DERIVATIVE INSTRUMENTS (Tables)

9 Months Ended

Jul. 30, 2017

Fair Value Hedge Interest Rate Contracts and Underlying Borrowings

The gains (losses) on these contracts and the underlying borrowings recorded in interest expense follow in millions of dollars:


	Three Months Ended				Nine Months Ended
	July 30		July 31		July 30		July 31
	2017		2016		2017		2016
Interest rate contracts *	$	5	$	82	$	(197)	$	148
Borrowings **		(4)		(80)		200		(147)

* Includes changes in fair values of interest rate contracts excluding net accrued interest income of $16 million and $36 million during the third quarter of 2017 and 2016, respectively, and $64 million and $114 million during the first nine months of 2017 and 2016, respectively.

** Includes adjustments for fair values of hedged borrowings excluding accrued interest expense of $56 million and $75 million during the third quarter of 2017 and 2016, respectively, and $182 million and $217 million during the first nine months of 2017 and 2016, respectively.

Fair Value of Derivative Instruments in Consolidated Balance Sheet

Fair values of derivative instruments in the condensed consolidated balance sheet in millions of dollars follow:


	July 30		October 30		July 31
Other Assets	2017		2016		2016
Designated as hedging instruments:
Interest rate contracts	$	104	$	268	$	443
Cross-currency interest rate contracts		6		11		12
Total designated		110		279		455

Not designated as hedging instruments:
Interest rate contracts		38		26		45
Foreign exchange contracts		32		60		47
Cross-currency interest rate contracts		4		10		12
Total not designated		74		96		104

Total derivative assets	$	184	$	375	$	559

Accounts Payable and Accrued Expenses
Designated as hedging instruments:
Interest rate contracts	$	63	$	10	$	4
Total designated		63		10		4

Not designated as hedging instruments:
Interest rate contracts		18		19		43
Foreign exchange contracts		95		43		48
Cross-currency interest rate contracts		4
Total not designated		117		62		91

Total derivative liabilities	$	180	$	72	$	95

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:


	Expense or	Three Months Ended				Nine Months Ended
	OCI	July 30		July 31		July 30		July 31
	Classification	2017		2016		2017		2016
Fair Value Hedges:
Interest rate contracts	Interest	$	21	$	118	$	(133)	$	262

Cash Flow Hedges:
Recognized in OCI
(Effective Portion):
Interest rate contracts	OCI (pretax) *		(2)		(1)				(4)
Foreign exchange contracts	OCI (pretax) *						(2)		1

Reclassified from OCI
(Effective Portion):
Interest rate contracts	Interest *		(1)		(1)		(2)		(6)
Foreign exchange contracts	Other operating *						(2)		1

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

Not Designated as Hedges:
Interest rate contracts	Interest *	$	11	$	(5)	$	11	$	(2)
Foreign exchange contracts	Cost of sales		(29)		18		(41)		(11)
Foreign exchange contracts	Other operating *		(192)		97		(205)		36
Total not designated		$	(210)	$	110	$	(235)	$	23

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

** The amount is not significant.

Impact on Derivative Assets and Liabilities Related to Netting Arrangements and Collateral

Derivatives are recorded without offsetting for netting arrangements or collateral. The impact on the derivative assets and liabilities related to netting arrangements and any collateral received or paid in millions of dollars follows:


	Gross Amounts		Netting		Collateral
July 30, 2017	Recognized		Arrangements		Received	Net Amount
Assets	$	184	$	(56)		$	128
Liabilities		180		(56)			124


	Gross Amounts		Netting		Collateral
October 30, 2016	Recognized		Arrangements		Received		Net Amount
Assets	$	375	$	(32)	$	(6)	$	337
Liabilities		72		(32)				40


	Gross Amounts		Netting		Collateral
July 31, 2016	Recognized		Arrangements		Received		Net Amount
Assets	$	559	$	(53)	$	(44)	$	462
Liabilities		95		(53)				42