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Derivative Instruments (Tables)
 12 Months Ended
Oct. 31, 2014
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):

 

 

 

2014

 

2013

 

Interest rate contracts *

 

$

(12.8

)

$

(237.5

)

Borrowings **

 

10.8

 

237.7

 

 

 

*                                         Includes changes in fair value of interest rate contracts excluding net accrued interest income of $161.0 million and $146.6 million during 2014 and 2013, respectively.

 

**                                  Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $248.0 million and $237.9 million during 2014 and 2013, respectively.

 
Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheet at October 31 were as follows (in millions of dollars):

 

 

 

2014

 

2013

 

 

 

 

 

 

 

Receivables from John Deere

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

$

148.1

 

$

144.3

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

35.6

 

31.2

 

Cross-currency interest rate contracts

 

2.8

 

1.1

 

Total not designated

 

38.4

 

32.3

 

 

 

 

 

 

 

Other Assets

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

107.5

 

140.5

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

9.8

 

16.3

 

Foreign exchange contracts

 

3.1

 

1.0

 

Cross-currency interest rate contracts

 

 

 

.1

 

Total not designated

 

12.9

 

17.4

 

 

 

 

 

 

 

Total derivatives

 

$

306.9

 

$

334.5

 

 

 

 

 

 

 

Other Payables to John Deere

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

$

35.3

 

$

71.0

 

Cross-currency interest rate contracts

 

 

 

.4

 

Total designated

 

35.3

 

71.4

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

16.9

 

13.8

 

Cross-currency interest rate contracts

 

 

 

.7

 

Total not designated

 

16.9

 

14.5

 

 

 

 

 

 

 

Accounts Payable and Accrued Expenses

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

Cross-currency interest rate contracts

 

 

 

16.0

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

Interest rate contracts

 

23.0

 

29.9

 

Foreign exchange contracts

 

8.6

 

15.8

 

Total not designated

 

31.6

 

45.7

 

 

 

 

 

 

 

Total derivatives

 

$

83.8

 

$

147.6

 

 
Gains (Losses) Related to Derivative Instruments on Statement of Consolidated Income

The classifications and gains (losses) including accrued interest expense related to derivative instruments on the statement of consolidated income consisted of the following (in millions of dollars):

 

 

 

Expense or OCI
Classification

 

2014

 

2013

 

2012

 

Fair Value Hedges

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense

 

$

148.2

 

$

(90.9

)

$

332.4

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Hedges

 

 

 

 

 

 

 

 

 

Recognized in OCI

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

OCI (pretax) *

 

(6.1

)

(14.6

)

(22.1

)

Foreign exchange contracts

 

OCI (pretax) *

 

(4.1

)

47.9

 

(38.4

)

 

 

 

 

 

 

 

 

 

 

Reclassified from OCI

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

(9.8

)

(17.8

)

(13.1

)

Foreign exchange contracts

 

Administrative and operating expenses *

 

(5.5

)

39.3

 

(42.3

)

 

 

 

 

 

 

 

 

 

 

Recognized Directly in Income

 

 

 

 

 

 

 

 

 

(Ineffective Portion)

 

 

 

**

 

**

 

**

 

 

 

 

 

 

 

 

 

 

 

Not Designated as Hedges

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

$

5.0

 

$

(4.5

)

$

(8.6

)

Foreign exchange contracts

 

Administrative and operating expenses *

 

52.6

 

20.8

 

7.7

 

Total not designated

 

 

 

$

57.6

 

$

16.3

 

$

(.9

)

 

 

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

**          The amounts are not significant.

 
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):

 

2014

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Collateral
Received

 

Net Amount

 

Assets

 

 

 

 

 

 

 

 

 

External

 

$

120.4

 

$

(24.3

)

 

 

$

96.1

 

John Deere

 

186.5

 

(50.4

)

 

 

136.1

 

Liabilities

 

 

 

 

 

 

 

 

 

External

 

31.6

 

(24.3

)

 

 

7.3

 

John Deere

 

52.2

 

(50.4

)

 

 

1.8

 

 

2013

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Collateral
Received

 

Net Amount

 

Assets

 

 

 

 

 

 

 

 

 

External

 

$

157.9

 

$

(42.6

)

$

(2.4

)

$

112.9

 

John Deere

 

176.6

 

(82.9

)

 

 

93.7

 

Liabilities

 

 

 

 

 

 

 

 

 

External

 

61.7

 

(42.6

)

 

 

19.1

 

John Deere

 

85.9

 

(82.9

)

 

 

3.0