CW 2020 Annual Report

respectively. As of December 31, 2020 and 2019, the fair value of forward contracts disclosed above were included in Other current assets and Other current liabilities in the Consolidated Balance Sheets. The Company does not net these derivatives in the Consolidated Balance Sheets. As of December 31, 2020 and 2019, the Company has not posted and does not hold any collateral related to these agreements.

The following table presents the fair value of derivatives as of December 31, 2020 and 2019 (in millions): December 31, 2020

December 31, 2019

December 31, 2020

Assets

Liabilities Fair Value

Assets

Liabilities Fair Value

Derivative Instrument Designated: Cash flow hedges: Interest rate swaps

Notional

Fair Value

Fair Value

$

1,708.3 $

— $

163.9 $

— $

97.7

Non-designated: Foreign currency forward contracts

611.7

2.5

1.1

1.0

2.2

The fair value of derivative assets is included within Other non-current assets and the fair value of derivative liabilities is included within Other non- current liabilities in the Consolidated Balance Sheets. The Company does not net derivatives in the Consolidated Balance Sheets. The following tables presents the effect of derivatives designated as hedges, net of applicable income taxes, in the Consolidated Statements of Operations for the years ended December 31, 2020, 2019 and 2018 (in millions):

Amount of (Loss) Gain Reclassified from Accumulated Other Comprehensive Loss into Statement of Operations

Amount of Loss (Gain) Recognized in Other Comprehensive Loss on Derivatives (1)

Beginning Accumulated Other Comprehensive Loss (Gain)

Ending Accumulated Other Comprehensive Loss (Gain)

(2)

Year Ended December 31, 2018 Foreign currency cash flow hedges Foreign currency net investment hedges

$

2.2 $

(7.3) $

5.1 $

—

0.7

(1.3)

—

(0.6)

Interest rate cash flow hedges

(22.5)

1.1

8.1

(13.3) (13.9)

$

(19.6) $

(7.5) $

13.2 $

Year Ended December 31, 2019 Interest rate cash flow hedges

(13.3)

88.5

3.8

79.0 79.0

$

(13.3) $

88.5 $

3.8 $

Year Ended December 31, 2020 Interest rate cash flow hedges

79.0

111.3

(31.4)

158.9 158.9

$

79.0 $

111.3 $

(31.4) $

Amount is net of related income tax expense of $0.0 million, $4.4 million and $0.7 million for the years ended December 31, 2020, 2019 and 2018, respectively. Amount is net of related income tax expense of $2.8 million, $3.1 million and $1.9 million for the years ended December 31, 2020, 2019 and 2018, respectively. Losses of $28.6 million and gains of $6.9 million and $9.8 million were reclassified into earnings during the years ended December 31, 2020, 2019 and 2018, respectively, relating to interest rate hedges and were recognized in Interest expense on the Consolidated Statements of Operations. Gains of $0.2 million and $5.1 million were reclassified into earnings during the year ended December 31, 2018 relating to foreign currency cash flow hedges and were recognized in Interest expense and Operating, administrative and other, respectively, in the Consolidated Statements of Operations. (1) (2)

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