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

3 Months Ended

Apr. 03, 2021

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):


	April 3, 2021				December 31, 2020
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Term Loan Facility	$	2,491,563	$	2,487,203	$	2,497,967	$	2,485,477
8.00% Senior Notes	645,000		667,575		645,000		674,025
6.125% Senior Notes	500,000		531,250		500,000		530,000

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 April 3, 2021 and December 31, 2020, segregated by the level of the valuation inputs within the fair value hierarchy utilized to measure fair value (in thousands):


	April 3, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Short-term investments in deferred compensation plan(1):
Money market	$	286	$	—	$	—	$	286
Mutual funds – Growth	564		—		—		564
Mutual funds – Blend	1,186		—		—		1,186
Mutual funds – Foreign blend	342		—		—		342
Mutual funds – Fixed income	—		149		—		149
Total short-term investments in deferred compensation plan(2)	2,378		149		—		2,527
Total assets	$	2,378	$	149	$	—	$	2,527

Liabilities:
Deferred compensation plan liability(2)	$	—	$	2,567	$	—	$	2,567
Foreign currency hedges(3)	—		678		—		678
Interest rate swap liability(4)	—		63,903		—		63,903
Total liabilities	$	—	$	67,148	$	—	$	67,148


	December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Short-term investments in deferred compensation plan(1):
Money market	$	349	$	—	$	—	$	349
Mutual funds – Growth	487		—		—		487
Mutual funds – Blend	1,006		—		—		1,006
Mutual funds – Foreign blend	338		—		—		338
Mutual funds – Fixed income	—		153		—		153
Total short-term investments in deferred compensation plan(2)	2,180		153		—		2,333
Foreign currency hedge(3)	—		—		—		—
Total assets	$	2,180	$	153	$	—	$	2,333

Liabilities:
Deferred compensation plan liability(2)	$	—	$	2,339	$	—	$	2,339
Interest rate swap liability(4)	—		75,770		—		75,770
Total liabilities	$	—	$	78,109	$	—	$	78,109

(1)Unrealized holding gains (losses) for the three months ended April 3, 2021 and April 4, 2020 were $0.1 million and $(0.8) 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 December 2020, the Company entered into forward contracts to hedge approximately $66.0 million of its 2021 non-functional currency inventory purchases. These forward contracts were established to protect the Company from variability in cash flows attributable to changes in the U.S. dollar relative to the Canadian dollar. As cash flow hedges, unrealized gains are recognized as assets while unrealized losses are recognized as liabilities. The forward contracts are highly correlated to the changes in the U.S. dollar relative to the Canadian dollar. Unrealized gains and losses on these contracts 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 contracts 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 April 3, 2021, the Company realized a loss 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.

(4)In May 2019, the Company entered into four-year interest rate swaps to mitigate variability in forecasted interest payments on $1,500.0 million of the Company’s term loan secured variable debt. The interest rate swaps effectively convert a portion of the floating rate interest payment 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. See the discussion in Note 21 — Subsequent Events for changes to the swaps on April 15, 2021 in connection with the Company’s debt refinancing transactions.