Derivative Financial Instruments

6 Months Ended

Jul. 31, 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 July 31, 2021, January 30, 2021, and August 1, 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 and six months ended July 31, 2021, and August 1, 2020.

As of July 31, 2021, January 30, 2021, and August 1, 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 July 31, 2021, Accumulated Other Comprehensive Loss (AOCI) included $6 million that will be reclassified and reduce Net Interest Expense when the forecasted transaction affects earnings.

During August 2021, we entered into additional forward-starting interest rate swaps with notional amounts totaling $675 million.


Effect of Hedges on Debt (millions)	July 31, 2021		January 30, 2021		August 1, 2020



Long-term debt and other borrowings
Carrying amount of hedged debt	$	1,649	$	1,677	$	1,732
Cumulative hedging adjustments, included in carrying amount	154		183		239


Effect of Hedges on Net Interest Expense	Three Months Ended				Six Months Ended
(millions)	July 31, 2021		August 1, 2020		July 31, 2021		August 1, 2020


Gain (loss) on fair value hedges recognized in Net Interest Expense
Interest rate swap designated as fair value hedges	$	22	$	11	$	(29)	$	102
Hedged debt	(22)		(11)		29		(102)
Total	$	—	$	—	$	—	$	—