DERIVATIVE FINANCIAL INSTRUMENTS

9 Months Ended

Apr. 03, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Financial Instruments

As of April 3, 2021, the Company had outstanding foreign currency forward contracts with a total notional amount of $16.8 million. The maturity dates for these contracts extend through December 2021. For the three months ended April 3, 2021, the Company did not enter into any foreign currency forward contracts and settled $7.0 million of contracts. During the same period of the previous year, the Company entered into $23.8 million of foreign currency forward contracts and settled $6.6 million of contracts.

For the nine months ended April 3, 2021, the Company did not enter into any foreign currency forward contracts and settled $19.9 million of such contracts. During the same period of the previous year, the Company entered into $23.8 million of foreign currency forward contracts and settled $20.5 million of such contracts.

As of April 3, 2021, the aggregate notional amount of the Company’s outstanding foreign currency contracts along with their unrealized gains (losses) are expected to mature as summarized below (in thousands):


Quarter Ending	Notional Contracts in MXN		Notional Contracts in USD		Estimated Fair Value
July 3, 2021	$	138,213	$	6,154	$	616
October 2, 2021	$	146,373	$	5,502	$	1,595
January 1, 2022	$	137,973	$	5,129	$	1,488

On November 6, 2019, the Company entered into an interest rate swap contract with an effective date of November 6, 2019 and a termination date of September 30, 2022, related to the borrowings outstanding under the term loan with Wells Fargo Bank. This interest rate swap contract was terminated on August 14, 2020 when the Company entered into a loan and security agreement with Bank of America. At date of termination this interest rate swap was in a liability position of $148,400, which will be amortized to interest expense over the original term of the swap.

On November 6, 2019, the Company entered into an interest rate swap contract with an effective date of November 6, 2019 and a termination date of November 1, 2023, related to the borrowings outstanding under the line of credit with Wells Fargo Bank. This interest rate swap contract was terminated on August 14, 2020 when the Company entered into a loan and security agreement with Bank of America. At date of termination this interest rate swap was in a liability position of $776,500, which will be amortized to interest expense over the original term of the swap.

The following table summarizes the fair value of derivative instruments in the Consolidated Balance Sheet as of April 3, 2021 and June 27, 2020 (in thousands):


		April 3, 2021		June 27, 2020
Derivatives Designated as Hedging Instruments	Balance Sheet Location	Fair Value		Fair Value
Foreign currency forward contracts	Other current assets	$	3,699	$	—
Foreign currency forward contracts	Other long-term assets	$	—	$	1,097
Foreign currency forward contracts	Other current liabilities	$	—	$	(1,960)
Foreign currency forward contracts	Other long-term liabilities	$	—	$	(17)
Interest rate swap	Other current liabilities	$	—	$	(347)
Interest rate swap	Other long-term liabilities	$	—	$	(610)

The following tables summarize the gain (loss) on derivative instruments, net of tax, on the Consolidated Statements of Income for the three months ended April 3, 2021 and March 28, 2020, respectively (in thousands):


Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of December 26, 2020		Effective Portion Recorded In AOCI		Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of April 3, 2021
Forward contracts	Cost of sales	$	3,493	$	(63)	$	(644)	$	2,786
Interest rate swap	Interest expense	(799)		—		75		(724)
Total		$	2,694	$	(63)	$	(569)	$	2,062

Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of December 28, 2019		Effective Portion Recorded In AOCI		Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of March 28, 2020
Forward contracts	Cost of sales	$	2,329	$	(3,163)	$	(1,077)	$	(1,911)
Interest rate swap	Interest expense	(72)		(591)		(5)		(668)
Total		$	2,257	$	(3,754)	$	(1,082)	$	(2,579)

The following tables summarize the gain (loss) on derivative instruments, net of tax, on the Consolidated Statements of Income for the nine months ended April 3, 2021 and March 28, 2020, respectively (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, 2020		Effective Portion Recorded In AOCI		Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of April 3, 2021
Forward contracts	Cost of sales	$	(759)	$	3,938	$	(393)	$	2,786
Interest rate swap	Interest expense	(741)		(223)		240		(724)
Total		$	(1,500)	$	3,715	$	(153)	$	2,062

Derivatives Designated as Hedging Instruments	Classification of Gain (Loss) Reclassified from Accumulated OCI into Income (Effective Portion)	AOCI Balance as of June 29, 2019		Effective Portion Recorded In AOCI		Effective Portion Reclassified From AOCI Into Income		AOCI Balance as of March 28, 2020
Forward contracts	Cost of sales	$	2,424	$	(1,671)	$	(2,664)	$	(1,911)
Interest rate swap	Interest expense	2		(662)		(8)		(668)
Total		$	2,426	$	(2,333)	$	(2,672)	$	(2,579)

As of April 3, 2021, the net amount of unrealized gain expected to be reclassified into earnings within the next 12 months is approximately $2.9 million. As of April 3, 2021, the Company does not have any foreign exchange contracts with credit-risk-related contingent features.