Derivative Instruments (Tables)

6 Months Ended

Apr. 30, 2016

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				Six Months Ended
	April 30				April 30
	2016		2015		2016		2015
Interest rate contracts *	$	(3.4)	$	(116.1)	$	68.3	$	52.1
Borrowings **		2.7		114.7		(69.5)		(50.7)

* Includes changes in fair value of interest rate contracts excluding net accrued interest income of $37.6 million and $42.5 million during the second quarter of 2016 and 2015, respectively, and $75.8 million and $85.5 million during the first six months of 2016 and 2015, respectively.

** Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $71.2 million and $64.6 million during the second quarter of 2016 and 2015, respectively, and $135.3 million and $130.2 million during the first six months of 2016 and 2015, 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):


	April 30		October 31		April 30
	2016		2015		2015
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	294.2	$	207.2	$	178.6

Not designated as hedging instruments:
Interest rate contracts		34.9		34.4		37.8
Cross-currency interest rate contracts		9.2		11.5		12.4
Total not designated		44.1		45.9		50.2

Other Assets
Designated as hedging instruments:
Interest rate contracts		66.0		80.9		91.5

Not designated as hedging instruments:
Interest rate contracts		1.2		2.8		5.9
Foreign exchange contracts		4.5		11.3		.6
Total not designated		5.7		14.1		6.5

Total derivatives	$	410.0	$	348.1	$	326.8

Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	7.4	$	7.1	$	14.4

Not designated as hedging instruments:
Interest rate contracts		14.0		15.3		17.9
Cross-currency interest rate contracts		1.0		.1
Total not designated		15.0		15.4		17.9

Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Interest rate contracts		16.9		19.8		21.5
Foreign exchange contracts		16.6		5.6		19.7
Total not designated		33.5		25.4		41.2

Total derivatives	$	55.9	$	47.9	$	73.5

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				Six Months Ended
	Expense or OCI	April 30				April 30
	Classification	2016		2015		2016		2015
Fair Value Hedges:
Interest rate contracts	Interest expense	$	34.2	$	(73.6)	$	144.1	$	137.6

Cash Flow Hedges:
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax)		.3		(.3)		(1.7)		(3.9)

Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense		(1.1)		(1.8)		(3.2)		(3.9)

Recognized Directly in Income
(Ineffective Portion)			**		**		**		**

Not Designated as Hedges:
Interest rate contracts	Interest expense *	$	.3	$	.3	$	(.6)	$	(3.4)
Foreign exchange contracts	Administrative and operating expenses *		(65.7)		(16.0)		(17.1)		112.2
Total not designated		$	(65.4)	$	(15.7)	$	(17.7)	$	108.8

* 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):


April 30, 2016
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	71.7	$	(19.6)		$	52.1
John Deere		338.3		(22.4)			315.9
Liabilities
External		33.5		(19.6)			13.9
John Deere		22.4		(22.4)


October 31, 2015
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	95.0	$	(20.3)		$	74.7
John Deere		253.1		(22.5)			230.6
Liabilities
External		25.4		(20.3)			5.1
John Deere		22.5		(22.5)


April 30, 2015
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	98.0	$	(21.8)		$	76.2
John Deere		228.8		(32.3)			196.5
Liabilities
External		41.2		(21.8)			19.4
John Deere		32.3		(32.3)