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FOREIGN CURRENCY DERIVATIVES
 12 Months Ended
Mar. 28, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Foreign Currency Derivatives
DERIVATIVES

Foreign Currency Derivatives

The Company's foreign currency derivatives consist primarily of foreign currency forward exchange contracts and option contracts.  The Company does not purchase derivative financial instruments for speculative trading purposes.  The derivatives expose the Company to credit risk to the extent the counterparties may be unable to meet the terms of the derivative instrument.  The Company's maximum exposure to loss that it would incur due to credit risk if parties to derivative contracts failed completely to perform according to the terms of the contracts was equal to the carrying value of the Company's derivative assets as of March 28, 2020.  The Company seeks to mitigate such risk by limiting its counterparties to large financial institutions.  In addition, the Company monitors the potential risk of loss with any one counterparty resulting from this type of credit risk on an ongoing basis.

The Company enters into master netting arrangements with counterparties when possible to mitigate credit risk in derivative transactions. A master netting arrangement may allow each counterparty to net settle amounts owed between the Company and the counterparty as a result of multiple, separate derivative transactions. As of March 28, 2020, the Company has International Swaps and Derivatives Association (ISDA) agreements with four applicable banks and financial institutions which contain netting provisions. The Company has elected to present the fair value of derivative assets and liabilities within the Company's consolidated balance sheet on a gross basis even when derivative transactions are subject to master netting arrangements and may otherwise qualify for net presentation. For each counterparty, if netted, the Company would offset the asset and liability balances of all
derivatives at the end of the reporting period. Derivatives not subject to master netting agreements are not eligible for net presentation. As of March 28, 2020, and March 30, 2019, no cash collateral had been received or pledged related to these derivative instruments.

Offsetting of Financial Assets/Liabilities under Master Netting Agreements with Derivative Counterparties

As of March 28, 2020:
 
Gross Amount of Derivative Assets Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
 
(in thousands)
Gross Amount of Eligible Offsetting Recognized Derivative Liabilities
Cash Collateral Received
Net Amount of Derivative Assets
Derivatives subject to master netting agreements
$
3,550

$
(3,550
)
$
—

$
—

Derivatives not subject to master netting agreements
—

 
 
—

Total
$
3,550

 
 
$
—


 
Gross Amount of Derivative Liabilities Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
 
(in thousands)
Gross Amount of Eligible Offsetting Recognized Derivative Assets
Cash Collateral Received
Net Amount of Derivative Liabilities
Derivatives subject to master netting agreements
$
(22,890
)
$
3,550

$
—

$
(19,340
)
Derivatives not subject to master netting agreements
—

 
 
—

Total
$
(22,890
)
 
 
$
(19,340
)


As of March 30, 2019:
 
Gross Amount of Derivative Assets Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
 
(in thousands)
Gross Amount of Eligible Offsetting Recognized Derivative Liabilities
Cash Collateral Received
Net Amount of Derivative Assets
Derivatives subject to master netting agreements
$
3,183

$
(883
)
$
—

$
2,300

Derivatives not subject to master netting agreements
—

 
 
—

Total
$
3,183

 
 
$
2,300


 
Gross Amount of Derivative Liabilities Presented in the Consolidated Balance Sheets
Gross Amounts Not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
 
(in thousands)
Gross Amount of Eligible Offsetting Recognized Derivative Assets
Cash Collateral Received
Net Amount of Derivative Liabilities
Derivatives subject to master netting agreements
$
(9,483
)
$
883

$
—

$
(8,600
)
Derivatives not subject to master netting agreements
—

 
 
—

Total
$
(9,483
)
 
 
$
(8,600
)

The Company's derivative instruments are measured using Level 2 fair value inputs.




Non-Designated Hedges
 
As of March 28, 2020, the Company had foreign currency forward contracts denominated in Euros ("EUR") and British Pound Sterling ("GBP").  The Company does not elect to obtain hedge accounting for these forward contracts. These forward contracts hedge against a portion of the Company’s foreign currency-denominated cash balances, receivables, and payables. The following table summarizes the notional value of the Company’s outstanding foreign exchange currency contracts and approximate U.S. Dollar ("USD") equivalent at March 28, 2020:
 
Local Currency
 
USD Equivalent
 
Position
 
Maturity
 
(in thousands)
 
(in thousands)
 
 
 
 
EUR
€
33,200

 
$
36,755

 
Sell EUR
 
1 month
GBP
£
5,300

 
$
6,584

 
Sell GBP
 
1 month


Effect of Non-Designated Derivative Contracts on the Consolidated Statements of Operations

The effect of non-designated derivative contracts on results of operations recognized in other non-operating income and (expense), net in the consolidated statements of operations was as follows:
 
 
Fiscal Year Ended March 28,
 
Fiscal Year Ended March 30,
 
Fiscal Year Ended March 31,
(in thousands)
 
2020
 
2019
 
2018
Gain (loss) on foreign exchange contracts
 
$
2,665

 
$
7,340

 
$
(7,405
)


Cash Flow Hedges
 
Costless Collars

The Company hedges a portion of the forecasted EUR and GBP denominated revenues with costless collars. On a monthly basis, the Company enters into option contracts with a 6 to 12-month term.  Collar contracts are scheduled to mature at the beginning of each fiscal quarter, at which time the instruments convert to forward contracts. The Company also enters into cash flow forwards with a three-month term. Once the hedged revenues are recognized, the forward contracts become non-designated hedges to protect the resulting foreign monetary asset position for the Company.

The notional value of the Company's outstanding EUR and GBP option and forward contracts at the end of each period was as follows:
(in millions)
 
March 28, 2020
 
March 30, 2019
 
 
 
EUR
 
GBP
 
EUR
 
GBP
 
Option contracts
 
€67.0
 
€18.4
 
€76.8
 
£25.8
 
Forward contracts
 
€50.2
 
€18.5
 
€55.4
 
£18.0
 


The Company will reclassify all amounts accumulated in other comprehensive income into earnings within the next twelve months.

Cross-currency Swaps

The Company hedges a portion of the forecasted Mexican Peso (“MXN”) denominated expenditures with a cross-currency swap. As of March 28, 2020, and March 30, 2019, the Company had foreign currency swap contracts of approximately MXN 0.0 million and MXN 149.7 million, respectively.



Interest Rate Swap

On July 30, 2018, the Company entered into a 4-year amortizing interest rate swap agreement with Bank of America, N.A. The swap has an initial notional amount of $831 million and matures on July 31, 2022. The swap involves the receipt of floating-rate interest payments for fixed interest rate payments at a rate of 2.78% over the life of the agreement. The Company has designated this interest rate swap as a cash flow hedge. The purpose of this swap is to hedge against changes in cash flows (interest payments) attributable to fluctuations in the Company's variable rate debt. The derivative is valued based on prevailing LIBOR rate curves on the date of measurement. The Company also evaluates counterparty credit risk when it calculates the fair value of the swap. The effective portion of changes in the fair value of the derivative is recorded to other comprehensive income (loss) on the accompanying balance sheets and reclassified into interest expense over the life of the underlying debt as interest on the Company's floating rate debt is accrued. The Company reviews the effectiveness of this instrument on a quarterly basis, recognizes current period hedge ineffectiveness immediately in earnings and will discontinue hedge accounting if the Company no longer considers hedging to be highly effective. This hedge was fully effective at inception on July 30, 2018 and as of fiscal year ended March 28, 2020. During the fiscal year ended March 28, 2020, the Company recorded a loss of $5.0 million on its interest rate swap derivative designated as a cash flow hedge.

Effect of Designated Derivative Contracts on AOCI and Consolidated Statements of Operations

The following table presents the pre-tax effects of derivative instruments designated as cash flow hedges in AOCI and the consolidated statements of operations for Fiscal Years ended March 28, 2020, March 30, 2019, and March 31, 2018:
(in thousands)
 
2020
 
2019
 
2018
Gain (loss) included in AOCI as of beginning of period
 
$
(7,480
)
 
$
(1,693
)
 
$
541

 
 
 
 
 
 
 
Amount of gain (loss) recognized in OCI (effective portion)
 
(13,172
)
 
(4,176
)
 
(6,741
)
 
 
 
 
 
 
 
Amount of (gain) loss reclassified from OCI into net revenues (effective portion)
 
(4,270
)
 
(4,034
)
 
4,715

Amount of (gain) loss reclassified from OCI into cost of revenues (effective portion)
 
(238
)
 
(177
)
 
(208
)
Amount of (gain) loss reclassified from OCI into interest expense (effective portion)
 
5,004

 
2,600

 
—

Total amount of (gain) loss reclassified from AOCI to consolidated statements of operations (effective portion)
 
496

 
(1,611
)
 
4,507

 
 
 
 
 
 
 
Gain (loss) included in AOCI as of end of period
 
$
(20,156
)
 
$
(7,480
)
 
$
(1,693
)


For the period presented prior to the first quarter of fiscal year 2020, the ineffective and excluded portion of the realized and unrealized gain or loss was included in other non-operating income (expense). As a result of adopting ASU 2017-12, beginning in the first quarter of fiscal year 2020, the excluded portion of such amounts is included in the same line item in which the underlying transactions affect earnings and the ineffective portion of the realized and unrealized gains or losses on derivatives is included as a component of accumulated other comprehensive income. The Company did not have an ineffective portion of its cash flow hedges during the year ended March 28, 2020. The Company recognized immaterial gains in the consolidated statement of operations relating to the ineffective portion of the cash flow hedges reported in other non-operating income and (expense), net during the year ended March 30, 2019 compared to an immaterial loss in Fiscal Year 2018.