Herbalife Ltd. Annual report pursuant to Section 13 and 15(d)

Annual report pursuant to Section 13 and 15(d)

Derivative Instruments and Hedging Activities (Tables)

Derivative Instruments and Hedging Activities (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Summary of Foreign Currency Forward Contracts Outstanding

The tables below provide information about the details of all foreign currency forward contracts that were outstanding as of December 31, 2020 and 2019:


	Weighted- Average Contract Rate		Notional Amount			Fair Value Gain (Loss)
	(in millions, except weighted-average contract rate)
As of December 31, 2020
Buy British pound sell Euro		0.92		$	3.4		$	0.1
Buy British pound sell U.S. dollar		1.34			1.5			—
Buy Chinese yuan sell Euro		8.14			52.1			(0.1	)
Buy Chinese yuan sell U.S. dollar		7.13			99.3			8.5
Buy Colombian peso sell U.S. dollar		3,422.09			1.1			—
Buy Danish krone sell U.S. dollar		6.10			1.0			—
Buy Euro sell Australian dollar		1.61			1.4			—
Buy Euro sell British pound		0.91			2.6			—
Buy Euro sell Canadian dollar		1.56			1.1			—
Buy Euro sell Chilean peso		896.37			2.6			(0.1	)
Buy Euro sell Hong Kong dollar		9.49			4.4			—
Buy Euro sell Indian rupee		90.29			4.9			(0.1	)
Buy Euro sell Indonesian rupiah		17,189.96			4.1			—
Buy Euro sell Israeli shekel		3.98			0.9			—
Buy Euro sell Kazakhstani tenge		520.25			3.1			—
Buy Euro sell Malaysian ringgit		4.98			1.2			—
Buy Euro sell Mexican peso		26.22			55.7			(3.4	)
Buy Euro sell Peruvian nuevo sol		4.41			1.6			—
Buy Euro sell Philippine peso		59.13			1.2			—
Buy Euro sell Russian ruble		92.13			7.7			(0.1	)
Buy Euro sell South African rand		18.00			5.4			—
Buy Euro sell Taiwan dollar		34.30			1.2			—
Buy Euro sell Turkish lira		9.32			2.9			(0.1	)


	Weighted- Average Contract Rate		Notional Amount			Fair Value Gain (Loss)
	(in millions, except weighted-average contract rate)
Buy Euro sell Vietnamese dong		27,872.81			17.5			0.2
Buy Indonesian rupiah sell U.S. dollar		14,115.17			7.1			0.1
Buy Kazakhstani tenge sell Euro		517.65			2.4			—
Buy Korean won sell U.S. dollar		1,114.85			10.0			0.2
Buy Mexican peso sell U.S. dollar		19.97			35.1			—
Buy Norwegian krone sell U.S. dollar		8.66			2.2			—
Buy Russian ruble sell Euro		90.11			1.2			—
Buy Swedish krona sell U.S. dollar		8.25			2.7			—
Buy Taiwan dollar sell U.S. dollar		27.67			15.2			—
Buy U.S. dollar sell Australian dollar		0.76			2.0			—
Buy U.S. dollar sell Chinese yuan		6.75			47.1			(1.3	)
Buy U.S. dollar sell Colombian peso		3,525.72			4.2			(0.1	)
Buy U.S. dollar sell Euro		1.20			24.9			(0.4	)
Buy U.S. dollar sell Korean won		1,107.10			16.3			(0.3	)
Buy U.S. dollar sell Mexican peso		21.94			11.3			(0.6	)
Buy U.S. dollar sell Philippine peso		48.51			8.2			(0.1	)
Buy U.S. dollar sell Thai baht		31.08			3.2			(0.1	)

Total forward contracts				$	471.0		$	2.3


	Weighted- Average Contract Rate		Notional Amount			Fair Value Gain (Loss)
	(in millions, except weighted-average contract rate)
As of December 31, 2019
Buy British pound sell Euro		0.86		$	3.3		$	—
Buy British pound sell U.S. dollar		1.30			2.7			0.1
Buy Chinese yuan sell Euro		7.99			58.4			0.4
Buy Chinese yuan sell U.S. dollar		7.16			73.8			1.9
Buy Colombian peso sell U.S. dollar		3,323.67			1.7			—
Buy Euro sell Australian dollar		1.62			1.1			—
Buy Euro sell British pound		0.86			4.9			(0.1	)
Buy Euro sell Hong Kong dollar		8.70			4.1			—
Buy Euro sell Indonesian rupiah		15,632.92			13.0			(0.1	)
Buy Euro sell Korean won		1,297.40			1.7			—
Buy Euro sell Malaysian ringgit		4.62			2.9			—
Buy Euro sell Mexican peso		22.41			63.3			(1.8	)
Buy Euro sell Peruvian nuevo sol		3.73			1.1			—
Buy Euro sell Philippine peso		56.66			12.0			0.1
Buy Euro sell Russian ruble		70.47			1.7			—
Buy Euro sell South African rand		15.95			2.7			—
Buy Euro sell Taiwan dollar		33.66			3.8			—
Buy Euro sell Thai baht		33.66			2.8			—
Buy Euro sell U.S. dollar		1.12			61.5			0.4
Buy Euro sell Vietnamese dong		26,052.72			31.7			(0.1	)
Buy Indonesian rupiah sell U.S. dollar		14,080.00			7.2			0.1
Buy Norwegian krone sell U.S. dollar		8.96			1.1			—
Buy Swedish krona sell U.S. dollar		9.36			0.6			—
Buy Taiwan dollar sell U.S. dollar		29.89			4.1			—
Buy U.S. dollar sell Colombian peso		3,304.37			1.9			—
Buy U.S. dollar sell Euro		1.12			134.9			(0.4	)
Buy U.S. dollar sell Mexican peso		22.54			3.7			(0.3	)

Total forward contracts				$	501.7		$	0.2

Gains (Losses) Relating to Derivative Instruments Recorded in Other Comprehensive Loss

The following table summarizes gains (losses) relating to derivative instruments recorded in other comprehensive loss during the years ended December 31, 2020, 2019, and 2018:


	Amount of Gain (Loss) Recognized in Other Comprehensive Income (Loss) Year Ended December 31,
	2020				2019				2018
	(in millions)
Derivatives designated as hedging instruments:
Foreign exchange currency contracts relating to inventory and intercompany management fee hedges		$	2.3			$	(1.9	)		$	(3.6	)
Interest rate swaps			(1.6	)			—				—

Effect of Cash Flow Hedging Relationships on Condensed Consolidated Statements of Income

The effect of cash flow hedging relationships on the Company’s consolidated statements of income for the years ended December 31, 2020, 2019, and 2018 was as follows:


	Location and Amount of Gain (Loss) Recognized in Income on Cash Flow Hedging Relationships
	Year Ended December 31,
	2020
	Cost of sales				Selling, general, and administrative expenses				Interest expense
	(in millions)
Total amounts presented in the consolidated statements of income		$	1,150.6			$	2,075.0			$	133.0

Foreign exchange currency contracts relating to inventory hedges:
Amount of gain reclassified from accumulated other comprehensive loss to income			5.1				—				—
Amount of loss excluded from assessment of effectiveness recognized in income(1)			(3.3	)			—				—

Foreign exchange currency contracts relating to intercompany management fee hedges:
Amount of loss reclassified from accumulated other comprehensive loss to income			—				(0.2	)			—
Amount of gain excluded from assessment of effectiveness recognized in income			—				0.1				—

Interest rate swaps:
Amount of loss reclassified from accumulated other comprehensive loss to income			—				—				(0.5	)
Amount of gain excluded from assessment of effectiveness recognized in income			—				—				—


	Location and Amount of (Loss) Gain Recognized in Income on Cash Flow Hedging Relationships
	Year Ended December 31,
	2019
	Cost of sales				Selling, general, and administrative expenses			Interest expense
	(in millions)
Total amounts presented in the consolidated statements of income		$	958.0			$	1,940.3		$	153.0

Foreign exchange currency contracts relating to inventory hedges:
Amount of loss reclassified from accumulated other comprehensive loss to income			(0.2	)			—			—
Amount of loss excluded from assessment of effectiveness recognized in income(1)			(3.3	)			—			—

Foreign exchange currency contracts relating to intercompany management fee hedges:
Amount of gain reclassified from accumulated other comprehensive loss to income			—				1.0			—
Amount of gain excluded from assessment of effectiveness recognized in income			—				0.2			—

Interest rate swaps:
Amount of gain reclassified from accumulated other comprehensive loss to income			—				—			—
Amount of gain excluded from assessment of effectiveness recognized in income			—				—			—


	Location and Amount of Gain (Loss) Recognized in Income on Cash Flow Hedging Relationships
	Year Ended December 31,
	2018
	Cost of sales			Selling, general, and administrative expenses				Interest expense
	(in millions)
Total amounts presented in the consolidated statements of income		$	919.3		$	1,955.2			$	181.0

Foreign exchange currency contracts relating to inventory hedges:
Amount of gain reclassified from accumulated other comprehensive loss to income			3.6			—				—
Amount of loss excluded from assessment of effectiveness recognized in income(1)			—			(2.9	)			—

Foreign exchange currency contracts relating to intercompany management fee hedges:
Amount of loss reclassified from accumulated other comprehensive loss to income			—			(3.8	)			—
Amount of gain excluded from assessment of effectiveness recognized in income			—			0.8				—


	Location and Amount of Gain (Loss) Recognized in Income on Cash Flow Hedging Relationships
	Year Ended December 31,
	2018
	Cost of sales		Selling, general, and administrative expenses		Interest expense
	(in millions)

Interest rate swaps:
Amount of gain reclassified from accumulated other comprehensive loss to income		—		—		—
Amount of gain excluded from assessment of effectiveness recognized in incom e		—		—		—

(1)

As a result of adopting ASU 2017-12 during the first quarter of 2019, for the years ended December 31, 2020 and 2019, the Company recognized gains (losses) excluded from the assessment of effectiveness on foreign exchange currency contracts relating to inventory hedges in cost of sales within its consolidated statements of income. Prior to the adoption of ASU 2017-12, for the year ended December 31, 2018, the Company recognized gains (losses) excluded from the assessment of effectiveness on foreign exchange currency contracts relating to inventory hedges in selling, general, and administrative expenses within its consolidated statement of income.

Gains (Losses) Relating to Derivative Instruments Not Designated As Hedging Instruments Recorded to Income

The following table summarizes gains (losses) recorded to income relating to derivative instruments not designated as hedging instruments during the December 31, 2020, 2019, and 2018:


	Amount of Gain (Loss) Recognized in Income
	Year Ended December 31,
	2020		2019		2018			Location of Gain (Loss) Recognized in Income
	(in millions)
Derivatives not designated as hedging instruments:
Foreign exchange currency contracts	$	2.5	$	1.0	$	(4.0	)	Selling, general, and administrative expenses