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A-51
NO T E S T O CO N S O L I D A T E D FI N A N C I A L ST A T E M E N T S , CO N T I N U E D
Annually, the Company reviews with the Financial Policy Committee of the Board of Directors
compliance with these guidelines. These guidelines may change as the Company’s needs dictate.
Fair Value Interest Rate Swaps
The table below summarizes the outstanding interest rate swaps designated as fair value hedges as of
January 29, 2011, and January 30, 2010.
2010 2009
Pay
Floating
Pay
Fixed
Pay
Floating
Pay
Fixed
Notional amount ....................................... $ 1,625 $— $ 1,625 $—
Number of contracts .................................... 18 — 18 —
Duration in years. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1.74 — 2.74 —
Average variable rate .................................... 3.83% — 3.80% —
Average fixed rate ...................................... 5.87% — 5.87% —
Maturity .............................................. Between
April 2012 and
April 2013
Between
April 2012 and
April 2013
The gain or loss on these derivative instruments as well as the offsetting gain or loss on the hedged
items attributable to the hedged risk are recognized in current income as “Interest expense.” These gains
and losses for 2010 and 2009 were as follows:
Year-To-Date
January 29, 2011 January 30, 2010
Income Statement Classification
Gain/(Loss) on
Swaps
Gain/(Loss) on
Borrowings
Gain/(Loss) on
Swaps
Gain/(Loss) on
Borrowings
Interest Expense ...................... $45 $(41) $26 $(28)
The following table summarizes the location and fair value of derivative instruments designated as fair
value hedges on the Company’s Consolidated Balance Sheets:
Asset Derivatives
Fair Value
Derivatives Designated as Fair Value Hedging Instruments
January 29,
2011
January 30,
2010
Balance Sheet
Location
Interest Rate Hedges ................................... $45 $26 Other Assets
In 2008, the Company terminated nine fair value interest rate swaps with a total notional amount
of $900. Three of these terminated interest rate swaps were purchased and became ineffective fair value
hedges in 2008. The proceeds received at termination were credited to interest expense in the amount
of $15.
As of January 29, 2011, the Company has unamortized proceeds from twelve interest rate swaps
once classified as fair value hedges totaling approximately $16. The unamortized proceeds are recorded as
adjustments to the carrying values of the underlying debt and are being amortized over the remaining term
of the debt. As of January 29, 2011, the Company expects to reclassify an unrealized gain of $10 from this
adjustment to the carrying values of the underlying debt to earnings over the next twelve months.