
 
 
 
 
 
 
 
 
Cross-currency swap
 
$
(15.0
)
 
 
 
 
 
Interest expense, net
 
$
2.8


(1) Net gain of $5.1 million is expected to be reclassified out of AOCI into earnings during the next 12 months.

 
 
Three Months Ended
 
 
March 30, 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
 
(1.0
)
 
Net sales
 
0.2

 
Net sales
 
(0.1
)
 
 
 
 
Cost of sales
 
(1.3
)
 
Cost of sales
 
(1.1
)
 
 
$
(1.0
)
 
 
 
$
(1.5
)
 
 
 
$
(1.2
)






The amounts of gain/(loss) recognized in earnings related to our non-designated derivatives on the Condensed Consolidated Statements of Operations were as follows (in millions):
 
 
 
 
Three Months Ended
Non-Designated Derivatives
 
Income Statement
Location
 
March 28,
2020
 
March 30,
2019
Foreign currency forward contracts
 
Other (income) expense, net
 
$
10.4

 
$
(8.8
)
 
 
Interest expense, net
 
1.7

 
0.4

 
 
 
 
$
12.1

 
$
(8.4
)


The classification and amount of gain/(loss) recognized in earnings on fair value and hedging relationships were as follows (in millions):
 
 
Three Months Ended
 
 
March 28, 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
 
$
1,341.0

 
$
857.8

 
$
30.2

 
$
2.4

 
 
 
 
 
 
 
 
 
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
 
$
(0.4
)
 
$
(0.6
)
 
$
—

 
$
—

Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach
 
$
—

 
$
0.4

 
$
—

 
$
—

Interest rate swap agreements
 
 
 
 
 
 
 
 
Amount of gain or (loss) reclassified from AOCI into earnings
 
$
—

 
$
—

 
$
(0.4
)
 
$
—



 
 
Three Months Ended
 
 
March 30, 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
 
$
1,174.5

 
$
725.7

 
$
28.6

 
$
3.2

 
 
 
 
 
 
 
 
 
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
 
$
0.2

 
$
(1.3
)
 
$
—

 
$
—

Amount excluded from effectiveness testing recognized using a systematic and rational amortization approach
 
$
(0.1
)
 
$
(1.1
)
 
$
—

 
$
—

Interest rate swap agreements
 
 
 
 
 
 
 
 
Amount of gain or (loss) reclassified from AOCI into earnings
 
$
—

 
$
—

 
$
(0.4
)
 
$
—