The Company is exposed to certain market risks during the normal course of its business arising from adverse changes in interest rates. The Company’s exposure to interest rate risk results primarily from its variable-rate borrowings. The Company may selectively use derivative financial instruments to manage the risks from fluctuations in interest rates. The Company does not purchase or hold derivatives for trading or speculative purposes. Fluctuations in interest rates can be volatile, and the Company’s risk management activities do not totally eliminate these risks. Consequently, these fluctuations could have a significant effect on the Company’s financial results.

In July 2018, the Company purchased, for $2.2 million, a forward starting interest rate cap based on 3-month LIBOR effective October 23, 2018 through October 23, 2021. The objective of the hedging instrument is to offset the variability of cash flows in term loan debt interest payments attributable to fluctuations in LIBOR beyond 3.5 percent.

The interest rate cap had an amortized notional amount of $662.2 million and $684.4 million as of July 31, 2021 and August 1, 2020, respectively. The fair value of the Company’s outstanding derivative was zero as of each of July 31, 2021 and August 1, 2020.

As a result of the refinance of the Term Loan due 2023, the Company’s interest rate cap was no longer highly effective beginning on July 7, 2021. Accordingly, the Company de-designated the cash flow hedge. There were no net unrealized gains and losses for the period in which this cash flow hedge was no longer highly effective. Additionally, there were no net unrealized gains or losses previously recognized as a component of Accumulated Other Comprehensive Loss prior to de-designation. The time value of the interest rate cap is excluded from the assessment of effectiveness and is being amortized to interest expense over the life of the hedge. The impacts of the Company’s derivative instrument on the accompanying Consolidated Statements of Comprehensive Income (Loss) for the thirteen and twenty-six weeks ended July 31, 2021 and August 1, 2020 are presented in the table below:

	Thirteen Weeks Ended				Twenty-Six Weeks Ended
	July 31, 2021		August 1, 2020		July 31, 2021		August 1, 2020
	(Dollars in millions)
Gain recognized in Other Comprehensive Income on derivatives, gross of income taxes	$	—	$	0.2	$	—	$	0.4
Amount reclassified from Accumulated Other Comprehensive Loss into earnings		—		—		—		—
Amortization of excluded component to interest expense		0.2		0.2		0.4		0.4