Derivative Instruments Designated as Cash Flow Hedges

12 Months Ended

Jan. 29, 2016

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Derivative Instruments Designated as Cash Flow Hedges

Note 11—Derivative Instruments Designated as Cash Flow Hedges:

The Company’s derivative instruments designated as cash flow hedges consist of:

								Liability Fair Value (1) at
	Notional Amount at January 29, 2016		Pay Fixed Rate			Receive Variable Rate	Settlement and Termination	January 29, 2016		January 30, 2015
	(in millions)							(in millions)
Term loan A interest rate swaps	$	456		1.41	%	1-month LIBOR	Monthly through September 26, 2018	$	7	$	8
Term loan B interest rate swaps		350		1.88	%	3-month LIBOR (2)	Quarterly through May 7, 2020		8		-
Total	$	806						$	15	$	8

(1)The fair value of the fixed interest rate swaps liability is included in accounts payable and accrued liabilities on the consolidated balance sheets.

(2)Subject to a 0.75% floor.

The Company is party to fixed interest rate swap instruments that are designated and accounted for as cash flow hedges to manage risks associated with interest rate fluctuations on a portion of the Company’s floating rate debt. In September 2013, the Company entered into fixed interest rate swaps that aggregate to the same notional amount and tenor as the Initial Term Loan A Facility to hedge the variability in interest payment cash flows. The Company did not hedge the Incremental Term Loan A draw of $100 million. Effective on May 7, 2015, the Company entered into fixed interest rate swaps to hedge the variability in interest payments on the first $350 million of Term Loan B Facility over five years and will account for this as a cash flow hedge. The counterparties to all swap agreements are financial institutions. See Note 12 for the effective portion of the unrealized change in fair values on cash flow hedges recognized in other comprehensive loss and the amounts reclassified from accumulated other comprehensive loss into earnings for the current and comparative periods presented. There was no ineffectiveness during any of the periods presented. The Company estimates that it will reclassify $8 million of unrealized losses from accumulated other comprehensive loss into earnings in the twelve months following January 29, 2016.