Derivative Instruments (Tables)

9 Months Ended

Jul. 31, 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 July 31						Nine Months Ended July 31
	2013			2012			2013			2012
Interest rate contracts *	$	(286.8	)	$	120.8		$	(286.6	)	$	206.1
Borrowings **	284.6			(117.0		)	287.0			(210.5		)
*   Includes changes in fair value of interest rate contracts excluding net accrued interest income of $36.1 million and $36.2 million during the third quarter of 2013 and 2012 and $111.2 million and $110.7 million during the first nine months of 2013 and 2012, respectively.
**   Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $57.9 million and $63.7 million during the third quarter of 2013 and 2012 and $181.5 million and $195.5 million during the first nine 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):

	July 31 2013		October 31 2012		July 31 2012
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	131.9	$	314.2	$	330.1
Cross-currency interest rate contracts			8.7		13.2
Total designated	131.9		322.9		343.3
Not designated as hedging instruments:
Interest rate contracts	34.0		41.6		44.6
Cross-currency interest rate contracts	.8		1.2		1.4
Total not designated	34.8		42.8		46.0
Other Assets
Designated as hedging instruments:
Interest rate contracts	152.9		197.0		216.8
Not designated as hedging instruments:
Interest rate contracts	18.6		30.6		30.1
Foreign exchange contracts	.8		1.9		3.6
Cross-currency interest rate contracts			.3		.8
Total not designated	19.4		32.8		34.5
Total derivatives	$	339.0	$	595.5	$	640.6
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	95.5	$	11.8	$	6.7
Cross-currency interest rate contracts	.8		2.2		3.4
Total designated	96.3		14.0		10.1
Not designated as hedging instruments:
Interest rate contracts	18.6		13.5		11.8
Cross-currency interest rate contracts	1.4		.7		.4
Total not designated	20.0		14.2		12.2
Accounts Payable and Accrued Expenses
Designated as hedging instruments:
Cross-currency interest rate contracts	38.3		56.3		83.1
Not designated as hedging instruments:
Interest rate contracts	32.4		41.3		45.9
Foreign exchange contracts	13.9		5.4		15.9
Cross-currency interest rate contracts			.1		.1
Total not designated	46.3		46.8		61.9
Total derivatives	$	200.9	$	131.3	$	167.3

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 July 31						Nine Months Ended July 31
	Classification	2013			2012			2013			2012
Fair Value Hedges:
Interest rate contracts	Interest expense	$	(250.7	)	$	157.0		$	(175.4	)	$	316.8
Cash Flow Hedges:
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax) *	(2.1		)	(8.3		)	(9.8		)	(16.7		)
Foreign exchange contracts	OCI (pretax) *	12.7			(33.7		)	23.1			(64.2		)
Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense *	(4.6		)	(3.6		)	(13.7		)	(9.2		)
Foreign exchange contracts	Administrative and operating expenses *	10.6			(31.3		)	16.4			(63.8		)
Recognized Directly in Income
(Ineffective Portion)		**			**			**			**
Not Designated as Hedges:
Interest rate contracts	Interest expense *	$	.5		$	(3.7	)	$	(3.6	)	$	(8.0	)
Foreign exchange contracts	Administrative and operating expenses *	86.9			30.9			82.1			44.7
Total not designated		$	87.4		$	27.2		$	78.5		$	36.7
*    Includes interest and foreign exchange gains (losses) from cross-currency interest rate contracts.
**  The amount is not significant.