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FAIR VALUE OF FINANCIAL INSTRUMENTS AND FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 28, 2019

Schedule of Fair Value Not Currently Recognized on Balance sheet

The fair values of the remaining financial instruments not currently recognized at fair value on our consolidated balance sheets at the respective period ends were (in thousands):


	September 28, 2019						October 28, 2018
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Term Loan Facilities	$	2,536,397	$	2,478,263	$	412,925	$	412,409
8.00% Senior Notes	645,000		632,100		—		—

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis

The following tables summarize information regarding our financial assets and liabilities that are measured at fair value on a recurring basis as of September 28, 2019 and October 28, 2018, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value (in thousands):


	September 28, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Short-term investments in deferred compensation plan⁽¹⁾:
Money market	$	27	$	—	$	—	$	27
Mutual funds – Growth	991		—		—		991
Mutual funds – Blend	1,625		—		—		1,625
Mutual funds – Foreign blend	528		—		—		528
Mutual funds – Fixed income	—		398		—		398
Total short-term investments in deferred compensation plan⁽²⁾	3,171		398		—		3,569
Foreign currency hedge⁽⁴⁾	—		95		—		—
Total assets	$	3,171	$	493	$	—	$	3,664

Liabilities:
Deferred compensation plan liability⁽²⁾	$	—	$	3,564	$	—	$	3,564
Interest rate swap liability⁽³⁾	—		38,853		—		38,853
Total liabilities	$	—	$	42,417	$	—	$	42,417


	October 28, 2018
	Level 1		Level 2		Level 3		Total
Assets:
Short-term investments in deferred compensation plan⁽¹⁾:
Money market	$	369	$	—	$	—	$	369
Mutual funds – Growth	1,118		—		—		1,118
Mutual funds – Blend	2,045		—		—		2,045
Mutual funds – Foreign blend	812		—		—		812
Mutual funds – Fixed income	—		941		—		941
Total short-term investments in deferred compensation plan⁽²⁾	4,344		941		—		5,285
Total assets	$	4,344	$	941	$	—	$	5,285

Liabilities:
Deferred compensation plan liability⁽²⁾	$	—	$	4,639	$	—	$	4,639
Total liabilities	$	—	$	4,639	$	—	$	4,639

(1)Unrealized holding gains (losses) for the three months ended September 28, 2019 and July 29, 2018 were $(0.1) million and $0.2 million, respectively. Unrealized holding gains for the nine months ended September 28, 2019 and July 29, 2018 were $0.4 million and $0.3 million, respectively. These unrealized holding gains (losses) were substantially offset by changes in the deferred compensation plan liability.

(2)The Company records the short-term investments in deferred compensation plan within investments in debt and equity securities, at market, and the deferred compensation plan liability within accrued compensation and benefits on the consolidated balance sheets.

(3)In May 2019, the Company entered into interest rate swaps to mitigate variability in forecasted interest payments on $1,500.0 million of the Company’s unsecured variable debt. The interest rate swaps effectively convert a portion of the floating rate interest payments into a fixed rate interest payment. There are three interest rate swaps that cover $500.0 million of notional debt each and fix the interest rate at 5.918%, 5.906% and 5.907%, respectively. The Company designated the interest rate swaps as qualifying hedging instruments and accounts for these derivatives as cash flow hedges. The interest rate swap liability is included within other long-term liabilities on the consolidated balance sheets.

(4)In July 2019, the Company entered into a forward contract agreement to hedge approximately $21.9 million of its 2019 non-functional currency inventory purchases. This forward contract was established to protect the Company from variability in cash flows attributable to changes in the U.S. dollar relative to the Canadian dollar. As a cash flow hedge, unrealized gains are recognized as assets while unrealized losses are recognized as liabilities. The forward contract is highly correlated to the changes in the U.S. dollar relative to the Canadian dollar. Unrealized gains and losses on these agreements are designated as effective or ineffective. The effective portion of such gains or losses is recorded as a component of accumulated other comprehensive income or loss, while the ineffective portion of such gains or losses is recorded as a component of cost of goods sold. Future realized gains and losses in connection with each inventory purchase will be reclassified from accumulated other comprehensive income or loss to cost of goods sold. The gains and losses on the derivative contract that are reclassified from accumulated other comprehensive income or loss to current period earnings are included in the line item in which the hedged item is recorded in the same period the forecasted transaction affects earnings. During the three months ended September 28, 2019, the Company realized a gain of approximately $0.1 million within cost of goods sold in the consolidated statement of operations based on these cash flow hedges. The changes in fair values of derivatives that have been designated and qualify as cash flow hedges are recorded in accumulated other comprehensive income or loss and are reclassified into cost of goods sold in the same period the hedged item affects earnings. Due to the high degree of effectiveness between the hedging instruments and the underlying exposures being hedged, fluctuations in the value of the derivative instruments are generally offset by changes in the fair value or cash flows of the underlying exposures being hedged. The changes in the fair value of derivatives that do not qualify as effective are immediately recognized in earnings.