Derivative Instruments (Tables)

12 Months Ended

Oct. 29, 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):

	2017		2016
Interest rate contracts *	$	(273.9)	$	9.0
Borrowings **		276.6		(10.6)

*     Includes changes in fair values of interest rate contracts excluding net accrued interest income of $75.8 million and $142.1 million during 2017 and 2016, respectively.

**   Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $229.5 million and $276.8 million during 2017 and 2016, respectively.

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheet at October 29, 2017 and October 30, 2016 were as follows (in millions of dollars):

	2017		2016
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	64.8	$	226.0
Not designated as hedging instruments:
Interest rate contracts		20.6		15.8
Cross-currency interest rate contracts		5.6		10.2
Total not designated		26.2		26.0
Other Assets
Designated as hedging instruments:
Interest rate contracts		7.0		34.7
Not designated as hedging instruments:
Interest rate contracts		1.1		.6
Foreign exchange contracts		24.6		13.8
Total not designated		25.7		14.4
Total derivative assets	$	123.7	$	301.1
Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	107.2	$	10.2
Not designated as hedging instruments:
Interest rate contracts		18.4		13.8
Cross-currency interest rate contracts		.9
Total not designated		19.3		13.8
Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Foreign exchange contracts		6.0		4.3
Total not designated		6.0		4.3
Total derivative liabilities	$	132.5	$	28.3

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	2017		2016		2015
Fair Value Hedges
Interest rate contracts	Interest expense	$	(198.1)	$	151.1	$	268.7
Cash Flow Hedges
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI -pretax *		4.9		(.4)		(11.9)
Foreign exchange contracts	OCI -pretax *
Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense *		(1.1)		(5.0)		(8.6)
Foreign exchange contracts	Administrative and operating expenses *
Recognized Directly in Income
(Ineffective Portion)			**		**		**
Not Designated as Hedges
Interest rate contracts	Interest expense *	$	(2.6)	$	(1.5)	$	(8.2)
Foreign exchange contracts	Administrative and operating expenses *		(79.2)		59.0		165.6
Total not designated		$	(81.8)	$	57.5	$	157.4

*     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):

2017
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral Received	Net Amount
Assets
External	$	32.7	$	(.1)		$	32.6
John Deere		91.0		(65.9)			25.1
Liabilities
External		6.0		(.1)			5.9
John Deere		126.5		(65.9)			60.6

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)