Derivative Instruments (Tables)

6 Months Ended

Apr. 30, 2023

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 Relationships
	Carrying		Cumulative		Carrying Amount		Cumulative
	Amount of		Fair Value		of Formerly		Fair Value
April 30, 2023	Hedged Item		Hedging Adjustment		Hedged Item		Hedging Adjustment
Current maturities of long-term external borrowings					$	1,213.3	$	13.9
Long-term external borrowings	$	9,719.4	$	(515.9)		5,656.7		(131.9)
October 30, 2022
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)
May 1, 2022
Current maturities of long-term external borrowings	$	177.8	$	.6	$	2,606.6	$	7.4
Long-term external borrowings		7,174.6		(564.5)		5,120.0		105.5

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):

	April 30		October 30		May 1
	2023		2022		2022
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	104.1	$	87.5	$	62.5
Not designated as hedging instruments:
Interest rate contracts		83.0		124.5		81.5
Cross-currency interest rate contracts		1.4		2.8		5.0
Total not designated		84.4		127.3		86.5
Other Assets
Not designated as hedging instruments:
Foreign currency exchange contracts		12.4		1.3		39.7
Total derivative assets	$	200.9	$	216.1	$	188.7
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	564.0	$	947.9	$	545.2
Not designated as hedging instruments:
Interest rate contracts		32.6		74.2		54.0
Cross-currency interest rate contracts		13.6		2.1		.2
Total not designated		46.2		76.3		54.2
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Foreign currency exchange contracts		1.8		14.1		.2
Total derivative liabilities	$	612.0	$	1,038.3	$	599.6

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				Six Months Ended
	April 30		May 1		April 30		May 1
	2023		2022		2023		2022
Fair Value Hedges
Interest rate contracts - Interest expense	$	(3.9)	$	(489.5)	$	231.4	$	(629.0)
Cash Flow Hedges
Recognized in OCI:
Interest rate contracts - OCI (pretax)	$	(3.7)	$	35.2	$	(5.6)	$	50.6
Reclassified from OCI:
Interest rate contracts - Interest expense		19.9		.2		36.2		(.9)
Not Designated as Hedges
Interest rate contracts - Interest expense *	$	4.3	$	46.5	$	2.4	$	43.2
Foreign currency exchange contracts - Administrative and operating expenses *		75.3		(3.4)		(59.8)		64.4
Total not designated	$	79.6	$	43.1	$	(57.4)	$	107.6

*    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 were as follows (in millions of dollars):

April 30, 2023
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	12.4	$	(1.5)		$	10.9
John Deere		188.5		(147.0)			41.5
Liabilities
External		1.8		(1.5)			.3
John Deere		610.2		(147.0)			463.2

October 30, 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

May 1, 2022
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	39.7	$	(.2)		$	39.5
John Deere		149.0		(82.8)			66.2
Liabilities
External		.2		(.2)
John Deere		599.4		(82.8)			516.6