Derivative Instruments (Tables)

12 Months Ended

Oct. 31, 2016

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):

	2016		2015
Interest rate contracts *	$	9.0	$	102.5
Borrowings **		(10.6)		(100.8)

*     Includes changes in fair value of interest rate contracts excluding net accrued interest income of $142.1 million and $166.2 million during 2016 and 2015, respectively.

**   Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $276.8 million and $257.0 million during 2016 and 2015, 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):

	2016		2015
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	226.0	$	207.2
Not designated as hedging instruments:
Interest rate contracts		15.8		34.4
Cross-currency interest rate contracts		10.2		11.5
Total not designated		26.0		45.9
Other Assets
Designated as hedging instruments:
Interest rate contracts		34.7		80.9
Not designated as hedging instruments:
Interest rate contracts		.6		2.8
Foreign exchange contracts		13.8		11.3
Total not designated		14.4		14.1
Total derivatives	$	301.1	$	348.1
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	10.2	$	7.1
Not designated as hedging instruments:
Interest rate contracts		13.8		15.3
Cross-currency interest rate contracts				.1
Total not designated		13.8		15.4
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Interest rate contracts				19.8
Foreign exchange contracts		4.3		5.6
Total not designated		4.3		25.4
Total derivatives	$	28.3	$	47.9

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	2016		2015		2014
Fair Value Hedges
Interest rate contracts	Interest expense	$	151.1	$	268.7	$	148.2
Cash Flow Hedges
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI -pretax *		(.4)		(11.9)		(6.1)
Foreign exchange contracts	OCI -pretax *						(4.1)
Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense *		(5.0)		(8.6)		(9.8)
Foreign exchange contracts	Administrative and operating expenses *						(5.5)
Recognized Directly in Income
(Ineffective Portion)			**		**		**
Not Designated as Hedges
Interest rate contracts	Interest expense *	$	(1.5)	$	(8.2)	$	5.0
Foreign exchange contracts	Administrative and operating expenses *		59.0		165.6		52.6
Total not designated		$	57.5	$	157.4	$	57.6

*     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):

2016
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	49.1	$	(1.1)		$	48.0
John Deere		252.0		(24.0)			228.0
Liabilities
External		4.3		(1.1)			3.2
John Deere		24.0		(24.0)

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)