Derivative Instruments (Tables)

9 Months Ended

Jul. 31, 2022

Derivative Instruments

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

The amounts recorded in the consolidated balance sheets related to borrowings designated in fair value hedging relationships were as follows (in millions of dollars). Fair value hedging adjustments are included in the carrying amount of the hedged item.

	Active Hedging Relationships				Discontinued Hedging Relationship
	Carrying		Cumulative		Carrying Amount		Cumulative
	Amount of		Fair Value		of Formerly		Fair Value
July 31, 2022	Hedged Item		Hedging Adjustment		Hedged Item		Hedging Adjustment
Current maturities of long-term external borrowings					$	2,604.6	$	5.0
Long-term external borrowings	$	7,178.1	$	(385.9)		5,728.0		39.5
October 31, 2021
Current maturities of long-term external borrowings	$	191.2	$	2.7	$	1,997.4	$	(1.7)
Long-term external borrowings		7,139.0		48.3		6,287.3		222.7
August 1, 2021
Current maturities of long-term external borrowings	$	188.7	$	4.0	$	1,898.4	$	(.9)
Long-term external borrowings		7,975.1		261.3		5,830.9		190.3

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheets were as follows (in millions of dollars):

	July 31		October 31		August 1
	2022		2021		2021
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	81.8	$	162.8	$	321.0
Not designated as hedging instruments:
Interest rate contracts		82.5		23.4		10.7
Cross-currency interest rate contracts		4.0		5.4		2.0
Total not designated		86.5		28.8		12.7
Other Assets
Not designated as hedging instruments:
Foreign currency exchange contracts		1.8		1.1		.5
Total derivative assets	$	170.1	$	192.7	$	334.2
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	391.0	$	79.0	$	32.3
Not designated as hedging instruments:
Interest rate contracts		54.5		17.1		11.1
Cross-currency interest rate contracts		1.1		1.5		2.3
Total not designated		55.6		18.6		13.4
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Foreign currency exchange contracts		22.1		4.8		1.7
Total derivative liabilities	$	468.7	$	102.4	$	47.4

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 statements of consolidated income consisted of the following (in millions of dollars):

	Three Months Ended				Nine Months Ended
	July 31		August 1		July 31		August 1
	2022		2021		2022		2021
Fair Value Hedges
Interest rate contracts - Interest expense	$	145.5	$	139.9	$	(483.5)	$	(70.7)
Cash Flow Hedges
Recognized in OCI
Interest rate contracts - OCI (pretax)		.8		(.9)		51.4		(.8)
Reclassified from OCI
Interest rate contracts - Interest expense		3.6		(1.6)		2.7		(8.2)
Not Designated as Hedges
Interest rate contracts - Interest expense *	$	(3.8)	$	(2.9)	$	39.3	$	(4.5)
Foreign currency exchange contracts - Administrative and operating expenses *		18.5		(4.5)		83.0		(20.0)
Total not designated	$	14.7	$	(7.4)	$	122.3	$	(24.5)

*    Includes interest and foreign currency 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 any collateral received or paid were as follows (in millions of dollars):

July 31, 2022
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	1.8	$	(.4)		$	1.4
John Deere		168.3		(105.3)			63.0
Liabilities
External		22.1		(.4)			21.7
John Deere		446.6		(105.3)			341.3

October 31, 2021
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	1.1	$	(.3)		$	.8
John Deere		191.6		(97.6)			94.0
Liabilities
External		4.8		(.3)			4.5
John Deere		97.6		(97.6)

August 1, 2021
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	.5	$	(.1)		$	.4
John Deere		333.7		(43.1)			290.6
Liabilities
External		1.7		(.1)			1.6
John Deere		45.7		(43.1)			2.6