DERIVATIVES DERIVATIVES

3 Months Ended

Nov. 02, 2019

Derivative Instruments and Hedging Activities Disclosure [Abstract]

NOTE 8—DERIVATIVES

Management of Interest Rate Risk

The Company enters into interest rate swap contracts from time to time to mitigate its exposure to changes in market interest rates as part of its overall strategy to manage its debt portfolio to achieve an overall desired position of notional debt amounts subject to fixed and floating interest rates. Interest rate swap contracts are entered into for periods consistent with related underlying exposures and do not constitute positions independent of those exposures. The Company’s interest rate swap contracts are designated as cash flow hedges at November 2, 2019. Interest rate swap contracts are reflected at their fair values in the Condensed Consolidated Balance Sheets. Refer to Note 7—Fair Value Measurements of Financial Instruments for further information on the fair value of interest rate swap contracts.

Details of outstanding swap contracts as of November 2, 2019, which are all pay fixed and receive floating, are as follows:



Swap Maturity	Notional Value (in millions)		Pay Fixed Rate		Receive Floating Rate	Floating Rate Reset Terms
April 29, 2021⁽¹⁾	$	25.0	1.0650	%	One-Month LIBOR	Monthly
April 29, 2021⁽²⁾	25.0		0.9260	%	One-Month LIBOR	Monthly
August 15, 2022⁽³⁾	58.5		1.7950	%	One-Month LIBOR	Monthly
August 15, 2022⁽⁴⁾	39.0		1.7950	%	One-Month LIBOR	Monthly
October 31, 2020⁽⁵⁾	100.0		2.8240	%	One-Month LIBOR	Monthly
October 31, 2022⁽⁵⁾	100.0		2.8915	%	One-Month LIBOR	Monthly
October 31, 2023⁽⁵⁾	100.0		2.9210	%	One-Month LIBOR	Monthly
October 22, 2025⁽⁵⁾	50.0		2.9550	%	One-Month LIBOR	Monthly
March 31, 2023⁽⁶⁾	150.0		2.8950	%	One-Month LIBOR	Monthly
October 22, 2025⁽⁶⁾	50.0		2.9580	%	One-Month LIBOR	Monthly
October 22, 2025⁽⁶⁾	50.0		2.9590	%	One-Month LIBOR	Monthly
October 29, 2021⁽⁷⁾	100.0		2.8084	%	One-Month LIBOR	Monthly
September 30, 2023⁽⁷⁾	50.0		2.8315	%	One-Month LIBOR	Monthly
October 31, 2024⁽⁷⁾	100.0		2.8480	%	One-Month LIBOR	Monthly
October 31, 2022⁽⁸⁾	50.0		2.4678	%	One-Month LIBOR	Monthly
March 28, 2024⁽⁸⁾	100.0		2.4770	%	One-Month LIBOR	Monthly
October 31, 2024⁽⁸⁾	100.0		2.5010	%	One-Month LIBOR	Monthly
April 29, 2021⁽⁹⁾	50.0		2.5500	%	One-Month LIBOR	Monthly
October 31, 2022⁽⁹⁾	50.0		2.5255	%	One-Month LIBOR	Monthly
March 31, 2023⁽⁹⁾	50.0		2.5292	%	One-Month LIBOR	Monthly
March 28, 2024⁽⁹⁾	100.0		2.5420	%	One-Month LIBOR	Monthly
October 31, 2024⁽¹⁰⁾	50.0		2.5210	%	One-Month LIBOR	Monthly
October 22, 2025⁽¹⁰⁾	50.0		2.5558	%	One-Month LIBOR	Monthly
April 15, 2022⁽¹¹⁾	100.0		2.3645	%	One-Month LIBOR	Monthly
December 13, 2019⁽¹²⁾	100.0		2.4925	%	One-Month LIBOR	Monthly
May 15, 2020⁽¹²⁾	100.0		2.4490	%	One-Month LIBOR	Monthly
June 30, 2021⁽¹³⁾	100.0		2.2520	%	One-Month LIBOR	Monthly
June 30, 2022⁽¹³⁾	100.0		2.2170	%	One-Month LIBOR	Monthly
June 30, 2021⁽¹⁴⁾	50.0		2.2290	%	One-Month LIBOR	Monthly
June 30, 2022⁽¹⁵⁾	50.0		2.1840	%	One-Month LIBOR	Monthly
	$	2,197.5


(1)	This swap was executed on June 7, 2016 with an effective date of June 9, 2016.


(2)	This swap was executed on June 24, 2016 with an effective date of June 24, 2016.


(3)	This swap contract was executed on January 23, 2015 with an effective date of August 3, 2015. On March 31, 2015, the Company amended the original contract to reduce the beginning notional principal amount from $140 million to $84 million. The swap contract has an amortizing notional principal amount which is reduced by $1.5 million on a quarterly basis.


(4)	This swap was executed on March 31, 2015 with an effective date of August 3, 2015. The swap contract has an amortizing notional principal amount which is reduced by $1.0 million on a quarterly basis.


(5)	This swap contract was executed on October 26, 2018 with an effective date of October 26, 2018.


(6)	This swap contract was executed on November 16, 2018 with an effective date of November 16, 2018.


(7)	This swap contract was executed on November 30, 2018 with an effective date of November 30, 2018.


(8)	This swap contract was executed on January 11, 2019 with an effective date of January 11, 2019.


(9)	This swap contract was executed on January 23, 2019 with an effective date of January 23, 2019.


(10)	This swap contract was executed on January 24, 2019 with an effective date of January 24, 2019.


(11)	This swap contract was executed on March 18, 2019 with an effective date of March 21, 2019.


(12)	This swap contract was executed on March 21, 2019 with an effective date of March 21, 2019.


(13)	This swap contract was executed on April 2, 2019 with an effective date of April 2, 2019.


(14)	This swap contract was executed on April 2, 2019 with an effective date of June 10, 2019.


(15)	This swap contract was executed on April 2, 2019 with an effective date of June 28, 2019.

The Company performs an initial quantitative assessment of hedge effectiveness using the “Hypothetical Derivative Method” in the period in which the hedging transaction is entered. Under this method, the Company assesses the effectiveness of each hedging relationship by comparing the changes in cash flows of the derivative hedging instrument with the changes in cash flows of the designated hedged transactions. In future reporting periods, the Company performs a qualitative analysis for quarterly prospective and retrospective assessments of hedge effectiveness. The Company also monitors the risk of counterparty default on an ongoing basis and noted that the counterparties are reputable financial institutions. The entire change in the fair value of the derivative is initially reported in Other comprehensive income (outside of earnings) in the Condensed Consolidated Statements of Comprehensive Loss and subsequently reclassified to earnings in Interest expense, net in the Condensed Consolidated Statements of Operations when the hedged transactions affect earnings.

The location and amount of gains or losses recognized in the Condensed Consolidated Statements of Operations for interest rate swap contracts for each of the periods, presented on a pretax basis, are as follows:



	13-Week Period Ended
	November 2, 2019			October 27, 2018
(In thousands)	Interest Expense, net
Total amounts of expense line items presented in the Condensed Consolidated Statements of Operations in which the effects of cash flow hedges are recorded	$	49,518		$	7,525
Gain or (loss) on cash flow hedging relationships:
Gain or (loss) reclassified from comprehensive income into income	$	(2,370	)	$	551
Gain or (loss) on interest rate swap contracts not designated as hedging instruments:
Gain or (loss) recognized as interest expense	$	—		$	(88	)