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Derivative Financial Instruments (Tables)
 3 Months Ended
Mar. 27, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Outstanding foreign currency forward contracts
We had the following outstanding bunker fuel swap contracts as of March 27, 2020:

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 had the following outstanding foreign currency forward contracts as of March 27, 2020 (in millions):
 
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
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 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


(1) See Note 14, "Fair Value Measurements", for fair value disclosures.
(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.
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 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