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Derivative Financial Instruments (Tables)
 6 Months Ended
Jun. 28, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Outstanding foreign currency forward contracts
We had the following outstanding foreign currency forward contracts as of June 28, 2019 (in millions):
 
Foreign currency contracts qualifying as cash flow hedges:
 
Notional amount
Euro
 
EUR
 
81.7

British pound
 
GBP
 
3.7

Japanese yen
 
JPY
 
5,024.6

Korean won
 
KRW
 
14,985.6
Fair values of derivative instruments
The following table reflects the fair values of derivative instruments, which are designated as level 2 in the fair value hierarchy, as of June 28, 2019 and December 28, 2018 (U.S. dollars in millions):
 
 
Derivatives designated as hedging instruments (1)
 
Foreign exchange contracts
 
Interest rate swaps
 
Total
Balance Sheet location:
June 28,
2019 (2)
 
December 28,
2018
 
June 28,
2019
 
December 28,
2018
 
June 28,
2019
 
December 28,
2018
Asset derivatives:
 
 
 
 
 
 
 
 
 
 
 
Prepaid expenses and other current assets
$
3.0

 
$
1.6

 
$
—

 
$
—

 
$
3.0

 
$
1.6

Total asset derivatives
$
3.0

 
$
1.6


$
—

 
$
—

 
$
3.0

 
$
1.6

 
 
 
 
 
 
 
 
 
 
 
 
Liability derivatives:
 

 
 

 
 
 
 
 


 
 
Accounts payable and accrued expenses
$
0.4

 
$
0.8

 
$
—

 
$
—

 
$
0.4

 
$
0.8

Other long-term liabilities
—

 
—

 
28.9

 
7.6

 
28.9

 
7.6

Total liability derivatives
$
0.4

 
$
0.8

 
$
28.9

 
$
7.6

 
$
29.3

 
$
8.4


(1) See Note 16, "Fair Value Measurements", for fair value disclosures.
(2) We expect that $2.6 million of the net fair value of hedges recognized as a net gain in accumulated other comprehensive income ("AOCI") will be transferred to earnings during the next 12 months and the remaining net loss of $28.9 million over a period of 10 years, along with the earnings effect of the related forecasted transactions.
Effect of derivative instruments on Consolidated Statements of Income
The following table reflects the effect of derivative instruments on the Consolidated Statements of Operations for the quarters and six months ended June 28, 2019 and June 29, 2018 (U.S. dollars in millions):
 
 
Derivatives in effective cash flow
hedging relationships
Amount of gain (loss) recognized in other
comprehensive income on derivatives
(effective portion)
 
Location of (loss) income
reclassified
from AOCI into
income (effective
portion)
Amount of (loss) income reclassified from
AOCI into income (effective portion)
 
Quarter ended
 
 
Quarter ended
 
June 28,
2019
 
June 29,
2018
 
 
June 28,
2019
 
June 29,
2018
Foreign exchange
contracts
$
(2.2
)
 
$
6.0

 
Net sales
$
1.7

 
$
0.9

Foreign exchange
contracts
0.1

 
0.7

 
Cost of products sold
0.5

 
0.1

Interest rate swaps
(12.1
)
 
(2.0
)
 
Interest expense
(0.4
)
 
(0.1
)
Total
$
(14.2
)
 
$
4.7

 
 
$
1.8

 
$
0.9

 
 
 
 
 
 
 
 
 
 
Six months ended
 
 
Six months ended
 
June 28,
2019
 
June 29,
2018
 
 
June 28,
2019
 
June 29,
2018
Foreign exchange
contracts
$
1.0

 
$
4.2

 
Net sales
$
2.4

 
$
0.2

Foreign exchange
contracts
0.8

 
0.7

 
Cost of products sold
0.6

 
0.3

Interest rate swaps
(21.3
)
 
(2.0
)
 
Interest expense
(0.7
)
 
(0.1
)
Total
$
(19.5
)
 
$
2.9

 
 
$
2.3

 
$
0.4