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Derivative Instruments (Tables)
9 Months Ended
Jul. 31, 2022
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 sheets related to borrowings designated in fair value hedging relationships were as follows (in millions of dollars). Fair value hedging adjustments are included in the carrying amount of the hedged item.

Active Hedging Relationships

Discontinued Hedging Relationship

Carrying

Cumulative

Carrying Amount

Cumulative

Amount of

Fair Value

of Formerly

Fair Value

July 31, 2022

Hedged Item

Hedging Adjustment

Hedged Item

Hedging Adjustment

Current maturities of long-term external borrowings

$

2,604.6

$

5.0

Long-term external borrowings

$

7,178.1

$

(385.9)

5,728.0

39.5

October 31, 2021

Current maturities of long-term external borrowings

$

191.2

$

2.7

$

1,997.4

$

(1.7)

Long-term external borrowings

7,139.0

48.3

6,287.3

222.7

August 1, 2021

Current maturities of long-term external borrowings

$

188.7

$

4.0

$

1,898.4

$

(.9)

Long-term external borrowings

7,975.1

261.3

5,830.9

190.3

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the consolidated balance sheets were as follows (in millions of dollars):

    

July 31

    

October 31

    

August 1

 

2022

2021

2021

 

Receivables from John Deere

Designated as hedging instruments:

Interest rate contracts

$

81.8

$

162.8

$

321.0

Not designated as hedging instruments:

Interest rate contracts

 

82.5

 

23.4

 

10.7

Cross-currency interest rate contracts

 

4.0

 

5.4

 

2.0

Total not designated

 

86.5

 

28.8

 

12.7

Other Assets

Not designated as hedging instruments:

Foreign currency exchange contracts

 

1.8

 

1.1

 

.5

Total derivative assets

$

170.1

$

192.7

$

334.2

Other Payables to John Deere

Designated as hedging instruments:

Interest rate contracts

$

391.0

$

79.0

$

32.3

Not designated as hedging instruments:

Interest rate contracts

 

54.5

 

17.1

 

11.1

Cross-currency interest rate contracts

1.1

1.5

 

2.3

Total not designated

 

55.6

 

18.6

 

13.4

Accounts Payable and Accrued Expenses

Not designated as hedging instruments:

Foreign currency exchange contracts

 

22.1

 

4.8

 

1.7

Total derivative liabilities

$

468.7

$

102.4

$

47.4

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 statements of consolidated income consisted of the following (in millions of dollars):

Three Months Ended

Nine Months Ended

 

July 31

August 1

July 31

August 1

 

   

2022

   

2021

   

2022

   

2021

 

Fair Value Hedges

Interest rate contracts - Interest expense

 

$

145.5

$

139.9

$

(483.5)

$

(70.7)

Cash Flow Hedges

Recognized in OCI

Interest rate contracts - OCI (pretax)

 

 

.8

 

(.9)

 

51.4

 

(.8)

Reclassified from OCI

Interest rate contracts - Interest expense

 

 

3.6

 

(1.6)

 

2.7

 

(8.2)

Not Designated as Hedges

Interest rate contracts - Interest expense *

 

$

(3.8)

$

(2.9)

$

39.3

$

(4.5)

Foreign currency exchange contracts - Administrative and operating expenses *

 

 

18.5

 

(4.5)

 

83.0

 

(20.0)

Total not designated

$

14.7

$

(7.4)

$

122.3

$

(24.5)

*    Includes interest and foreign currency 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):

July 31, 2022

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Collateral

Net
Amount

 

Assets

    

    

    

    

    

    

    

External

$

1.8

$

(.4)

$

1.4

John Deere

 

168.3

(105.3)

 

63.0

Liabilities

External

 

22.1

 

(.4)

 

21.7

John Deere

 

446.6

 

(105.3)

 

 

341.3

October 31, 2021

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Collateral

Net
Amount

 

Assets

    

    

    

    

    

    

    

External

$

1.1

$

(.3)

$

.8

John Deere

 

191.6

 

(97.6)

 

 

94.0

Liabilities

External

 

4.8

 

(.3)

 

 

4.5

John Deere

 

97.6

 

(97.6)

 

 

August 1, 2021

    

    

    

    

    

 

Derivatives:

Gross Amounts
Recognized

Netting
Arrangements

Collateral

Net
Amount

 

Assets

 

 

External

$

.5

$

(.1)

$

.4

John Deere

 

333.7

(43.1)

 

290.6

Liabilities

External

 

1.7

 

(.1)

 

1.6

John Deere

 

45.7

 

(43.1)

 

 

2.6