Derivative Instruments |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
| Derivative Instruments | DERIVATIVE INSTRUMENTS During the periods covered by this report, we have made no changes to our policies or strategies for the use of derivative instruments and there has been no change in our related accounting methods. For our derivative instruments, which are designated as cash flow hedges, gains and losses are initially reported as a component of accumulated other comprehensive loss and subsequently recognized in earnings with the corresponding hedged item. Interest Rate Derivative Instruments Our interest rate swaps are designated and qualify as effective cash flow hedges. The contracts, with expiration dates through November 2022 and notional amounts totaling $49.6 million at October 2, 2020, are recorded at fair value. The following table summarizes the amount at fair value and location of the derivative instruments in our balance sheet for our interest rate hedges in the Condensed Consolidated Balance Sheets as of October 2, 2020:
The following table summarizes the amount at fair value and location of the derivative instruments used for our interest rate hedges in the Condensed Consolidated Balance Sheets as of December 31, 2019:
We regularly assess the creditworthiness of the counterparty. As of October 2, 2020, the counterparty to the interest rate swaps had performed in accordance with its contractual obligations. Both the counterparty credit risk and our credit risk were considered in the fair value determination. Net interest rate derivative losses of $0.7 million and net interest rate derivative gains of less than $0.1 million were recognized in interest expense, net in our Condensed Consolidated Statements of Income during the first three quarters of 2020 and 2019, respectively. We expect $1.0 million of existing interest rate swap losses reported in accumulated other comprehensive loss as of October 2, 2020 to be recognized in earnings within the next 12 months. Foreign Currency Derivative Instruments The following table summarizes the amount at fair value and location of the derivative instruments used for our forward contract hedges in the Condensed Consolidated Balance Sheets as of October 2, 2020:
The following table summarizes the amount at fair value and location of the derivative instruments used for our forward contract hedges in the Condensed Consolidated Balance Sheets as of December 31, 2019:
At October 2, 2020, we had outstanding foreign currency forward contracts, for the exchange of U.S. dollars and Euros, with a notional amount of $9.5 million and expiration dates through September 2021. Counterparty default risk is considered low because the forward contracts that we entered into are over-the-counter instruments transacted with highly-rated financial institutions. We were not required to, and did not, post collateral as of October 2, 2020. Net foreign currency derivative losses of $0.2 million and $0.4 million were recognized in selling, general and administrative expenses during the first three quarters of 2020 and 2019, respectively. We expect $0.2 million of existing foreign currency forward contract gains reported in accumulated other comprehensive loss as of October 2, 2020 to be recognized in earnings within the next 12 months.
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