DERIVATIVE FINANCIAL INSTRUMENTS

As of July 1, 2017, the Company had outstanding foreign currency forward contracts and swaps with a total notional amount of $55.7 million. The maturity dates for these contracts and swaps extend through September 2019. As of July 1, 2017, the net amount of unrealized loss expected to be reclassified into earnings within the next 12 months is approximately $2.8 million. During the fiscal year ended July 1, 2017, the Company entered into $6.7 million of foreign currency forward contracts and settled $20.5 million of such contracts. During the fiscal year ended July 2, 2016, the Company entered into $25.9 million of foreign currency forward contracts and settled $21.5 million of such contracts. During the fiscal year ended June 27, 2015, the Company entered into $23.1 million of foreign currency forward contracts and settled $20.5 million of such contracts.

As of July 1, 2017, the aggregate notional amount of the Company’s outstanding foreign currency contracts and swaps along with their unrealized gains (losses) are expected to mature as summarized below (in thousands):



Quarter Ending	Notional Contracts and Swaps in MXN		Notional Contracts and Swaps in USD		Estimated Fair Value
September 30, 2017	$	76,192	$	5,395	$	(1,218	)
December 30, 2017	$	88,558	$	6,162	$	(1,370	)
March 31, 2018	$	90,812	$	5,713	$	(864	)
June 30, 2018	$	95,500	$	5,811	$	(774	)
September 29, 2018	$	90,443	$	5,301	$	(588	)
December 29, 2018	$	125,328	$	6,746	$	(298	)
March 30, 2019	$	137,944	$	6,979	$	33
June 29, 2019	$	142,947	$	6,828	$	350
September 28, 2019	$	148,468	$	6,740	$	627

On October 1, 2014, the Company entered into an interest rate swap contract with an effective date of September 1, 2015 and a termination date of September 3, 2019, with a notional amount of $25.0 million related to the borrowings outstanding under the term loan. The interest rate swap pays the Company variable interest at the one month LIBOR rate, and the Company pays the counter party a fixed interest rate. The fixed interest rate for the contract is 1.97% that replaces the one month LIBOR rate component of our contractual interest to be paid to WFB as part of our term loan. Based on the terms of the interest rate swap contract and the underlying borrowings outstanding under the term loan, the interest rate contract was determined to be effective, and thus qualifies as a cash flow hedge. As of July 1, 2017 and July 2, 2016, the remaining notional balance of this swap was $14.5 million and $20.5 million, respectively.

The following table summarizes the fair value of derivative instruments in the Consolidated Balance Sheets as of July 1, 2017 and July 2, 2016 (in thousands):



		July 1, 2017			July 2, 2016
Derivatives Designated as Hedging Instruments	Balance Sheet Location	Fair Value			Fair Value
Foreign currency forward contracts & swaps	Other long-term assets	$	1,010		$	136
Foreign currency forward contracts & swaps	Other current liabilities	$	(4,226	)	$	(4,670	)
Foreign currency forward contracts & swaps	Other long-term liabilities	$	(886	)	$	(6,442	)
Interest rate swaps	Other long-term assets	$	—		$	—
Interest rate swaps	Other current liabilities	$	(81	)	$	(264	)
Interest rate swaps	Other long-term liabilities	$	(22	)	$	(234	)

The following table summarizes the gain (loss) on derivative instruments, net of tax, on the Consolidated Statements of Income for the fiscal year 2017 (in thousands):



Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of July 2, 2016			Effective Portion Recorded In AOCI			Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of July 1, 2017
Forward contracts & swaps	Cost of sales	$	(7,245	)	$	(600	)	$	5,138	$	(2,707	)
Interest rate swap	Interest expense	(328		)	14			246		(68		)
Total		$	(7,573	)	$	(586	)	$	5,384	$	(2,775	)

The following table summarizes the gain (loss) on derivative instruments, net of tax, on the Consolidated Statements of Income for the fiscal year 2016 (in thousands):



Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of June 27, 2015			Effective Portion Recorded In AOCI			Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of July 2, 2016
Forward contracts & swaps	Cost of sales	$	(4,487	)	$	(6,939	)	$	4,181	$	(7,245	)
Interest rate swap	Interest expense	(276		)	(348		)	296		(328		)
Total		$	(4,763	)	$	(7,287	)	$	4,477	$	(7,573	)

The following table summarizes the gain (loss) on derivative instruments, net of tax, on the Consolidated Statements of Income for the fiscal year 2015 (in thousands):



Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of June 28, 2014		Effective Portion Recorded In AOCI			Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of June 27, 2015
Forward contracts	Cost of sales	$	2,403	$	(7,208	)	$	318	$	(4,487	)
Interest rate swap	Interest expense	—		(276		)	—		(276		)
Total		$	2,403	$	(7,484	)	$	318	$	(4,763	)

As of July 1, 2017, the Company does not have any foreign exchange contracts with credit-risk-related contingent features. The Company is subject to the risk of fluctuating interest rates from our line of credit and foreign currency risk resulting from our China operations. The Company does not currently manage these risk exposures by using derivative instruments.