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Derivative Instruments | 6 Months Ended
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Jul. 31, 2021
Derivative Instruments [Abstract] |
Derivative Instruments | 5. 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”), prior to their retirement in December 2020, and on our $500 million principal amount of notes due October 1, 2028 (“2028 Notes”). 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 to hedge the base interest rate variability on a portion of our then-expected refinancing of our maturing 2021 Notes. The T-Lock contracts were cash settled upon issuance of our $650 million principal amount of notes due October 1, 2030 (“2030 Notes”). The fair value of the T-Lock contracts upon settlement was released from Accumulated other comprehensive income on our Condensed Consolidated Balance Sheets and recorded in Interest expense on our Condensed Consolidated Statements of Earnings as interest is accrued over the life of the 2030 Notes. Our derivative instruments designated as net investment hedges and interest rate swaps are recorded on our Condensed Consolidated Balance Sheets at fair value. See Note 4, Fair Value Measurements, for gross fair values of our outstanding derivative instruments and corresponding fair value classifications. Notional amounts of our derivative instruments were as follows ($ in millions):
Contract Type |  |  | July 31, 2021 |  | January 30, 2021 |  | August 1, 2020
Derivatives designated as net investment hedges |  |  | $ | 109 |  |  | $ | 153 |  |  | $ | 68 |
Derivatives designated as interest rate swaps |  |  |  | 500 |  |  |  | 500 |  |  |  | 1,150 |
Derivatives designated as cash flow hedges |  |  |  | - |  |  |  | - |  |  |  | 325 |
No hedge designation (foreign exchange contracts) |  |  |  | 46 |  |  |  | 51 |  |  |  | 37 |
Total |  |  | $ | 655 |  |  | $ | 704 |  |  | $ | 1,580 |
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 | July 31, 2021 |  | August 1, 2020 |  | July 31, 2021 |  | August 1, 2020
Interest rate swap contracts | Interest expense | $ | 14 |  |  | $ | 15 |  |  | $ | (12) |  |  | $ | 44 |
Adjustments to carrying value of long-term debt | Interest expense |  | (14) |  |  |  | (15) |  |  |  | 12 |  |  |  | (44) |
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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