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8. Derivative Financial Instruments
Historically our derivative instruments have primarily consisted of interest rate swaps used to mitigate interest rate risk. We have counterparty credit risk with large global financial institutions resulting from our derivative instruments. We monitor this concentration of counterparty credit risk on an ongoing basis. See Note 4 for a description of the fair value measurement of our derivative instruments and their classification on the Consolidated Statements of Financial Position.
As of October 27, 2012 and October 29, 2011, one swap was designated as a fair value hedge for accounting purposes, and no ineffectiveness was recognized during the three or nine months ended October 27, 2012 or October 29, 2011.
Periodic payments, valuation adjustments and amortization of gains or losses on our derivative contracts had the following effect on our Consolidated Statements of Operations:
|
Derivative Contracts - Effect on Results of Operations |
|
Three Months Ended |
|
Nine Months Ended |
|
|
(millions) |
|
|
|
October 27, |
|
October 29, |
|
October 27, |
|
October 29, |
|
|
Type of Contract |
|
Classification of Income/(Expense) |
|
2012 |
|
2011 |
|
2012 |
|
2011 |
|
|
Interest rate swaps |
|
Net interest expense |
|
$ |
12 |
|
$ |
10 |
|
$ |
32 |
|
$ |
32 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
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 $84 million, $111 million and $122 million, at October 27, 2012, January 28, 2012 and October 29, 2011, respectively. |