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Derivative Instruments (Tables)
 9 Months Ended
Jul. 31, 2015
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

 

Nine Months Ended

 

 

 

July 31

 

July 31

 

 

    

2015

    

2014

    

2015

    

2014

 

Interest rate contracts *

 

$
(11.7)

 

$
31.6

 

$
40.4

 

$
(49.5)

 

Borrowings **

 

 
11.4

 

 
(33.1)

 

 
(39.3)

 

 
47.0

 

*    Includes changes in fair value of interest rate contracts excluding net accrued interest income of $40.7 million and $41.9 million during the third quarter of 2015 and 2014, respectively, and $126.2 million and $116.2 million during the first nine months of 2015 and 2014, respectively.

**  Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $63.2 million and $64.3 million during the third quarter of 2015 and 2014, respectively, and $193.4 million and $179.7 million during the first nine months of 2015 and 2014, respectively.

Fair Value of Derivative Instruments in Consolidated Balance Sheet

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

 

 

 

 

 

 

 

 

 

 

 

 

 

    

July 31

    

October 31

    

July 31

 

 

 

2015

 

2014

 

2014

 

Receivables from John Deere

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$
173.6

 

$
148.1

 

$
129.9

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 
38.8

 

 
35.6

 

 
37.2

 

Cross-currency interest rate contracts

 

 
12.7

 

 
2.8

 

 
1.0

 

Total not designated

 

 
51.5

 

 
38.4

 

 
38.2

 

 

 

 

 

 

 

 

 

 

 

 

Other Assets

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 
97.7

 

 
107.5

 

 
124.7

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 
4.8

 

 
9.8

 

 
12.5

 

Foreign exchange contracts

 

 
8.2

 

 
3.1

 

 
4.5

 

Total not designated

 

 
13.0

 

 
12.9

 

 
17.0

 

 

 

 

 

 

 

 

 

 

 

 

Total derivatives

 

$
335.8

 

$
306.9

 

$
309.8

 

 

 

 

 

 

 

 

 

 

 

 

Other Payables to John Deere

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$
19.4

 

$
35.3

 

$
50.4

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 
19.0

 

 
16.9

 

 
19.6

 

Cross-currency interest rate contracts

 

 

 

 

 

 

 

 

.9

 

Total not designated

 

 
19.0

 

 
16.9

 

 
20.5

 

 

 

 

 

 

 

 

 

 

 

 

Accounts Payable and Accrued Expenses

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 
23.1

 

 
23.0

 

 
26.4

 

Foreign exchange contracts

 

 
2.6

 

 
8.6

 

 
4.5

 

Total not designated

 

 
25.7

 

 
31.6

 

 
30.9

 

 

 

 

 

 

 

 

 

 

 

 

Total derivatives

 

$
64.1

 

$
83.8

 

$
101.8

 

 

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 statement of consolidated income consisted of the following (in millions of dollars):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Three Months Ended

 

Nine Months Ended

 

 

 

Expense or OCI

 

July 31

 

July 31

 

 

   

Classification

   

2015

   

2014

   

2015

   

2014

 

Fair Value Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense

 

$
29.0

 

$
73.5

 

$
166.6

 

$
66.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recognized in OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

OCI (pretax) *

 

 
(3.5)

 

 

.8

 

 
(7.4)

 

 
(2.8)

 

Foreign exchange contracts

 

OCI (pretax) *

 

 

 

 

 

 

 

 

 

 

 
(4.1)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reclassified from OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

 
(2.4)

 

 
(2.0)

 

 
(6.3)

 

 
(7.9)

 

Foreign exchange contracts

 

Administrative and operating expenses *

 

 

 

 

 

 

 

 

 

 

 
(5.5)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recognized Directly in Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Ineffective Portion)

 

 

 

 

**

 

 

**

 

 

**

 

 

**

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Not Designated as Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

$
(3.2)

 

$

.8

 

$
(6.6)

 

$
5.7

 

Foreign exchange contracts

 

Administrative and operating expenses *

 

 
33.9

 

 
(27.2)

   

 
146.1

 

 
(35.8)

 

Total not designated

 

 

 

$
30.7

 

$
(26.4)

 

$
139.5

 

$
(30.1)

 

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

**  The amount is 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):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 31, 2015

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Collateral
Received

 

Net
Amount

 

Assets

    

 

    

    

 

 

    

    

    

 

    

 

External

 

$
110.7

 

$
(23.5)

 

 

 

$
87.2

 

John Deere

 

 
225.1

 

 
(37.6)

 

 

 

 
187.5

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

External

 

 
25.7

 

 
(23.5)

 

 

 

 
2.2

 

John Deere

 

 
38.4

 

 
(37.6)

 

 

 

 

.8

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

October 31, 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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 31, 2014

    

 

 

    

 

 

    

    

    

 

 

 

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Collateral
Received

 

Net
Amount

 

Assets

 

 

 

 

 

 

 

 

 

 

 

 

External

 

$
141.7

 

$
(27.4)

 

 

 

$
114.3

 

John Deere

 

 
168.1

 

 
(68.6)

 

 

 

 
99.5

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

External

 

 
30.9

 

 
(27.4)

 

 

 

 
3.5

 

John Deere

 

 
70.9

 

 
(68.6)

 

 

 

 
2.3