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DERIVATIVES | 9 Months Ended
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May 02, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
DERIVATIVES | 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 May 2, 2020. 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 May 2, 2020, which are all pay fixed and receive floating, are as follows:
Effective Date |  | Swap Maturity |  | Outstanding Notional Value (in millions) |  | Pay Fixed Rate |  | Receive Floating Rate(7) |  | Floating Rate Reset Terms
March 21, 2019 |  | May 15, 2020 |  | $ | 100.0 |  |  | 2.4490 | % |  | One-Month LIBOR |  | Monthly
October 26, 2018 |  | October 31, 2020 |  | 100.0 |  |  | 2.8240 | % |  | One-Month LIBOR |  | Monthly
June 9, 2016 |  | April 29, 2021 |  | 25.0 |  |  | 1.0650 | % |  | One-Month LIBOR |  | Monthly
June 24, 2016 |  | April 29, 2021 |  | 25.0 |  |  | 0.9260 | % |  | One-Month LIBOR |  | Monthly
January 23, 2019 |  | April 29, 2021 |  | 50.0 |  |  | 2.5500 | % |  | One-Month LIBOR |  | Monthly
April 2, 2019 |  | June 30, 2021 |  | 100.0 |  |  | 2.2520 | % |  | One-Month LIBOR |  | Monthly
June 10, 2019 |  | June 30, 2021 |  | 50.0 |  |  | 2.2290 | % |  | One-Month LIBOR |  | Monthly
November 30, 2018 |  | October 29, 2021 |  | 100.0 |  |  | 2.8084 | % |  | One-Month LIBOR |  | Monthly
March 21, 2019 |  | April 15, 2022 |  | 100.0 |  |  | 2.3645 | % |  | One-Month LIBOR |  | Monthly
April 2, 2019 |  | June 30, 2022 |  | 100.0 |  |  | 2.2170 | % |  | One-Month LIBOR |  | Monthly
June 28, 2019 |  | June 30, 2022 |  | 50.0 |  |  | 2.1840 | % |  | One-Month LIBOR |  | Monthly
August 3, 2015(1) |  | August 15, 2022 |  | 55.5 |  |  | 1.7950 | % |  | One-Month LIBOR |  | Monthly
August 3, 2015(2) |  | August 15, 2022 |  | 37.0 |  |  | 1.7950 | % |  | One-Month LIBOR |  | Monthly
October 26, 2018 |  | October 31, 2022 |  | 100.0 |  |  | 2.8915 | % |  | One-Month LIBOR |  | Monthly
January 11, 2019 |  | October 31, 2022 |  | 50.0 |  |  | 2.4678 | % |  | One-Month LIBOR |  | Monthly
January 23, 2019 |  | October 31, 2022 |  | 50.0 |  |  | 2.5255 | % |  | One-Month LIBOR |  | Monthly
October 30, 2020(3) |  | October 31, 2022 |  | — |  |  | 0.4540 | % |  | One-Month LIBOR |  | Monthly
November 16, 2018 |  | March 31, 2023 |  | 150.0 |  |  | 2.8950 | % |  | One-Month LIBOR |  | Monthly
January 23, 2019 |  | March 31, 2023 |  | 50.0 |  |  | 2.5292 | % |  | One-Month LIBOR |  | Monthly
April 29, 2021(4) |  | April 28, 2023 |  | — |  |  | 0.5680 | % |  | One-Month LIBOR |  | Monthly
June 30, 2021(5) |  | June 30, 3023 |  | — |  |  | 0.6070 | % |  | One-Month LIBOR |  | Monthly
November 30, 2018 |  | September 30, 2023 |  | 50.0 |  |  | 2.8315 | % |  | One-Month LIBOR |  | Monthly
October 29, 2021(6) |  | October 20, 2023 |  | — |  |  | 0.6810 | % |  | One-Month LIBOR |  | Monthly
October 26, 2018 |  | October 31, 2023 |  | 100.0 |  |  | 2.9210 | % |  | One-Month LIBOR |  | Monthly
January 11, 2019 |  | March 28, 2024 |  | 100.0 |  |  | 2.4770 | % |  | One-Month LIBOR |  | Monthly
January 23, 2019 |  | March 28, 2024 |  | 100.0 |  |  | 2.5420 | % |  | One-Month LIBOR |  | Monthly
November 30, 2018 |  | October 31, 2024 |  | 100.0 |  |  | 2.8480 | % |  | One-Month LIBOR |  | Monthly
January 11, 2019 |  | October 31, 2024 |  | 100.0 |  |  | 2.5010 | % |  | One-Month LIBOR |  | Monthly
January 24, 2019 |  | October 31, 2024 |  | 50.0 |  |  | 2.5210 | % |  | One-Month LIBOR |  | Monthly
October 26, 2018 |  | October 22, 2025 |  | 50.0 |  |  | 2.9550 | % |  | One-Month LIBOR |  | Monthly
November 16, 2018 |  | October 22, 2025 |  | 50.0 |  |  | 2.9590 | % |  | One-Month LIBOR |  | Monthly
November 16, 2018 |  | October 22, 2025 |  | 50.0 |  |  | 2.9580 | % |  | One-Month LIBOR |  | Monthly
January 24, 2019 |  | October 22, 2025 |  | 50.0 |  |  | 2.5558 | % |  | One-Month LIBOR |  | Monthly
|  |  |  | $ | 2,092.5 |  |  |  |  |  |  |
(1) | On March 31, 2015, the Company amended the original contract to reduce the beginning notional principal amount from $140.0 million to $84.0 million. The swap contract has an amortizing notional principal amount which is reduced by $1.5 million on a quarterly basis.
(2) | The swap contract has an amortizing notional principal amount which is reduced by $1.0 million on a quarterly basis.
(3) | This forward starting swap contract has a notional principal amount of $100.0 million.
(4) | This forward starting swap contract has a notional principal amount of $100.0 million.
(5) | This forward starting swap contract has a notional principal amount of $150.0 million.
(6) | This forward starting swap contract has a notional principal amount of $100.0 million.
(7) | For these swap contracts that are indexed to LIBOR, the Company is monitoring and evaluating risks related to the expected future cessation of LIBOR.
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 |  | 39-Week Period Ended
|  | May 2, 2020 |  | April 27, 2019 |  | May 2, 2020 |  | April 27, 2019
(In thousands) |  | Interest Expense, net |  | 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 |  | $ | 47,108 |  |  | $ | 54,917 |  |  | $ | 145,247 |  |  | $ | 121,149 |
(Loss) or gain on cash flow hedging relationships: |  |  |  |  |  |  |  |
(Loss) or gain reclassified from comprehensive income into income |  | $ | (6,191 | ) |  | $ | 15 |  |  | $ | (12,812 | ) |  | $ | 458 |
Gain or (loss) on interest rate swap contracts not designated as hedging instruments: |  |  |  |  |  |  |  |
Gain or (loss) recognized as interest expense |  | $ | — |  |  | $ | 51 |  |  | $ | — |  |  | $ | (15 | )

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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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