Derivative Instruments (Tables)

12 Months Ended

Nov. 01, 2020

Derivative Instruments

Amounts Recorded in the Consolidated Balance Sheet Related to Borrowings Designated in Fair Value Hedging Relationships

The amounts recorded, at November 1, 2020 and November 3, 2019, in the consolidated balance sheet related to borrowings designated in fair value hedging relationships were as follows (in millions of dollars):

			Cumulative Increase (Decrease) of Fair Value
			Hedging Adjustments Included in the
			Carrying Amount
	Carrying		Active
	Amount of		Hedging		Discontinued
2020	Hedged Item		Relationships		Relationships		Total
Current maturities of long-term borrowings	$	2.5			$	2.5	$	2.5
Long-term borrowings		7,149.8	$	530.0		121.6		651.6
2019
Current maturities of long-term borrowings	$	185.4	$	.3	$	(4.4)	$	(4.1)
Long-term borrowings		8,378.1		292.8		(31.6)		261.2

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheet at November 1, 2020 and November 3, 2019 were as follows (in millions of dollars):

	2020		2019
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	565.2	$	328.8
Not designated as hedging instruments:
Interest rate contracts		10.3		2.6
Cross-currency interest rate contracts		7.7		.5
Total not designated		18.0		3.1
Other Assets
Not designated as hedging instruments:
Foreign exchange contracts		3.8		1.9
Total not designated		3.8		1.9
Total derivative assets	$	587.0	$	333.8
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	12.7	$	26.5
Not designated as hedging instruments:
Interest rate contracts		16.7		17.9
Cross-currency interest rate contracts		.7		3.0
Total not designated		17.4		20.9
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Foreign exchange contracts		.9		9.9
Total derivative liabilities	$	31.0	$	57.3

Gains (Losses) Related to Derivative Instruments on Statement of Consolidated Income

The classification and gains (losses) including accrued interest expense related to derivative instruments on the statement of consolidated income consisted of the following (in millions of dollars):

	2020		2019		2018
Fair Value Hedges
Interest rate contracts - Interest expense	$	477.3	$	583.2	$	(281.4)
Cash Flow Hedges
Recognized in OCI
Interest rate contracts - OCI (pretax)		(17.4)		(22.2)		17.8
Reclassified from OCI
Interest rate contracts - Interest expense		(17.9)		5.5		5.5
Not Designated as Hedges
Interest rate contracts - Interest expense *	$	(5.4)	$	(25.8)	$	(6.6)
Foreign exchange contracts - Administrative and operating expenses *		57.0		45.1		96.7
Total not designated	$	51.6	$	19.3	$	90.1

*     Includes interest and foreign exchange gains (losses) from cross-currency interest rate contracts.

Impact on Derivative Assets and Liabilities for External Derivatives and those with John Deere Related to Netting Arrangements and Collateral

Derivatives are recorded without offsetting for netting arrangements or collateral. The impact on the derivative assets and liabilities for external derivatives and those with John Deere related to netting arrangements and collateral were as follows (in millions of dollars):

2020
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Cash Collateral Received/Paid	Net Amount
Assets
External	$	3.8	$	(.7)		$	3.1
John Deere		583.2		(23.5)			559.7
Liabilities
External		.9		(.7)			.2
John Deere		30.1		(23.5)			6.6

2019
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Cash Collateral Received/Paid	Net Amount
Assets
External	$	1.9	$	(.2)		$	1.7
John Deere		331.9		(42.6)			289.3
Liabilities
External		9.9		(.2)			9.7
John Deere		47.4		(42.6)			4.8