Derivative Instruments (Tables)

9 Months Ended

Jul. 30, 2017

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 30		July 31		July 30		July 31
	2017		2016		2017		2016
Interest rate contracts *	$	9.9	$	79.7	$	(188.0)	$	148.0
Borrowings **		(8.8)		(77.2)		191.2		(146.7)

*    Includes changes in fair value of interest rate contracts excluding net accrued interest income of $15.4 million and $35.0 million during the third quarter of 2017 and 2016, respectively, and $61.6 million and $110.8 million during the first nine months of 2017 and 2016, respectively.

**  Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $52.5 million and $72.2 million during the third quarter of 2017 and 2016, respectively, and $171.9 million and $207.5 million during the first nine months of 2017 and 2016, 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 30		October 30		July 31
	2017		2016		2016
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	89.9	$	226.0	$	362.9
Not designated as hedging instruments:
Interest rate contracts		18.9		15.8		32.6
Cross-currency interest rate contracts		3.9		10.2		11.8
Total not designated		22.8		26.0		44.4
Other Assets
Designated as hedging instruments:
Interest rate contracts		12.7		34.7		71.4
Not designated as hedging instruments:
Interest rate contracts		1.3		.6		.6
Foreign exchange contracts		2.0		13.8		8.7
Total not designated		3.3		14.4		9.3
Total derivative assets	$	128.7	$	301.1	$	488.0
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	58.8	$	10.2	$	4.3
Not designated as hedging instruments:
Interest rate contracts		17.2		13.8		15.0
Cross-currency interest rate contracts		3.8
Total not designated		21.0		13.8		15.0
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Interest rate contracts						18.4
Foreign exchange contracts		35.1		4.3		5.3
Total not designated		35.1		4.3		23.7
Total derivative liabilities	$	114.9	$	28.3	$	43.0

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 30		July 31		July 30		July 31
	Classification	2017		2016		2017		2016
Fair Value Hedges:
Interest rate contracts	Interest expense	$	25.3	$	114.7	$	(126.4)	$	258.8
Cash Flow Hedges:
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax)		(.9)		(1.1)		1.6		(2.8)
Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense		(.3)		(1.1)		(.9)		(4.3)
Recognized Directly in Income
(Ineffective Portion)			**		**		**		**
Not Designated as Hedges:
Interest rate contracts	Interest expense *	$	.5	$	(2.7)	$	(1.1)	$	(3.3)
Foreign exchange contracts	Administrativeandoperatingexpenses*		(98.6)		52.3		(125.4)		35.2
Total not designated		$	(98.1)	$	49.6	$	(126.5)	$	31.9

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

**  The amounts were 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 30, 2017
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	16.0	$	(.8)		$	15.2
John Deere		112.7		(79.8)			32.9
Liabilities
External		35.1		(.8)			34.3
John Deere		79.8		(79.8)

October 30, 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)

July 31, 2016
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	80.7	$	(19.8)		$	60.9
John Deere		407.3		(19.3)			388.0
Liabilities
External		23.7		(19.8)			3.9
John Deere		19.3		(19.3)