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37
6DERIVATIVE INSTRUMENTSAND
HEDGING ACTIVITIES
Foreach of the Company’s interest rate swaps, the Company
hasagreed to exchange with a counterparty the dierence
betweenxedandvariableinterestamounts calculatedby
reference to an agreed-upon notional principal amount.
e interest rates on the portion of the Company’s outstand-
ing debt covered by its interest rate swapsarexed at the
rates in the table below plus the Company’s creditspread.
e Company’s credit spreads at July 31, 2015 and
August1, 2014 were 1.25% and 1.50%, respectively. All of
the Company’s interest rate swapsare accounted for as
cash ow hedges.
A summaryof the Company’s interest rate swapsat July 31,
2015 is as follows:
Term Notional Fixed
Trade Date Eective Date (in Years) AmountRate
July 25, 2011 May3, 2013 3$50,000 2.45%
December 7, 2011 May3, 2013 350,000 1.40%
March 18, 2013 May3, 2015 350,000 1.51%
April 8, 2013 May3, 2015 250,000 1.05%
April 15, 2013 May3, 2015 250,000 1.03%
April 22, 2013 May3, 2015 325,000 1.30%
April 25, 2013 May3, 2015 325,000 1.29%
June 18, 2014 May3, 2015 440,000 2.51%
June 24, 2014 May3, 2015 430,000 2.51%
July 1, 2014 May5, 2015 430,000 2.43%
January 30, 2015 May3, 2019 280,000 2.15%
January 30, 2015 May3, 2019 260,000 2.16%
January 30, 2015 May4, 2021 3120,000 2.41%
January 30, 2015 May3, 2019 260,000 2.15%
January 30, 2015 May4, 2021 380,000 2.40%
e notional amountfor the interestrate swap entered into
on June 18, 2014 increases by $40,000 each May over the
four-year term of the interest rate swap beginning in May
2016 until the notional amount reaches $160,000 in May
2018. e notional amounts for the interest rate swaps
entered into on June 24, 2014 and July 1, 2014 increase by
$30,000 each May over the four-year termsof the interest
rate swaps beginning in May 2016 untilthe notional amounts
each reach$120,000 in May 2018.
e estimated fair values of the Company’s derivative
instruments were as follows:
(See Note 3) Balance Sheet Location July 31, 2015 August 1, 2014
Interest rate swapsOther assets $3,759 $240
Interest rate swapsCurrent interest rate $1,117 $4,704
swap liability
Interest rate swapsLong-terminterest rate 8,704 3,239
swap liability
Total liabilities $9,821 $7,943
e following table summarizesthe oseing of the
Company’sderivative assets in the Consolidated Balance
Sheetsat July 31, 2015 and August 1, 2014:
NetAsset Amount
Gross Asset LiabilityPresentedin
Amounts Amount Oset the Balance Sheets
July 31, August 1, July 31, August 1, July 31, August 1,
(See Note 3) 2015 2014 2015 2014 2015 2014
Interest rate
swaps $3,878 $240 $(119) $—$3,759 $240
e following table summarizesthe oseing of the
Company’sderivative liabilities in the ConsolidatedBalance
Sheetsat July 31, 2015 and August 1, 2014:
NetLiability Amount
Gross Liability AssetPresentedin
Amounts Amount Oset the Balance Sheets
July 31, August 1, July 31, August 1, July 31, August 1,
(See Note 3) 2015 2014 2015 2014 2015 2014
Interest rate
swaps $9,821 $8,441 $—$(498) $9,821 $7,943
e estimated fair values of the Company’s interest
rate swap assets and liabilities incorporate the Company’s
non-performance risk.e adjustment related to the
Company’snon-performance riskat July 31, 2015 and
August 1, 2014 resulted in reductions of $209 and $62,
respectively, in the total fair value of the interest rate swap
asset and liabilities. e oset to the interest rate swap
asset and liabilities is recordedin accumulated other com-
prehensive loss (“AOCL”), net of the deferred taxassets,
andwill be reclassied into earningsover the term of the