DERIVATIVE INSTRUMENTS

9 Months Ended

Jul. 30, 2023

DERIVATIVE INSTRUMENTS

DERIVATIVE INSTRUMENTS

(18)  Derivative Instruments

The fair value of the Company’s derivative instruments and the associated notional amounts were as follows in millions of dollars. Assets are recorded in “Other assets” on the consolidated balance sheets, while liabilities are recorded in “Accounts payable and accrued expenses.”

	July 30, 2023						October 30, 2022						July 31, 2022
			Fair Value						Fair Value						Fair Value
	Notional		Assets		Liabilities		Notional		Assets		Liabilities		Notional		Assets		Liabilities
Cash flow hedges:
Interest rate contracts	$	1,500	$	48	$	3	$	1,950	$	87			$	2,350	$	59	$	1
Fair value hedges:
Interest rate contracts		12,160		4		729		10,112			$	1,004		8,303		23		433
Not designated as hedging instruments:
Interest rate contracts		13,233		221		109		10,568		212		107		9,880		163		79
Foreign exchange contracts		8,630		51		82		8,185		66		118		7,457		30		149
Cross-currency interest rate contracts		155				25		260		8		2		276		5		5

The amounts recorded in the consolidated balance sheet 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 Relationships
	Carrying Amount		Cumulative Fair Value		Carrying Amount of		Cumulative Fair Value
	of Hedged Item		Hedging Amount		Formerly Hedged Item		Hedging Amount
July 30, 2023
Short-term borrowings					$	2,324	$	25
Long-term borrowings	$	11,379	$	(728)		6,319		(265)
October 30, 2022
Short-term borrowings					$	2,515	$	15
Long-term borrowings	$	9,060	$	(1,006)		5,520		(19)
July 31, 2022
Short-term borrowings					$	2,605	$	5
Long-term borrowings	$	7,835	$	(430)		5,728		39

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	$	(375)	$	149	$	(146)	$	(507)
Cash Flow Hedges:
Recognized in OCI
Interest rate contracts - OCI (pretax)	$	24	$	1	$	19	$	52
Reclassified from OCI
Interest rate contracts - Interest expense		18		3		52
Not Designated as Hedges:
Interest rate contracts - Net sales	$	6					$	44
Interest rate contracts - Interest expense *		48	$	(18)	$	45		41
Foreign exchange contracts - Net sales		3		(1)		2		(2)
Foreign exchange contracts - Cost of sales		(78)		(29)		(14)		(109)
Foreign exchange contracts - Other operating expenses *		(142)		(20)		(157)		153
Total not designated	$	(163)	$	(68)	$	(124)	$	127

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

Certain of the Company’s derivative agreements contain credit support provisions that may require the Company to post collateral based on the size of the net liability positions and credit ratings. The aggregate fair value of all derivatives with credit-risk-related contingent features that were in a net liability position at July 30, 2023, October 30, 2022, and July 31, 2022, was $865 million, $1,113 million, and $518 million, respectively. In accordance with the limits established in these agreements, the Company posted $435 million, $701 million, and $238 million of cash collateral at July 30, 2023, October 30, 2022, and July 31, 2022, respectively.

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
July 30, 2023	Recognized		Arrangements		Collateral		Net Amount
Assets	$	324	$	(160)	$	(28)	$	136
Liabilities		948		(160)		(435)		353

	Gross Amounts		Netting
October 30, 2022	Recognized		Arrangements		Collateral		Net Amount
Assets	$	373	$	(179)	$	(54)	$	140
Liabilities		1,231		(179)		(701)		351

	Gross Amounts		Netting
July 31, 2022	Recognized		Arrangements		Collateral		Net Amount
Assets	$	280	$	(125)	$	(40)	$	115
Liabilities		667		(125)		(238)		304