We are exposed to market risk from changes in foreign exchange rates, interest rates and commodity prices that could impact our results of operations, cash flows and financial condition. We use swaps to hedge interest rate exposures. At inception, interest rate swap derivatives that we designate as hedging instruments are formally documented as a hedge of a forecasted transaction or “cash flow” hedge. We also formally assess, both at inception and at least quarterly thereafter, whether the derivatives that are used in hedging transactions are highly effective in offsetting changes in the cash flows of the hedged item. If it is determined that a derivative ceases to be a highly effective hedge, or if the anticipated transaction is no longer probable of occurring, we discontinue hedge accounting and any future mark-to-market adjustments are recognized in earnings. We use derivative financial instruments as risk management tools and not for speculative trading purposes.

We only enter into derivative transactions with established financial institution counterparties having an investment-grade credit rating. We monitor counterparty credit default swap levels and credit ratings on a regular basis. All of our derivative transactions with counterparties are governed by master International Swap and Derivatives Association agreements (“ISDAs”) with netting arrangements. These agreements can limit our exposure in situations where we have gain and loss positions outstanding with a single counterparty. We do not post nor do we receive cash collateral with any counterparty for our derivative transactions. These ISDAs do not have any credit contingent features; however, a default under our bank credit facility would trigger a default under these agreements. Exposure to individual counterparties is controlled and we consider the risk of counterparty default to be negligible.

We purchase natural gas and other various commodities for use in the manufacturing process. Although we are exposed to fluctuations in commodity pricing, we currently have no outstanding commodity derivative hedge positions.

As of December 31, 2019, our only major foreign currency exposure is to the Canadian dollar. We manage our Canadian cash flow exposures on a net basis. We currently have no outstanding positions and do not expect to enter into any foreign exchange derivative products.

We utilize interest rate swaps to minimize the fluctuations in earnings caused by interest rate volatility. These swaps are designated as cash flow hedges against changes in LIBOR for a portion of our variable rate debt. On November 28 2018, we entered into two swaps related to our Term Loan A: (1) a $200.0 million notional swap where we receive a 1-month LIBOR and pay a fixed rate interest beginning in 2018 and running through 2023 and (2) a $100.0 million notional forward starting swap, where we receive 1-month LIBOR and pay a fixed rate beginning in 2021 and running through 2025. As of December 31, 2018, these hedges were designated as cash flow hedges against changes in LIBOR for a portion of our existing and future variable rate debt. We recorded a $4.6 million loss in other non-operating (income) expense during the fourth quarter of 2018, representing the change in fair value of these two swaps between the date these swaps were entered into and the date the swaps were designated as cash flow hedges.

Under the terms of the November 2016 swap maturing in 2021, we receive 3-month LIBOR and pay a fixed rate over the hedged period, in addition to a basis rate swap to convert the floating rate risk under our November 2016 swap from 3-month LIBOR to 1-month LIBOR. As a result, we receive 1-month LIBOR and pay a fixed rate over the hedged period.

Under the terms of the November 2018 swap maturing in 2023, we pay a fixed rate over the hedged amount and receive 1-month LIBOR. This is inclusive of a 0% floor.

Under the terms of the forward starting November 2018 swap maturing in 2025, we will pay a fixed rate monthly and receive 1-month LIBOR. This is inclusive of a 0% floor.

On September 30, 2019, in connection with the refinancing of our credit facility, we settled a $100.0 million notional interest rate swap. See Note 18 for additional details related to our credit facility refinancing.

The following tables detail amounts related to our derivatives as of December 31, 2019 and 2018. We did not have any derivative assets or liabilities not designated as hedging instruments for the years ended December 31, 2019 and 2018. The derivative asset and liability amounts below are shown in gross amounts; we have not netted assets with liabilities.

Derivative Assets

Derivative Liabilities

Fair Value

Balance Sheet

Location

December 31,

2019

December 31,

2018

Balance Sheet

Location

December 31,

2019

December 31,

2018

Interest rate swap contracts

Other non-current assets

1.3

9.6

Other long-term liabilities

15.6

6.1

	Amount of Gain (Loss) Recognized in AOCI									Location of Gain (Loss) Reclassified from AOCI into Income	Gain (Loss) Reclassified from AOCI into Income
	2019			2018			2017				2019			2018			2017
Derivatives in cash flow hedging relationships
Natural gas commodity contracts	$	-		$	0.7		$	(1.3	)	Cost of goods sold	$	-		$	0.1		$	0.3
Foreign exchange contracts – purchases		-			0.1			(0.5	)	Cost of goods sold		-			-			-
Foreign exchange contracts – sales		-			0.7			(1.8	)	Net sales		-			-			0.1
Interest rate swap contracts		(20.0	)		(2.0	)		2.2		Interest expense		(1.4	)		(1.6	)		(0.9	)
Total	$	(20.0	)	$	(0.5	)	$	(1.4	)	Total (loss) from continuing operations	$	(1.4	)	$	(1.5	)	$	(0.5	)
										Total (loss) from discontinued operations		-			-			(0.1	)
										Total (loss)	$	(1.4	)	$	(1.5	)	$	(0.6	)

As of December 31, 2019, the amount of existing losses in AOCI expected to be recognized in earnings over the next twelve months is $2.6 million.