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Derivative Instruments and Hedging Activities | 9 Months Ended
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Oct. 30, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities | 5. Derivative Instruments and Hedging Activities The Company accounts for derivatives and hedging activities in accordance with ASC 815, “Derivatives and Hedging” (ASC 815). As required by ASC 815, the Company records all derivatives on the balance sheet at fair value and adjusts to market on a quarterly basis. In addition, to comply with the provisions of ASC 820, “Fair Value Measurements” (ASC 820), credit valuation adjustments, which consider the impact of any credit enhancements to the contracts, are incorporated in the fair values to account for potential nonperformance risk. In adjusting the fair value of its derivative contracts for the effect of nonperformance risk, the Company has considered any applicable credit enhancements such as collateral postings, thresholds, mutual puts, and guarantees. In accordance with ASC 820, the Company made an accounting policy election to measure the credit risk of its derivative financial instruments that are subject to master netting agreements on a net basis by counterparty portfolio. There is no impact of netting, because the Company has only one derivative. The Company classifies its derivative valuations in Level 2 of the fair value hierarchy. On December 17, 2018, the Company entered into an interest rate swap, which hedged $450 million of the variable rate exposure under the Term Loan Facility at a rate of 2.72%. On June 24, 2021, the Company terminated this previous interest rate swap, and entered into a new interest rate swap, which hedges $450 million of the variable rate exposure on the Term Loan Facility at a blended rate of 2.19%, and is designated as a cash flow hedge. The amount of loss deferred for the previous interest rate swap was $26.9 million. The Company is amortizing this amount from accumulated other comprehensive loss into interest expense over the original life of the previous interest rate swap, which had an original maturity date of December 29, 2023. The new interest rate swap had a liability fair value at inception of $26.9 million. The Company will accrete this amount into accumulated other comprehensive loss as a benefit to interest expense over the life of the new interest rate swap, which has a maturity date of June 24, 2028. Cash Flow Hedges of Interest Rate Risk The Company’s objectives in using interest rate derivatives are to add stability to interest expense and to manage its exposure to interest rate movements. To accomplish these objectives, the Company primarily uses interest rate swaps as part of its interest rate risk management strategy. Interest rate swaps designated as cash flow hedges involve the receipt of variable-rate amounts from a counterparty in exchange for the Company making fixed-rate payments over the life of the agreements without exchange of the underlying notional amount. As of October 30, 2021, the Company had the following outstanding interest rate derivative that was designated as a cash flow hedge of interest rate risk:
Interest Rate Derivative |  | Number of Instruments |  | Notional Aggregate Principal Amount |  | Interest Swap Rate |  | Maturity Date
Interest rate swap contract |  | One |  | $ 450.0 million |  | 2.19% |  | June 24, 2028
Tabular Disclosure The table below presents the fair value of the Company’s derivative financial instruments on a gross basis as well as their classification on the Company’s Condensed Consolidated Balance Sheets:
|  | (in thousands) |
|  | Fair Values of Derivative Instruments |
|  | October 30, 2021 |  |  | January 30, 2021 |  |  | October 31, 2020 |
Derivatives Designated as Hedging Instruments |  | Balance Sheet Location |  | Fair Value |  |  | Balance Sheet Location |  | Fair Value |  |  | Balance Sheet Location |  | Fair Value |
Interest rate swap contracts |  | Other liabilities |  | $ | 20,439 |  |  | Other liabilities |  | $ | 31,665 |  |  | Other liabilities |  | $ | 34,076 |
The following table presents the unrealized gains and losses deferred to accumulated other comprehensive loss resulting from the Company’s derivative financial instruments for each of the reporting periods.
|  | (in thousands) |
|  | Three Months Ended |  |  | Nine Months Ended |
Interest Rate Derivatives: |  | October 30, 2021 |  |  | October 31, 2020 |  |  | October 30, 2021 |  |  | October 31, 2020 |
Unrealized gains (losses), before taxes |  | $ | 8,936 |  |  | $ | 804 |  |  | $ | 3,096 |  |  | $ | (15,090 | )
Income tax (expense) benefit |  |  | (2,427 | ) |  |  | (221 | ) |  |  | (845 | ) |  |  | 4,082 |
Unrealized gains (losses), net of taxes |  | $ | 6,509 |  |  | $ | 583 |  |  | $ | 2,251 |  |  | $ | (11,008 | )
The following table presents information about the reclassification of gains and losses from accumulated other comprehensive loss into earnings related to the Company’s derivative instruments for each of the reporting periods.
|  | (in thousands) |
|  | Three Months Ended |  |  | Nine Months Ended |
Component of Earnings: |  | October 30, 2021 |  |  | October 31, 2020 |  |  | October 30, 2021 |  |  | October 31, 2020 |
Interest expense |  | $ | 4,096 |  |  | $ | 2,919 |  |  | $ | 10,519 |  |  | $ | 7,271 |
Income tax benefit |  |  | (1,112 | ) |  |  | (800 | ) |  |  | (2,857 | ) |  |  | (1,995 | )
Net reclassification into earnings |  | $ | 2,984 |  |  | $ | 2,119 |  |  | $ | 7,662 |  |  | $ | 5,276 |
The Company estimates that approximately $6.7 million will be reclassified from accumulated other comprehensive loss into interest expense during the next twelve months.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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