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Derivative Instruments | 6 Months Ended
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Aug. 01, 2020
Derivative Instruments [Abstract] |
Derivative Instruments | 6. Derivative Instruments We manage our economic and transaction exposure to certain risks by using foreign exchange forward contracts to hedge against the effect of Canadian dollar exchange rate fluctuations on a portion of our net investment in our Canadian operations. We also use interest rate swaps to mitigate the effect of interest rate fluctuations on our $650 million principal amount of notes due March 15, 2021 (“2021 Notes”), and our $500 million principal amount of notes due October 1, 2028. In addition, we use foreign currency forward contracts not designated as hedging instruments to manage the impact of fluctuations in foreign currency exchange rates relative to recognized receivable and payable balances denominated in non-functional currencies. During the second quarter of fiscal 2021, we entered into Treasury Rate Lock ("T-Lock") contracts with an aggregate notional amount of $325 million to hedge the base interest rate variability on a portion of a potential refinancing of our maturing 2021 Notes. The T-Lock contracts are designated as cash flow hedges of interest rate risk. The fair value of the T-Lock contracts is recognized as an asset or liability with an offsetting position in Accumulated other comprehensive income (“AOCI”) on our Condensed Consolidated Balance Sheets. The T-Lock contracts would be cash settled to the extent new debt is issued at which time a pro-rata amount from AOCI will be released and recorded in Interest expense on our Condensed Consolidated Statements of Earnings as interest is accrued. Our derivative instruments designated as net investment hedges, interest rate swaps and cash flow hedges are recorded on our Condensed Consolidated Balance Sheets at fair value. See Note 2, Fair Value Measurements, for gross fair values of our outstanding derivative instruments and corresponding fair value classifications. Notional amounts of our derivative instruments were as follows ($ in millions):
Contract Type |  |  | August 1, 2020 |  | February 1, 2020 |  | August 3, 2019
Derivatives designated as net investment hedges |  |  | $ | 68 |  |  | $ | 129 |  |  | $ | 23 |
Derivatives designated as interest rate swaps |  |  |  | 1,150 |  |  |  | 1,150 |  |  |  | 1,150 |
Derivatives designated as cash flow hedges |  |  |  | 325 |  |  |  | - |  |  |  | - |
No hedge designation (foreign exchange contracts) |  |  |  | 37 |  |  |  | 31 |  |  |  | 33 |
Total |  |  | $ | 1,580 |  |  | $ | 1,310 |  |  | $ | 1,206 |
Effects of our derivatives on our Condensed Consolidated Statements of Earnings were as follows ($ in millions):
|  |  |  |  | Gain (Loss) Recognized
| Statement of | Three Months Ended |  | Six Months Ended
| Earnings Location | August 1, 2020 |  | August 3, 2019 |  | August 1, 2020 |  | August 3, 2019
Interest rate swap contracts | Interest expense | $ | 15 |  |  | $ | 55 |  |  | $ | 44 |  |  | $ | 53 |
Adjustments to carrying value of long-term debt | Interest expense |  | (15) |  |  |  | (55) |  |  |  | (44) |  |  |  | (53) |
Total |  |  |  |  | $ | - |  |  | $ | - |  |  | $ | - |  |  | $ | - |

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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 + Details
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