DERIVATIVE FINANCIAL INSTRUMENTS AND HEDGING ACTIVITIES (Tables)

9 Months Ended

Sep. 30, 2021

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, 2021:

Outstanding Interest Rate Swaps (a)
Date Entered Into	Term	Notional Amount	Related Debt Facility	Fixed Rate of Swap		Bank Margin on Debt		Total Effective Interest Rate (b)
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	%	1.65	%	3.25	%
April 2016	10 years	100,000	Incremental Term Loan	1.60	%	1.65	%	3.25	%

(a)     All interest rate swaps have been designated as interest rate cash flow hedges and qualify for hedge accounting.

(b)    Rate is before estimated patronage payments.

The following table contains information on the outstanding forward-starting interest rate swaps as of September 30, 2021:

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
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
May 2021 (b)	7 years	200,000	0.77	%	Future Issuance	Feb. 2022	N/A

(a)     All forward-starting interest rate swaps have been designated as interest rate cash flow hedges and qualify for hedge accounting.

(b)    The forward-starting interest rate swap entered into in May 2021 contained an embedded mark-to-market gain, which we recovered through a reduced charge in the fixed rate over what would have been charged for an at-market swap.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance

The following tables demonstrate the impact, gross of tax, of our derivatives on the Consolidated Statements of Income and Comprehensive Income for the three and nine months ended September 30, 2021 and 2020:

		Three Months Ended September 30,
	Income Statement Location	2021	2020
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts	Other comprehensive (loss) income	($2,618)	$1,946
Foreign currency option contracts	Other comprehensive (loss) income	(356)	358
Interest rate products	Other comprehensive (loss) income	1,288	2,417
	Interest expense	2,564	3,783

		Nine Months Ended September 30,
	Income Statement Location	2021	2020
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts	Other comprehensive (loss) income	($6,366)	$1,806
Foreign currency option contracts	Other comprehensive (loss) income	(1,514)	85
Interest rate products	Other comprehensive (loss) income	46,433	(91,203)
	Interest expense	11,935	6,951
Derivatives not designated as hedging instruments:
Carbon option contracts	Interest and other miscellaneous income (expense), net	—	563

The following table contains details of the expected reclassified amounts into earnings:

	Amount expected to be reclassified into earnings in next 12 months
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts	$139
Interest rate products	(11,842)
Total estimated loss on derivatives contracts	($11,703)

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, 2021	December 31, 2020
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts	$144,000	$49,000
Foreign currency option contracts	—	28,000
Interest rate swaps	550,000	900,000
Forward-starting interest rate swaps	350,000	475,000

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, 2021	December 31, 2020
Derivatives designated as cash flow hedges:
Foreign currency exchange contracts	Other current assets	$1,892	$4,968
	Other assets	7	1,050
	Other current liabilities	(1,699)	—
	Other non-current liabilities	(549)	—
Foreign currency option contracts	Other current assets	—	1,526
	Other current liabilities	—	(11)
Interest rate swaps	Other non-current liabilities	(24,178)	(51,580)
Forward-starting interest rate swaps	Other assets	11,206	513
	Other non-current liabilities	—	(13,042)
Total derivative contracts:
Other current assets		$1,892	$6,494
Other assets		11,213	1,563
Total derivative assets		$13,105	$8,057
Other current liabilities		(1,699)	(11)
Other non-current liabilities		(24,727)	(64,622)
Total derivative liabilities		($26,426)	($64,633)

(a)    See Note 11 — Fair Value Measurements for further information on the fair value of our derivatives including their classification within the fair value hierarchy.