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Derivative Financial Instruments and Risk Management | 3 Months Ended
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May 02, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Financial Instruments and Risk Management | Note 9 – Derivative Financial Instruments and Risk Management We entered into a cross-currency interest rate swap to manage the interest rate risk and foreign currency exchange risk associated with the floating-rate foreign currency-denominated term loan borrowing by our Danish Subsidiary and an interest rate swap to manage the interest rate risk associated with our variable rate term loan borrowing. Both swaps have been designated as cash flow hedges of floating-rate borrowings. Our cross-currency interest rate swap agreement effectively modifies our exposure to interest rate risk and foreign currency exchange rate risk by converting our floating-rate debt denominated in U.S. Dollars on our Danish subsidiary’s books to a fixed-rate debt denominated in Danish Kroner for the term of the loan, thus reducing the impact of interest-rate and foreign currency exchange rate changes on future interest expense and principal repayments. This swap involves the receipt of floating rate amounts in U.S. Dollars in exchange for fixed-rate interest payments in Danish Kroner, as well as exchanges of principal at the inception spot rate, over the life of the term loan. The interest rate swap agreement we utilize on our term loan effectively modifies our exposure to interest rate risk by converting our floating-rate debt to fixed-rate debt for the next five years, thus reducing the impact of interest-rate changes on future interest expense. This swap involves the receipt of floating rate amounts in U.S. Dollars in exchange for fixed rate payments in U.S. dollars over the life of the term loan. The following table summarizes the notional amount and fair value of our derivative instruments:
|  | May 2, 2020 |  |  | January 31, 2020 |
Cash Flow Hedges |  |  |  |  | Fair Value Derivatives |  |  |  |  |  | Fair Value Derivatives |
(In thousands) |  | Notional Amount |  |  | Asset |  |  | Liability |  |  | Notional Amount |  |  | Asset |  |  | Liability |
Cross-currency Interest Rate Swap |  | $ | 4,489 |  |  | $ | — |  |  | $ | 192 |  |  | $ | 4,489 |  |  | $ | — |  |  | $ | 250 |
Interest Rate Swap |  | $ | 8,250 |  |  | $ | — |  |  | $ | 202 |  |  | $ | 8,250 |  |  | $ | — |  |  | $ | 96 |
The fair value of both the Cross-currency Interest Rate Swap and the Interest Rate swap are included in other long-term liabilities on the condensed consolidated balance sheets for the periods ended May 2, 2020 and January 31, 2020. The following table presents the impact of our derivative instruments in our condensed consolidated financial statements for the three months ended May 2, 2020 and May 4, 2019:
|  | Amount of Gain (Loss) Recognized in OCI on Derivative |  |  | Location of Gain (Loss) Reclassified from Accumulated OCI into Income (Expense) |  |  | Amount of Gain (Loss) Reclassified from Accumulated OCI into Income (Expense) |
Cash Flow Hedge (In thousands) |  | May 2, 2020 |  |  | May 4, 2019 |  |  | May 2, 2020 |  |  | May 4, 2019 |
Swap Contracts |  | $ | (58 | ) |  | $ | 149 |  |  |  | Other Income (Expense | ) |  | $ | 43 |  |  | $ | 185 |
At May 2, 2020, we expect to reclassify approximately $30 thousand of net gains on the swap contracts from accumulated other comprehensive loss to earnings during the next 12 months due to changes in foreign exchange rates and the payment of variable interest associated with the floating-rate debt.

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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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