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Derivative Instruments (Tables)
9 Months Ended
Aug. 02, 2020
Derivative Instruments  
Amounts Recorded in the Consolidated Balance Sheet Related to Borrowings Designated in Fair Value Hedging Relationships

The amounts recorded in the consolidated balance sheet related to borrowings designated in fair value hedging relationships were as follows (in millions of dollars):

Cumulative Increase (Decrease) of Fair Value

Hedging Adjustments Included in the

Carrying Amount

Carrying

Active

Amount of

Hedging

Discontinued

August 2, 2020

Hedged Item

Relationships

Relationships

Total

Current maturities of long-term borrowings

$

104.6

$

2.6

$

2.0

$

4.6

Long-term borrowings

8,826.4

737.6

39.5

777.1

November 3, 2019

Current maturities of long-term borrowings

$

185.4

$

.3

$

(4.4)

$

(4.1)

Long-term borrowings

8,378.1

292.8

(31.6)

261.2

July 28, 2019

Current maturities of long-term borrowings

$

187.3

$

1.1

$

(4.8)

$

(3.7)

Long-term borrowings

8,774.0

182.7

(49.7)

133.0

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):

    

August 2

    

November 3

    

July 28

 

2020

2019

2019

 

Receivables from John Deere

Designated as hedging instruments:

Interest rate contracts

$

785.3

$

328.8

$

229.0

Not designated as hedging instruments:

Interest rate contracts

 

10.1

 

2.6

 

5.4

Cross-currency interest rate contracts

 

9.1

 

.5

 

.9

Total not designated

 

19.2

 

3.1

 

6.3

Other Assets

Not designated as hedging instruments:

Interest rate contracts

 

 

 

.1

Foreign exchange contracts

 

3.7

 

1.9

 

4.7

Total not designated

 

3.7

 

1.9

 

4.8

Total derivative assets

$

808.2

$

333.8

$

240.1

Other Payables to John Deere

Designated as hedging instruments:

Interest rate contracts

$

24.1

$

26.5

$

32.4

Not designated as hedging instruments:

Interest rate contracts

 

18.4

 

17.9

 

20.9

Cross-currency interest rate contracts

.1

3.0

 

2.0

Total not designated

 

18.5

 

20.9

 

22.9

Accounts Payable and Accrued Expenses

Not designated as hedging instruments:

Foreign exchange contracts

 

6.2

 

9.9

 

5.6

Total derivative liabilities

$

48.8

$

57.3

$

60.9

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

 

August 2

July 28

August 2

July 28

 

   

2020

   

2019

   

2020

   

2019

 

Fair Value Hedges

Interest rate contracts - Interest expense

 

$

76.7

$

192.4

$

568.0

$

462.0

Cash Flow Hedges

Recognized in OCI

Interest rate contracts - OCI (pretax)

 

 

(1.1)

 

(6.7)

 

(17.6)

 

(21.3)

Reclassified from OCI

Interest rate contracts - Interest expense

 

 

(6.4)

 

1.1

 

(11.5)

 

5.7

Not Designated as Hedges

Interest rate contracts - Interest expense *

 

$

(2.2)

$

(9.4)

$

(3.0)

$

(21.1)

Foreign exchange contracts - Administrative and operating expenses *

 

 

(47.2)

 

8.1

 

47.3

 

24.6

Total not designated

$

(49.4)

$

(1.3)

$

44.3

$

3.5

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

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):

August 2, 2020

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Cash Collateral Received/Paid

Net
Amount

 

Assets

    

    

    

    

    

    

    

External

$

3.7

$

(.2)

$

3.5

John Deere

 

804.5

(35.4)

 

769.1

Liabilities

External

 

6.2

 

(.2)

 

6.0

John Deere

 

42.6

 

(35.4)

 

7.2

November 3, 2019

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Cash Collateral Received/Paid

Net
Amount

 

Assets

    

    

    

    

    

    

    

External

$

1.9

$

(.2)

 

$

1.7

John Deere

 

331.9

 

(42.6)

 

289.3

Liabilities

External

 

9.9

 

(.2)

 

9.7

John Deere

 

47.4

 

(42.6)

 

4.8

July 28, 2019

    

    

    

    

    

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Cash Collateral Received/Paid

Net
Amount

 

Assets

 

External

$

4.8

$

(.5)

$

4.3

John Deere

 

235.3

(48.7)

 

186.6

Liabilities

External

 

5.6

 

(.5)

 

5.1

John Deere

 

55.3

 

(48.7)

 

6.6