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DERIVATIVES
 6 Months Ended
Jan. 29, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
DERIVATIVES
NOTE 7—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 as of January 29, 2022. Interest rate swap contracts are reflected at their fair values in the Condensed Consolidated Balance Sheets. Refer to Note 6—Fair Value Measurements of Financial Instruments for further information on the fair value of interest rate swap contracts.
Details of active swap contracts as of January 29, 2022, which are all pay fixed and receive floating, are as follows:
Effective DateSwap MaturityNotional Value (in millions)Pay Fixed Rate
Receive Floating Rate(2)
Floating Rate Reset Terms
August 3, 2015(1)
August 15, 2022$31 1.7950 %One-Month LIBORMonthly
October 26, 2018October 31, 2022100 2.8915 %One-Month LIBORMonthly
January 11, 2019October 31, 202250 2.4678 %One-Month LIBORMonthly
January 23, 2019October 31, 202250 2.5255 %One-Month LIBORMonthly
November 16, 2018March 31, 2023150 2.8950 %One-Month LIBORMonthly
January 23, 2019March 31, 202350 2.5292 %One-Month LIBORMonthly
November 30, 2018September 30, 202350 2.8315 %One-Month LIBORMonthly
October 26, 2018October 31, 2023100 2.9210 %One-Month LIBORMonthly
January 11, 2019March 28, 2024100 2.4770 %One-Month LIBORMonthly
January 23, 2019March 28, 2024100 2.5420 %One-Month LIBORMonthly
November 30, 2018October 31, 2024100 2.8480 %One-Month LIBORMonthly
January 11, 2019October 31, 2024100 2.5010 %One-Month LIBORMonthly
January 24, 2019October 31, 202450 2.5210 %One-Month LIBORMonthly
October 26, 2018October 22, 202550 2.9550 %One-Month LIBORMonthly
November 16, 2018October 22, 202550 2.9590 %One-Month LIBORMonthly
November 16, 2018October 22, 202550 2.9580 %One-Month LIBORMonthly
January 24, 2019October 22, 202550 2.5558 %One-Month LIBORMonthly
$1,231 
(1)The swap contract has an amortizing notional principal amount which is reduced by $1 million on a quarterly basis.
(2)For these swap contracts that are indexed to LIBOR, the Company is monitoring and evaluating risks related to the expected future cessation of LIBOR.

In fiscal 2021 year-to-date, in conjunction with the $500 million fixed rate senior unsecured notes offering described below in Note 8—Long-Term Debt, the Company paid $11 million to terminate or novate certain outstanding interest rate swaps with a notional amount of $504 million and certain forward starting interest rate swaps with a notional amount of $450 million. The payments equaled the fair value of the interest rate swaps at the time of their termination or novation. No gain or loss was recorded as a result of the swap terminations and novations. Since the hedged interest payments remain probable of occurring, the unrecognized gains and losses that existed as of the early termination or novation of these interest rate swap agreements will be amortized out of Accumulated other comprehensive loss and into Interest expense, net over the remaining period of the original terminated or novated interest rate swap agreements. If any of the hedged interest payments were not probable of occurring, then a charge representing an accelerated amortization of the unrecognized gains and losses would be recorded. Cash payments resulting from the termination or novation of interest rate swaps are classified as operating activities in the Company’s Condensed Consolidated Statements of Cash Flows.

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 Income 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 Ended26-Week Period Ended
January 29, 2022January 30, 2021January 29, 2022January 30, 2021
(in millions)Interest expense, netInterest 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
$44 $51 $84 $120 
Loss on cash flow hedging relationships:
Loss reclassified from comprehensive income into earnings$(10)$(12)$(21)$(24)