XML 55 R44.htm IDEA: XBRL DOCUMENT v3.22.2.2
Derivative Instruments (Tables)
12 Months Ended
Oct. 30, 2022
Derivative Instruments  
Amounts Recorded in the Consolidated Balance Sheet Related to Borrowings Designated in Fair Value Hedging Relationships

The amounts recorded, at October 30, 2022 and October 31, 2021, 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 Relationships

​

​

​

Carrying

​

Cumulative

​

Carrying Amount

​

Cumulative

​

​

​

Amount of

​

Fair Value

​

of Formerly

​

Fair Value

​

2022

 

Hedged Item

 

Hedging Adjustment

 

Hedged Item

 

Hedging Adjustment

​

Current maturities of long-term external borrowings

​

​

​

​

​

​

​

$

2,514.9

​

$

15.5

​

Long-term external borrowings

​

$

8,453.6

​

$

(950.1)

​

​

5,519.6

​

​

(19.1)

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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

​

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheets at October 30, 2022 and October 31, 2021 were as follows (in millions of dollars):

​

​

​

​

​

​

​

​

​

    

2022

    

2021

 

Receivables from John Deere

​

​

​

​

​

​

​

Designated as hedging instruments:

​

​

​

​

​

​

​

Interest rate contracts

​

$

87.5

​

$

162.8

​

​

​

​

​

​

​

​

​

Not designated as hedging instruments:

​

​

​

​

​

​

​

Interest rate contracts

​

 

124.5

​

 

23.4

​

Cross-currency interest rate contracts

​

 

2.8

​

 

5.4

​

Total not designated

​

 

127.3

​

 

28.8

​

​

​

​

​

​

​

​

​

Other Assets

​

​

​

​

​

​

​

Not designated as hedging instruments:

​

​

​

​

​

​

​

Foreign currency exchange contracts

​

 

1.3

​

 

1.1

​

​

​

​

​

​

​

​

​

Total derivative assets

​

$

216.1

​

$

192.7

​

​

​

​

​

​

​

​

​

Other Payables to John Deere

​

​

​

​

​

​

​

Designated as hedging instruments:

​

​

​

​

​

​

​

Interest rate contracts

​

$

947.9

​

$

79.0

​

​

​

​

​

​

​

​

​

Not designated as hedging instruments:

​

​

​

​

​

​

​

Interest rate contracts

​

 

74.2

​

 

17.1

​

Cross-currency interest rate contracts

​

​

2.1

​

 

1.5

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Total not designated

​

 

76.3

​

 

18.6

​

​

​

​

​

​

​

​

​

Accounts Payable and Accrued Expenses

​

​

​

​

​

​

​

Not designated as hedging instruments:

​

​

​

​

​

​

​

Foreign currency exchange contracts

​

 

14.1

​

 

4.8

​

​

​

​

​

​

​

​

​

Total derivative liabilities

​

$

1,038.3

​

$

102.4

​

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):

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​

​

​

​

​

​

​

​

​

​

    

​

​

    

​

​

    

​

​

 

​

​

2022

​

2021

​

2020

 

Fair Value Hedges

​

​

​

​

​

​

​

​

​

​

Interest rate contracts - Interest expense

 

$

(1,102.0)

​

$

(208.9)

​

$

477.3

​

​

​

​

​

​

​

​

​

​

​

​

Cash Flow Hedges

​

​

​

​

​

​

​

​

​

​

Recognized in OCI

​

​

​

​

​

​

​

​

​

​

Interest rate contracts - OCI (pretax)

 

 

88.3

​

 

7.7

​

 

(17.4)

​

​

​

​

​

​

​

​

​

​

​

​

Reclassified from OCI

​

​

​

​

​

​

​

​

​

​

Interest rate contracts - Interest expense

 

 

12.4

​

 

(9.4)

​

 

(17.9)

​

​

​

​

​

​

​

​

​

​

​

​

Not Designated as Hedges

​

​

​

​

​

​

​

​

​

​

Interest rate contracts - Interest expense *

 

$

62.4

​

$

5.2

​

$

(5.4)

​

Foreign currency exchange contracts - Administrative and operating expenses *

 

 

169.3

​

 

(26.6)

​

 

57.0

​

Total not designated

​

$

231.7

​

$

(21.4)

​

$

51.6

​

​

*     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 at October 30, 2022 and October 31, 2021 were as follows (in millions of dollars):

​

​

​

​

​

​

​

​

​

​

​

​

​

​

2022

​

​

​

​

​

​

​

​

​

​

Derivatives:

​

Gross Amounts Recognized

​

Netting Arrangements

​

Collateral

​

Net
Amount

 

Assets

​

​

​

​

​

​

​

​

​

​

​

​

​

External

​

$

1.3

​

$

(1.1)

​

 

​

​

$

.2

​

John Deere

​

 

214.8

​

 

(128.3)

​

​

​

​

 

86.5

​

Liabilities

​

​

​

​

​

​

​

​

​

​

​

​

​

External

​

 

14.1

​

 

(1.1)

​

​

​

​

 

13.0

​

John Deere

​

 

1,024.2

​

 

(128.3)

​

​

​

​

 

895.9

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

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)

​

​

​

​

 

​

​