Derivative Instruments (Tables)

9 Months Ended

Jul. 30, 2023

Derivative Instruments

Fair Value of Derivative Instruments in Consolidated Balance Sheet and Associated Notional Amounts

The fair value of the Company’s derivative instruments and the associated notional amounts were as follows (in millions of dollars):

		July 30, 2023						October 30, 2022						July 31, 2022
				Fair Value						Fair Value						Fair Value
		Notional		Asset		Liability		Notional		Asset		Liability		Notional		Asset		Liability
Cash flow hedges:
Interest rate contracts - swaps	$	1,500.0	$	47.8	$	2.5	$	1,950.0	$	87.5			$	2,350.0	$	58.8	$	.9
Fair value hedges:
Interest rate contracts - swaps		11,479.3		4.0		667.5		9,448.9			$	947.9		7,600.0		23.0		390.1
Not designated as hedging instruments:
Interest rate contracts - swaps		7,392.1		92.6		23.8		3,931.3		75.5		25.2		3,313.2		48.6		20.6
Foreign currency exchange contracts		1,433.0		8.4		5.2		1,069.0		1.3		14.1		930.0		1.8		22.1
Cross-currency interest rate contracts		155.2				24.5		134.2		2.8		2.1		125.7		4.0		1.1
Interest rate caps - sold		1,433.8				25.1		1,020.3				49.0		1,144.8				33.9
Interest rate caps - purchased		1,433.8		25.1				1,020.3		49.0				1,144.8		33.9

Amounts Recorded in the Consolidated Balance Sheet Related to Borrowings Designated in Fair Value Hedging Relationships

	Active Hedging Relationships				Discontinued Hedging Relationships
	Carrying		Cumulative		Carrying Amount		Cumulative
	Amount of		Fair Value		of Formerly		Fair Value
July 30, 2023	Hedged Item		Hedging Adjustment		Hedged Item		Hedging Adjustment
Current maturities of long-term external borrowings					$	2,323.8	$	25.1
Long-term external borrowings	$	10,760.0	$	(667.4)		6,319.1		(265.0)
October 30, 2022
Current maturities of long-term external borrowings					$	2,514.9	$	15.5
Long-term external borrowings	$	8,453.6	$	(950.1)		5,519.6		(19.1)
July 31, 2022
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

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 30		July 31		July 30		July 31
	2023		2022		2023		2022
Fair Value Hedges
Interest rate contracts - Interest expense	$	(356.2)	$	145.5	$	(124.8)	$	(483.5)
Cash Flow Hedges
Recognized in OCI:
Interest rate contracts - OCI (pretax)	$	23.8	$	.8	$	18.2	$	51.4
Reclassified from OCI:
Interest rate contracts - Interest expense		18.3		3.6		54.5		2.7
Not Designated as Hedges
Interest rate contracts - Interest expense *	$	25.0	$	(3.8)	$	27.4	$	39.3
Foreign currency exchange contracts - Administrative and operating expenses *		(40.4)		18.5		(100.2)		83.0
Total not designated	$	(15.4)	$	14.7	$	(72.8)	$	122.3

*    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 30, 2023
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	8.4	$	(.1)		$	8.3
John Deere		169.5		(108.5)			61.0
Liabilities
External		5.2		(.1)			5.1
John Deere		743.4		(108.5)			634.9

October 30, 2022
Derivatives:	Gross Amounts Recognized		Netting Arrangements		Collateral	Net Amount
Assets
External	$	1.3	$	(1.1)		$	.2
John Deere		214.8		(128.3)			86.5
Liabilities
External		14.1		(1.1)			13.0
John Deere		1,024.2		(128.3)			895.9

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