Derivative Instruments (Tables)

6 Months Ended

Apr. 29, 2018

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 29		April 30		April 29		April 30
	2018		2017		2018		2017
Interest rate contracts *	$	(123.9)	$	31.8	$	(269.5)	$	(197.9)
Borrowings **		121.9		(31.7)		266.2		200.0

* Includes changes in fair values of interest rate contracts excluding net accrued interest income of $5.2 million and $21.5 million during the second quarter of 2018 and 2017, respectively, and $17.1 million and $46.2 million during the first six months of 2018 and 2017, respectively.

** Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $62.5 million and $58.0 million during the second quarter of 2018 and 2017, respectively, and $122.0 million and $119.4 million during the first six months of 2018 and 2017, 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 29		October 29		April 30
	2018		2017		2017
Receivables from John Deere
Designated as hedging instruments:
Interest rate contracts	$	34.0	$	64.8	$	91.6

Not designated as hedging instruments:
Interest rate contracts		36.2		20.6		23.8
Cross-currency interest rate contracts		3.0		5.6		7.3
Total not designated		39.2		26.2		31.1

Other Assets
Designated as hedging instruments:
Interest rate contracts				7.0		19.6

Not designated as hedging instruments:
Interest rate contracts		.9		1.1		1.5
Foreign exchange contracts		30.1		24.6		10.1
Total not designated		31.0		25.7		11.6

Total derivative assets	$	104.2	$	123.7	$	153.9

Other Payables to John Deere
Designated as hedging instruments:
Interest rate contracts	$	309.5	$	107.2	$	62.9

Not designated as hedging instruments:
Interest rate contracts		31.5		18.4		20.6
Cross-currency interest rate contracts		1.6		.9		1.8
Total not designated		33.1		19.3		22.4

Accounts Payable and Accrued Expenses
Not designated as hedging instruments:
Foreign exchange contracts				6.0		15.2
Total not designated				6.0		15.2

Total derivative liabilities	$	342.6	$	132.5	$	100.5

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 29		April 30		April 29		April 30
	Classification	2018		2017		2018		2017
Fair Value Hedges
Interest rate contracts	Interest expense	$	(118.7)	$	53.3	$	(252.4)	$	(151.7)

Cash Flow Hedges
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax) *		7.1		(.6)		14.7		2.5

Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest expense *		.9		(.4)		.9		(.6)

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

Not Designated as Hedges
Interest rate contracts	Interest expense *	$	(3.1)	$	(2.2)	$	(1.8)	$	(1.6)
Foreign exchange contracts	Administrative and operating expenses *		71.9		(21.2)		(31.4)		(26.8)
Total not designated		$	68.8	$	(23.4)	$	(33.2)	$	(28.4)

* 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):


April 29, 2018
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Cash Collateral Received/Paid	Net Amount
Assets
External	$	31.0				$	31.0
John Deere		73.2	$	(32.9)			40.3
Liabilities
John Deere		342.6		(32.9)			309.7


October 29, 2017
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Cash Collateral Received/Paid	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


April 30, 2017
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Cash Collateral Received/Paid	Net Amount
Assets
External	$	31.2	$	(6.2)		$	25.0
John Deere		122.7		(85.3)			37.4
Liabilities
External		15.2		(6.2)			9.0
John Deere		85.3		(85.3)