Our derivative financial instruments reduce our exposure to fluctuations in foreign exchange rates, variable interest rates and bunker fuel prices. We predominantly designate our derivative financial instruments as cash flow hedges.

Counterparties expose us to credit loss in the event of non-performance on hedges. We monitor our exposure to counterparty non-performance risk both at inception of the hedge and at least quarterly thereafter.

Fluctuations in the value of the derivative instruments are generally offset by changes in the cash flows or fair value of the underlying exposures being hedged. A cash flow hedge requires that the change in the fair value of a derivative instrument be recognized in other comprehensive income, a component of shareholders’ equity, and reclassified into earnings in the same period or periods during which the hedged transaction affects earnings and is presented in the same income statement line item as the earnings effect of the hedged item.

Certain of our derivative instruments contain provisions that require the current credit relationship between us and our counterparty to be maintained throughout the term of the derivative instruments. If that credit relationship changes, certain provisions could be triggered, and the counterparty could request immediate collateralization of derivative instruments in net liability position above a certain threshold. The aggregate fair value of all derivative instruments with a credit-risk-related contingent feature that are in a liability position on March 27, 2020 is $65.6 million. As of March 27, 2020, no triggering event has occurred and thus we are not required to post collateral.

Derivative instruments are disclosed on a gross basis. There are various rights of setoff associated with our derivative instruments that are subject to an enforceable master netting arrangement or similar agreements. Although various rights of setoff and master netting arrangements or similar agreements may exist with the individual counterparties, individually, these financial rights are not material.

We are exposed to fluctuations in currency exchange rates against the U.S. dollar on our results of operations and financial condition, and we mitigate that exposure by entering into foreign currency forward contracts. Certain of our subsidiaries periodically enter into foreign currency forward contracts in order to hedge portions of forecasted sales or cost of sales denominated in foreign currencies, which generally mature within one year. Our foreign currency hedges were entered into for the purpose of hedging portions of our 2020 foreign currency exposure.



Foreign currency contracts qualifying as cash flow hedges:	Notional amount
Euro	EUR	183.6
British pound	GBP	25.3
Japanese yen	JPY	4,976.0
Chilean peso	CLP	2,915.7
Korean won	KRW	18,535.0

We are exposed to fluctuations in bunker fuel prices on our results of operations and financial condition, and we mitigate that exposure by entering into bunker fuel swap agreements, which permit us to lock in bunker fuel prices. During the quarter ended March 27, 2020, one of our subsidiaries entered into bunker fuel swap agreements in order to hedge portions of our fuel costs incurred by our owned and chartered vessels throughout 2020 and 2021. We designated our bunker fuel swap agreements as cash flow hedges.



Bunker fuel swap contracts qualifying as cash flow hedges:	Notional amount
0.5% U.S. Gulf Coast	298,438	barrels
3% U.S. Gulf Coast	95,413	metric tons
0.5% Singapore	48,087	metric tons

We are exposed to fluctuations in variable interest rates on our results of operations and financial condition and we mitigate that exposure by entering into interest rate swaps. We entered into interest rate swaps in order to hedge the risk of the fluctuation on future interest payments related to our variable rate LIBOR-based borrowings through 2028.

Gains or losses on interest rate swaps are recorded in other comprehensive income and will be subsequently reclassified into earnings as interest expense as the interest expense on debt is recognized in earnings. At March 27, 2020, the notional value of interest rate contracts outstanding was $400.0 million, $200.0 million maturing in 2024 and the remaining $200.0 million maturing in 2028. Refer to Note 8, “Debt and Finance Lease Obligations.”

The following table reflects the fair values of derivative instruments, which are designated as level 2 in the fair value hierarchy, as of March 27, 2020 and December 27, 2019 (U.S. dollars in millions):



	Derivatives designated as hedging instruments ⁽¹⁾
	Foreign exchange contracts				Bunker fuel swaps				Interest rate swaps				Total
Balance Sheet location:	March 27, 2020		December 27, 2019		March 27, 2020		December 27, 2019		March 27, 2020		December 27, 2019		March 27, 2020			December 27, 2019
Asset derivatives:
Prepaid expenses and other current assets	$	2.6	$	1.7	$	—	$	—	$	—	$	—	$	2.6	⁽²⁾	$	1.7
Total asset derivatives	$	2.6	$	1.7	$	—	$	—	$	—	$	—	$	2.6		$	1.7

Liability derivatives:
Accounts payable and accrued expenses	$	2.5	$	0.7	$	3.9	$	—	$	—	$	—	$	6.4	⁽²⁾	$	0.7
Other long-term liabilities	—		—		4.4		—		54.8		30.3		59.2		⁽²⁾	30.3
Total liability derivatives	$	2.5	$	0.7	$	8.3	$	—	$	54.8	$	30.3	$	65.6		$	31.0

⁽²⁾ We expect that $3.8 million of the net fair value of hedges recognized as a net loss in accumulated other comprehensive income ("AOCI") will be transferred to earnings during the next 12 months and the remaining net loss of $59.2 million over a period of 8 years, along with the earnings effect of the related forecasted transactions.

The following table reflects the effect of derivative instruments on the Consolidated Statements of Operations for the quarters ended March 27, 2020 and March 29, 2019 (U.S. dollars in millions):



Derivatives in cash flow hedging relationships	Amount of gain (loss) recognized in other comprehensive income on derivatives (effective portion)						Location of (loss) gain reclassified from AOCI into income (effective portion)	Amount of gain (loss) reclassified from AOCI into income (effective portion)
	Quarter ended							Quarter ended
	March 27, 2020			March 29, 2019				March 27, 2020			March 29, 2019
Foreign exchange contracts	$	(1.1	)	$	3.3		Net sales	$	1.0		$	0.9
Foreign exchange contracts	0.2			0.6			Cost of products sold	0.6			—
Bunker fuel swaps	(8.3		)	—			Cost of products sold	—			—
Interest rate swaps, net of tax	(21.3		)	(9.2		)	Interest expense	(1.2		)	(0.4		)
Total	$	(30.5	)	$	(5.3	)		$	0.4		$	0.5