Derivative Financial Instruments
Our derivative instruments primarily consist of interest rate swaps, which are used to mitigate our interest rate risk. We have counterparty credit risk resulting from our derivative instruments, primarily with large global financial institutions. We monitor this concentration of counterparty credit risk on an ongoing basis. See Note 8 for a description of the fair value measurement of our derivative instruments and their classification on the Consolidated Statements of Financial Position.
As of February 1, 2014 and February 2, 2013, one swap was designated as a fair value hedge for accounting purposes, and no ineffectiveness was recognized in 2013 or 2012.
|
| | | | | | | | | | | |
Outstanding Interest Rate Swap Summary | February 1, 2014 |
| Designated |
| | De-Designated |
(dollars in millions) | Pay Floating |
| | Pay Floating |
| | Pay Fixed |
|
Weighted average rate: | | | | | |
Pay | three-month LIBOR |
| | one-month LIBOR |
| | 3.8 | % |
Receive | 1.0 | % | | 5.7 | % | | one-month LIBOR |
|
Weighted average maturity | 0.5 years |
| | 2.5 years |
| | 2.5 years |
|
Notional | $ | 350 |
| | $ | 500 |
| | $ | 500 |
|
|
| | | | | | | | | | | | | | | |
Classification and Fair Value (millions) | Assets | | Liabilities |
Classification | Feb 1,
2014 |
| Feb 2, 2013 |
| | Classification | Feb 1,
2014 |
| Feb 2, 2013 |
|
Designated: | Other current assets | $ | 1 |
| $ | — |
| | N/A | $ | — |
| $ | — |
|
| Other noncurrent assets | — |
| 3 |
| | N/A | — |
| — |
|
De-designated: | Other current assets | — |
| 4 |
| | Other current liabilities | — |
| 2 |
|
| Other noncurrent assets | 62 |
| 82 |
| | Other noncurrent liabilities | 39 |
| 54 |
|
Total | | $ | 63 |
| $ | 89 |
| | | $ | 39 |
| $ | 56 |
|
Periodic payments, valuation adjustments and amortization of gains or losses on our derivative contracts had the following impact on our Consolidated Statements of Operations:
|
| | | | | | | | | | |
Derivative Contracts – Effect on Results of Operations (millions) |
Type of Contract | Classification of Income/(Expense) | 2013 |
| 2012 |
| 2011 |
|
Interest rate swaps | Net interest expense | $ | 29 |
| $ | 44 |
| $ | 41 |
|
The amount remaining on unamortized hedged debt valuation gains from terminated or de-designated interest rate swaps that will be amortized into earnings over the remaining lives of the underlying debt totaled $52 million, $75 million and $111 million, at the end of 2013, 2012 and 2011, respectively.
