| 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 | |
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