Derivative Financial Instruments

3 Months Ended

May 01, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Our derivative instruments consist of interest rate swaps used to mitigate interest rate risk. As a result, we have counterparty credit exposure to large global financial institutions, which we monitor on an ongoing basis. Note 5 to the Consolidated Financial Statements provides the fair value and classification of these instruments.

As of May 1, 2021, January 30, 2021, and May 2, 2020, we were party to interest rate swaps with notional amounts totaling $1.5 billion. We pay a floating rate and receive a fixed rate under each of these agreements. All of the agreements are designated as fair value hedges, and all were considered to be perfectly effective under the shortcut method during the three months ended May 1, 2021, and May 2, 2020.

As of May 1, 2021, January 30, 2021, and May 2, 2020, we were party to forward-starting interest rate swaps with notional amounts totaling $250 million. We use these derivative financial instruments, which have been designated as cash flow hedges, to hedge the interest rate exposure of anticipated future debt issuances. As of May 1, 2021, Accumulated Other Comprehensive Loss (AOCI) included $17 million that will be reclassified and reduce Net Interest Expense when the forecasted transaction affects earnings.


Effect of Hedges on Debt (millions)	May 1, 2021		January 30, 2021		May 2, 2020



Long-term debt and other borrowings
Carrying amount of hedged debt	$	1,627	$	1,677	$	1,721
Cumulative hedging adjustments, included in carrying amount	132		183		228


Effect of Hedges on Net Interest Expense	Three Months Ended
(millions)	May 1, 2021		May 2, 2020


Gain (loss) on fair value hedges recognized in Net Interest Expense
Interest rate swap designated as fair value hedges	$	(51)	$	91
Hedged debt	51		(91)
Total	$	—	$	—