XML 66 R50.htm IDEA: XBRL DOCUMENT v3.20.2
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 IntoTermNotional AmountRelated Debt FacilityFixed Rate of Swap (b)Bank Margin on DebtTotal Effective Interest Rate (c)
August 20159 years$170,000 Term Credit Agreement2.20 %1.60 %3.80 %
August 20159 years180,000 Term Credit Agreement2.35 %1.60 %3.95 %
April 201610 years100,000 Incremental Term Loan1.60 %1.90 %3.50 %
April 201610 years100,000 Incremental Term Loan1.60 %1.90 %3.50 %
July 201610 years100,000 Incremental Term Loan1.26 %1.90 %3.16 %
June 202010 years250,000 2020 Incremental Term Loan1.10 %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 IntoTermNotional AmountRateRelated Debt Facility (b)Expiration Date
January 202010 years$100,000 1.53%2020 Incremental Term Loan FacilityMarch 30, 2020
January 202010 years100,000 1.53%2020 Incremental Term Loan FacilityMarch 31, 2020
February 202010 years50,000 1.35%2020 Incremental Term Loan FacilityMarch 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 IntoTermNotional AmountFixed Rate of Swap Lock (b)Related Debt Facility (c)Termination Date
March 202010 years$100,000 1.56%2020 Incremental Term Loan FacilityJune 30, 2020
March 202010 years100,000 1.59%2020 Incremental Term Loan FacilityJune 30, 2020
March 202010 years50,000 1.41%2020 Incremental Term Loan FacilityJune 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 IntoTermNotional AmountFixed Rate of SwapRelated Debt FacilityForward DateMaximum Period Ending for Forecasted Issuance Date
February 202010 years$325,000 1.40 %Anticipated refinancing of Senior Notes due 2022April 2022April 2022
March 20204 years100,000 0.88 %Term Credit AgreementAugust 2024N/A
May 20204 years50,000 0.74 %Term Credit AgreementAugust 2024N/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 Location20202019
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 productsOther comprehensive income (loss)2,417 (9,592)
Interest Expense3,783 (549)

Nine Months Ended
September 30,
Income Statement Location20202019
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 productsOther comprehensive income (loss)(91,203)(38,558)
Interest Expense6,951 (2,414)
Derivatives not designated as hedging instruments:
Foreign currency exchange contractsInterest and other miscellaneous (expense) income, net— 135 
Carbon option contractsInterest and other miscellaneous income, net563 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, 2020December 31, 2019
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts$47,650 $56,350 
Foreign currency option contracts32,000 22,000 
Interest rate swaps900,000 650,000 
Forward-starting interest rate swaps475,000 — 
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 SheetFair Value Assets / (Liabilities) (a)
September 30, 2020December 31, 2019
Derivatives designated as cash flow hedges:
Foreign currency exchange contractsOther current assets$1,252 $424 
Other assets 1,293 390 
Other current liabilities(96)(172)
Foreign currency option contractsOther current assets563 151 
Other assets— 209 
Other current liabilities(174)(27)
Other non-current liabilities— (30)
Interest rate swapsOther assets— 2,614 
Other non-current liabilities(61,308)(11,068)
Forward-starting interest rate swapsOther non-current liabilities(20,980)— 
Derivative not designated as a hedging instrument:
Carbon optionsOther current liabilities— (607)
Total derivative contracts:
Other current assets$1,815 $575 
Other assets1,293 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.