The Company's foreign currency derivatives consist primarily of foreign currency forward 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 as a result of credit risk was equal to the carrying value of the Company's derivative assets as of January 1, 2022 and April 3, 2021. 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 to mitigate credit risk in derivative transactions, when possible. 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 January 1, 2022, the Company had International Swaps and Derivatives Association ("ISDA") agreements with five applicable banks and financial institutions which contained netting provisions. The Company has elected to present the fair value of derivative assets and liabilities within the Company's condensed consolidated balance sheets on a gross basis even when derivative transactions are subject to master netting arrangements and may otherwise qualify for net presentation. Derivatives not subject to master netting agreements are not eligible for net presentation. As of January 1, 2022 and April 3, 2021, no cash collateral had been received or pledged related to these derivative instruments.


	Gross Amount of Derivative Assets Presented in the Condensed Consolidated Balance Sheets		Gross Amounts Not Offset in the Condensed 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	$	10,572	$	(4,915)	$	—	$	5,657
Derivatives not subject to master netting agreements	—						—
Total	$	10,572					$	5,657


	Gross Amount of Derivative Liabilities Presented in the Condensed Consolidated Balance Sheets		Gross Amounts Not Offset in the Condensed 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	$	(4,915)	$	4,915	$	—	$	—
Derivatives not subject to master netting agreements	—						—
Total	$	(4,915)					$	—


	Gross Amount of Derivative Assets Presented in the Condensed Consolidated Balance Sheets		Gross Amounts Not Offset in the Condensed 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 Condensed 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)


(in thousands)	January 1, 2022		April 3, 2021
Derivative assets(1)
Non-designated hedges	$	317	$	2,864
Cash flow hedges	2,803		2,242
Interest rate swaps	7,452		—
Total derivative assets	$	10,572	$	5,106

Derivative liabilities(2)
Non-designated hedges	$	1,134	$	18
Cash flow hedges	477		1,819
Interest rate swaps	3,304		9,863
Accrued interest	22		102
Total derivative liabilities	$	4,937	$	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 January 1, 2022, the portion of derivative assets classified as long-term was $6.9 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 January 1, 2022, 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.

As of January 1, 2022, the Company had foreign currency forward contracts denominated in Euro ("EUR") and Great Britain 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, accounts receivables, and accounts payables. The following table summarizes the notional value of the Company’s outstanding foreign exchange currency contracts and approximate USD equivalent at January 1, 2022:

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 six to twelve-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 Company hedges a portion of the forecasted Mexican Peso (“MXN”) denominated expenditures with a cross-currency swap. As of January 1, 2022, and April 3, 2021, the Company had foreign currency swap contracts of approximately MXN 415.9 million and MXN 564.3 million, respectively.

On June 15, 2021, the Company entered into a three-year amortizing interest rate swap agreement with Bank of America, N.A. The swap has an initial notional amount of $680 million and matures on July 31, 2024. The swap involves the receipt of floating-rate interest payments for fixed interest rate payments at a rate of 0.39% over the life of the agreement. Additionally, on July 30, 2018, the Company entered into a four-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 the interest rate swaps as cash flow hedges. The purpose of the interest rate swaps is to hedge against changes in cash flows (interest payments) attributable to fluctuations in the Company's variable rate debt. The swaps are 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 interest rate swaps. Changes in the fair value of the interest rate swaps are recorded to other comprehensive income and are reclassified to interest expense over the life of the underlying debt as interest is accrued. During the nine months ended January 1, 2022, the Company reclassified into interest expense $7.6 million and had a $4.1 million unrealized gain on its interest rate swaps derivatives designated as cash flow hedges.

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 nine months ended January 1, 2022 and December 26, 2020:


	Three Months Ended				Nine Months Ended
(in thousands)	January 1, 2022		December 26, 2020		January 1, 2022		December 26, 2020
Loss included in accumulated other comprehensive income (loss), as of beginning of period	$	(3,252)	$	(16,747)	$	(10,062)	$	(20,156)

Gain (loss) recognized in other comprehensive income (loss)	7,846		(3,754)		8,520		(8,339)

Amount of (gain) loss reclassified from accumulated other comprehensive income (loss) into net revenues	(1,804)		1,054		(671)		1,797
Amount of gain reclassified from accumulated other comprehensive income (loss) into cost of revenues	(10)		—		(489)		—
Amount of loss reclassified from accumulated other comprehensive income (loss) into interest expense	2,100		3,039		7,582		10,290
Total amount of loss reclassified from accumulated other comprehensive income to the condensed consolidated statements of operations	286		4,093		6,422		12,087



Gain (loss) included in accumulated other comprehensive income (loss), as of end of period	$	4,880	$	(16,408)	$	4,880	$	(16,408)