XML 37 R26.htm IDEA: XBRL DOCUMENT v3.10.0.1
Derivative Instruments (Tables)
 9 Months Ended
Jul. 29, 2018
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 29

 

July 30

 

July 29

 

July 30

 

 

2018

 

2017

    

2018

 

2017

Interest rate contracts *

 

$

(8.0)

 

$

9.9

 

$

(277.5)

 

$

(188.0)

Borrowings **

 

 

7.6

 

 

(8.8)

 

 

273.8

 

 

191.2

*    Includes changes in fair values of interest rate contracts excluding net accrued interest expense of $2.2 million and net accrued interest income of $15.4 million during the third quarter of 2018 and 2017, respectively, and net accrued interest income of $14.9 million and $61.6 million during the first nine months of 2018 and 2017, respectively.

**   Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $58.0 million and $52.5 million during the third quarter of 2018 and 2017, respectively, and $180.0 million and $171.9 million during the first nine 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):

 

 

 

 

 

 

 

 

 

 

 

 

    

July 29

    

October 29

    

July 30

 

 

 

2018

 

2017

 

2017

 

Receivables from John Deere

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

23.7

 

$

64.8

 

$

89.9

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

29.6

 

 

20.6

 

 

18.9

 

Cross-currency interest rate contracts

 

 

2.4

 

 

5.6

 

 

3.9

 

Total not designated

 

 

32.0

 

 

26.2

 

 

22.8

 

 

 

 

 

 

 

 

 

 

 

 

Other Assets

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

 

 

 

7.0

 

 

12.7

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

.7

 

 

1.1

 

 

1.3

 

Foreign exchange contracts

 

 

11.2

 

 

24.6

 

 

2.0

 

Total not designated

 

 

11.9

 

 

25.7

 

 

3.3

 

 

 

 

 

 

 

 

 

 

 

 

Total derivative assets

 

$

67.6

 

$

123.7

 

$

128.7

 

 

 

 

 

 

 

 

 

 

 

 

Other Payables to John Deere

 

 

 

 

 

 

 

 

 

 

Designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

$

299.6

 

$

107.2

 

$

58.8

 

 

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

 

29.9

 

 

18.4

 

 

17.2

 

Cross-currency interest rate contracts

 

 

1.6

 

 

.9

 

 

3.8

 

Total not designated

 

 

31.5

 

 

19.3

 

 

21.0

 

 

 

 

 

 

 

 

 

 

 

 

Accounts Payable and Accrued Expenses

 

 

 

 

 

 

 

 

 

 

Not designated as hedging instruments:

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

 

5.6

 

 

6.0

 

 

35.1

 

Total not designated

 

 

5.6

 

 

6.0

 

 

35.1

 

 

 

 

 

 

 

 

 

 

 

 

Total derivative liabilities

 

$

336.7

 

$

132.5

 

$

114.9

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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 29

 

July 30

 

July 29

 

July 30

 

 

 

Classification

   

2018

   

2017

   

2018

   

2017

 

Fair Value Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense

 

$

(10.2)

 

$

25.3

 

$

(262.6)

 

$

(126.4)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash Flow Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recognized in OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

OCI (pretax) *

 

 

1.4

 

 

(.9)

 

 

16.1

 

 

1.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Reclassified from OCI

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Effective Portion):

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

 

2.5

 

 

(.3)

 

 

3.4

 

 

(.9)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Recognized Directly in Income

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Ineffective Portion)

 

 

 

 

**

 

 

**

 

 

**

 

 

**

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Not Designated as Hedges

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Interest rate contracts

 

Interest expense *

 

$

(1.9)

 

$

.5

 

$

(3.7)

 

$

(1.1)

 

Foreign exchange contracts

 

Administrative and operating expenses *

 

 

58.2

 

 

(98.6)

   

 

26.8

 

 

(125.4)

 

Total not designated

 

 

 

$

56.3

 

$

(98.1)

 

$

23.1

 

$

(126.5)

 

*    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 29, 2018

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Cash Collateral Received/Paid

 

Net
Amount

 

Assets

    

 

    

    

 

 

    

    

    

 

    

 

External

 

$

11.9

 

$

(1.3)

 

 

 

$

10.6

 

John Deere

 

 

55.7

 

 

(24.4)

 

 

 

 

31.3

 

Liabilities

 

 

 

 

 

 

 

 

 

 

 

 

External

 

 

5.6

 

 

(1.3)

 

 

 

 

4.3

 

John Deere

 

 

331.1

 

 

(24.4)

 

 

 

 

306.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

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

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

July 30, 2017

    

 

 

    

 

 

    

    

    

 

 

 

Derivatives:

 

Gross Amounts
Recognized

 

Netting
Arrangements

 

Cash Collateral Received/Paid

 

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)