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DERIVATIVES (Tables)

6 Months Ended

Oct. 02, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of Outstanding Derivative Contracts

The gross fair value of the Company's outstanding derivative contracts at October 2, 2021 and April 3, 2021 was as follows:


(in thousands)	October 2, 2021		April 3, 2021
Derivative assets(1)
Non-designated hedges	$	644	$	2,864
Cash flow hedges	3,147		2,242
Interest rate swap	2,328		—
Total derivative assets	$	6,119	$	5,106

Derivative liabilities(2)
Non-designated hedges	$	26	$	18
Cash flow hedges	636		1,819
Interest rate swap	6,573		9,863
Accrued interest	46		102
Total derivative liabilities	$	7,281	$	11,802

(1) Short-term derivative assets are recorded in other current assets and long-term derivative assets are recorded in other non-current assets on the condensed consolidated balance sheets. As of October 2, 2021, the portion of derivative assets classified as long-term was $2.4 million. As of April 3, 2021, the portion of derivative assets classified as long-term was $0.1 million.

(2) Short-term derivative liabilities are recorded in accrued liabilities and long-term derivative liabilities are recorded in other non-current liabilities on the condensed consolidated balance sheets. As of October 2, 2021, the portion of derivative liabilities classified as long-term was $0.1 million. As of April 3, 2021, the portion of derivative liabilities classified as long-term was $2.0 million.

Notional Value of Outstanding Foreign Exchange Currency Contracts

The following table summarizes the notional value of the Company’s outstanding foreign exchange currency contracts and approximate USD equivalent at October 2, 2021:


(in thousands)	Local Currency		USD Equivalent		Position	Maturity
EUR	€	20,600	$	23,889	Sell EUR	1 month
GBP	£	9,000	$	12,197	Sell GBP	1 month

The notional value of the Company's outstanding EUR and GBP option and forward contracts at the end of each period was as follows:


	October 2, 2021		April 3, 2021
(in millions)	EUR	GBP	EUR	GBP
Option contracts	€92.5	£19.7	€91.4	£18.1
Forward contracts	€91.9	£18.5	€76.0	£15.6

The following table summarizes the notional value of the Company's outstanding MXN currency swaps and approximate USD Equivalent at October 2, 2021:

(in thousands)

Local Currency

USD Equivalent

Position

Maturity

MXN

640,243

30,613

Buy MXN

Monthly over a twelve month period

Effect of Non-Designated Derivative Contracts Recognized in Interest and Other Income, Net

The effect of non-designated derivative contracts on results of operations recognized in other non-operating expense (income), net in the condensed consolidated statements of operations was as follows:


	Three Months Ended				Six Months Ended
(in thousands)	October 2, 2021		September 26, 2020		October 2, 2021		September 26, 2020
Gain (loss) on foreign exchange contracts	$	1,676	$	(1,815)	$	1,190	$	(2,733)

Reclassification out of Accumulated Other Comprehensive Income

The following table presents the pre-tax effects of derivative instruments designated as cash flow hedges on accumulated other comprehensive income and the condensed consolidated statements of operations for the three and six months ended October 2, 2021 and September 26, 2020:


	Three Months Ended				Six Months Ended
(in thousands)	October 2, 2021		September 26, 2020		October 2, 2021		September 26, 2020
Loss included in accumulated other comprehensive income (loss), as of beginning of period	$	(4,997)	$	(18,921)	$	(10,062)	$	(20,156)

Gain (loss) recognized in other comprehensive income (loss)	234		(3,006)		674		(4,585)

Amount of (gain)/loss reclassified from accumulated other comprehensive income (loss) into net revenues	(639)		1,652		1,133		743
Amount of gain reclassified from accumulated other comprehensive income (loss) into cost of revenues	(243)		—		(479)		—
Amount of loss reclassified from accumulated other comprehensive income (loss) into interest expense	2,393		3,528		5,482		7,251
Total amount of loss reclassified from accumulated other comprehensive income (loss) to the condensed consolidated statements of operations	1,511		5,180		6,136		7,994



Loss included in accumulated other comprehensive income (loss), as of end of period	$	(3,252)	$	(16,747)	$	(3,252)	$	(16,747)

Offsetting Financial Assets Under Master Netting Agreements

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

As of October 2, 2021


	Gross Amount of Derivative Assets Presented in the Condensed 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	$	6,119	$	(3,253)	$	—	$	2,866
Derivatives not subject to master netting agreements	—						—
Total	$	6,119					$	2,866


	Gross Amount of Derivative Liabilities Presented in the Condensed 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	$	(7,235)	$	3,253	$	—	$	(3,982)
Derivatives not subject to master netting agreements	—						—
Total	$	(7,235)					$	(3,982)

As of April 3, 2021


	Gross Amount of Derivative Assets Presented in the Condensed 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	$	5,106	$	(5,106)	$	—	$	—
Derivatives not subject to master netting agreements	—						—
Total	$	5,106					$	—


	Gross Amount of Derivative Liabilities Presented in the Condensed 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	$	(11,700)	$	5,106	$	—	$	(6,594)
Derivatives not subject to master netting agreements	—						—
Total	$	(11,700)					$	(6,594)

Offsetting Financial Liabilities Under Master Netting Agreements

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

As of October 2, 2021


	Gross Amount of Derivative Assets Presented in the Condensed 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	$	6,119	$	(3,253)	$	—	$	2,866
Derivatives not subject to master netting agreements	—						—
Total	$	6,119					$	2,866


	Gross Amount of Derivative Liabilities Presented in the Condensed 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	$	(7,235)	$	3,253	$	—	$	(3,982)
Derivatives not subject to master netting agreements	—						—
Total	$	(7,235)					$	(3,982)

As of April 3, 2021


	Gross Amount of Derivative Assets Presented in the Condensed 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	$	5,106	$	(5,106)	$	—	$	—
Derivatives not subject to master netting agreements	—						—
Total	$	5,106					$	—


	Gross Amount of Derivative Liabilities Presented in the Condensed 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	$	(11,700)	$	5,106	$	—	$	(6,594)
Derivatives not subject to master netting agreements	—						—
Total	$	(11,700)					$	(6,594)

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details