Derivative Instruments (Tables)

6 Months Ended

Apr. 30, 2013

Derivative Instruments

Fair Value Hedge Interest Rate Contracts and Underlying Borrowings

The gains (losses) on these contracts and the underlying borrowings recorded in interest expense were as follows (in millions of dollars):

	Three Months Ended April 30,						Six Months Ended April 30,
	2013			2012			2013		2012
Interest rate contracts *	$	71.1		$	(20.0	)	$	.2	$	85.3
Borrowings **	(70.7		)	15.0			2.4		(93.5		)

*   Includes changes in fair value of interest rate contracts excluding net accrued interest income of $38.9 million and $35.9 million during the second quarter of 2013 and 2012 and $75.1 million and $74.5 million during the first six months of 2013 and 2012, respectively.

**   Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $62.3 million and $66.0 million during the second quarter of 2013 and 2012 and $123.6 million and $131.8 million during the first six months of 2013 and 2012, respectively.

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, 2013		October 31, 2012		April 30, 2012
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	329.7	$	314.2	$	215.8
Cross-currency interest rate contracts			8.7		6.0
Total designated	329.7		322.9		221.8
Not designated as hedging instruments:
Interest rate contracts	39.0		41.6		40.1
Cross-currency interest rate contracts			1.2		.9
Total not designated	39.0		42.8		41.0
Other Assets
Designated as hedging instruments:
Interest rate contracts	174.0		197.0		205.8
Not designated as hedging instruments:
Interest rate contracts	22.0		30.6		30.6
Foreign exchange contracts	5.3		1.9		3.3
Cross-currency interest rate contracts			.3		.8
Total not designated	27.3		32.8		34.7
Total derivatives	$	570.0	$	595.5	$	503.3
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	7.9	$	11.8	$	2.0
Cross-currency interest rate contracts	1.0		2.2		1.6
Total designated	8.9		14.0		3.6
Not designated as hedging instruments:
Interest rate contracts	14.0		13.5		8.3
Cross-currency interest rate contracts	4.6		.7		.6
Total not designated	18.6		14.2		8.9
Accounts Payable and Accrued Expenses
Designated as hedging instruments:
Cross-currency interest rate contracts	48.3		56.3		40.3
Not designated as hedging instruments:
Interest rate contracts	38.4		41.3		40.0
Foreign exchange contracts	10.9		5.4		6.6
Cross-currency interest rate contracts	.3		.1		.1
Total not designated	49.6		46.8		46.7
Total derivatives	$	125.4	$	131.3	$	99.5

Gains (Losses) Related to Derivative Instruments on Statements 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):

	Expense or OCI	Three Months Ended April 30				Six Months Ended April 30
	Classification	2013		2012		2013		2012
Fair Value Hedges:
Interest rate contracts	Interest expense	$	110.0	$	15.9	$	75.3	$	159.8
Cash Flow Hedges:
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax) *	(4.9)		(2.4)		(7.7)		(8.4)
Foreign exchange contracts	OCI (pretax) *	(11.0)		4.7		10.4		(30.5)
Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense *	(4.7)		(2.9)		(9.1)		(5.6)
Foreign exchange contracts	Administrative and operating expenses *	(13.3)		.5		5.8		(32.5)
Recognized Directly in Income
(Ineffective Portion)		**		**		**		**
Not Designated as Hedges:
Interest rate contracts	Interest expense *	$	(4.7)	$	(2.9)	$	(4.1)	$	(4.3)
Foreign exchange contracts	Administrative and operating expenses *	19.9		6.2		(4.8)		13.8
Total not designated		$	15.2	$	3.3	$	(8.9)	$	9.5

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

** The amount is not significant.