DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

9 Months Ended

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.