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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Aug. 01, 2021

FAIR VALUE MEASUREMENTS

Fair Value of Financial Instruments

The fair values of financial instruments that do not approximate the carrying values were as follows in millions of dollars. Long-term borrowings exclude finance lease liabilities (see Note 17).

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August 1, 2021

​

November 1, 2020

​

August 2, 2020

​

​

Carrying Value

​

Fair Value

​

Carrying Value

​

Fair Value

​

Carrying Value

​

Fair Value

Financing receivables – net:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equipment operations

​

$

89

​

$

85

​

$

105

​

$

103

​

$

111

​

$

102

​

Financial services

​

​

31,360

​

​

31,430

​

​

29,645

​

​

29,838

​

27,703

​

​

27,929

​

Total

​

$

31,449

​

$

31,515

​

$

29,750

​

$

29,941

​

$

27,814

​

$

28,031

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Financing receivables securitized – net:

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equipment operations

​

$

13

​

$

13

​

$

26

​

$

26

​

$

37

​

$

34

​

Financial services

​

​

5,388

​

​

5,454

​

​

4,677

​

​

4,773

​

​

5,432

​

​

5,544

​

Total

​

$

5,401

​

$

5,467

​

$

4,703

​

$

4,799

​

$

5,469

​

$

5,578

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Short-term securitization borrowings:

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equipment operations

​

$

12

​

$

13

​

$

26

​

$

26

​

$

37

​

$

37

​

Financial services

​

​

5,265

​

​

5,289

​

​

4,656

​

​

4,698

​

​

5,324

​

​

5,381

​

Total

​

$

5,277

​

$

5,302

​

$

4,682

​

$

4,724

​

$

5,361

​

$

5,418

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Long-term borrowings due within one year:

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equipment operations

​

$

1,239

​

$

1,257

​

$

79

$

78

​

$

507

​

$

504

​

Financial services

​

​

7,127

​

​

7,183

​

6,870

​

6,936

​

6,114

​

​

6,168

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Total

​

$

8,366

​

$

8,440

​

$

6,949

​

$

7,014

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$

6,621

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$

6,672

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Long-term borrowings:

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​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

​

Equipment operations

​

$

8,940

​

$

10,586

​

$

10,085

$

11,837

​

$

10,184

​

$

12,163

​

Financial services

​

​

23,298

​

​

23,759

​

22,610

​

23,170

​

23,820

​

​

24,464

​

Total

​

$

32,238

​

$

34,345

​

$

32,695

​

$

35,007

​

$

34,004

​

$

36,627

​

Fair value measurements above were Level 3 for all financing receivables, Level 3 for equipment operations short-term securitization borrowings, and Level 2 for all other borrowings.

Assets and Liabilities Measured at Fair Value on a Recurring Basis

Assets and liabilities measured at fair value on a recurring basis in millions of dollars follow, excluding the Company’s cash equivalents, which were carried at cost that approximates fair value and consisted primarily of money market funds and time deposits. Level 3 marketable securities were transferred to Level 2 in 2021.

​	​	​	​	​	​	​	​	​	​	​
​		August 1			November 1			August 2
​	​	2021		​	2020		​	2020
Level 1:	​	​	​	​	​	​	​	​	​	​
Marketable securities	​	​	​	​	​	​	​	​	​	​
International equity securities	​	$	3	​	$	2	​	$	2	​
U.S. equity fund	​	​	74	​	​	62	​	​	68	​
U.S. government debt securities	​	​	60	​		55	​		50	​
Total Level 1 marketable securities	​	​	137	​	​	119	​	​	120	​
​	​	​	​	​	​	​	​	​	​	​
Level 2:	​	​	​	​	​	​	​	​	​	​
Marketable securities	​	​	​	​	​	​	​	​	​	​
U.S. government debt securities	​	​	124	​	​	113	​	​	105	​
Municipal debt securities	​	​	71	​		68	​		64	​
Corporate debt securities	​	​	217	​		188	​		185	​
International debt securities	​	​	3	​	​	2	​	​	2	​
Mortgage-backed securities	​	​	136	​		147	​		159	​
Total Level 2 marketable securities	​	​	551	​		518	​		515	​
Other assets	​	​	​	​	​	​	​	​	​	​
Derivatives:	​	​	​	​	​	​	​	​	​	​
Interest rate contracts	​	​	389	​		669	​		895	​
Foreign exchange contracts	​	​	41	​		48	​		57	​
Cross-currency interest rate contracts	​	​	2	​		8	​		9	​
Total Level 2 other assets		​	432	​	​	725	​	​	961	​
Accounts payable and accrued expenses	​	​	​	​	​	​	​	​	​	​
Derivatives:	​	​	​	​	​	​	​	​	​	​
Interest rate contracts		​	83	​	​	88	​	​	115	​
Foreign exchange contracts	​	​	67	​		26	​		55	​
Cross-currency interest rate contracts	​	​	2	​	​	1	​	​	​	​
Total Level 2 accounts payable and accrued expenses		​	152	​	​	115	​	​	170	​
​	​	​	​	​	​	​	​	​	​	​
Level 3:	​	​	​	​	​	​	​	​	​	​
Marketable securities	​	​	​	​	​	​	​	​	​	​
International debt securities		​	​	​	​	4	​	​	5	​

​

Contractual Maturities of Debt Securities

The contractual maturities of debt securities at August 1, 2021 in millions of dollars are shown below. Actual maturities may differ from those scheduled as a result of prepayments by the issuers. Because of the potential for prepayment on mortgage-backed securities, they are not categorized by contractual maturity. Mortgage-backed securities were primarily issued by U.S. government sponsored enterprises.

​	​	​	​	​	​	​	​
​	​	Amortized		​	Fair		​
​	​	Cost		​	Value		​
Due in one year or less		$	21	​	$	21	​
Due after one through five years	​	​	82	​	​	86	​
Due after five through 10 years	​	​	136	​	​	142	​
Due after 10 years	​	​	213	​	​	226	​
Mortgage-backed securities	​	​	132	​	​	136	​
Debt securities		$	584		$	611	​

​

Fair Value, Nonrecurring Level 3 Measurements from Impairments

Fair value, nonrecurring measurements from impairments, excluding financing receivables with specific allowances which were not significant, were as follows in millions of dollars. The fair value measurement losses for the investment in unconsolidated affiliates during the nine months ended August 2, 2020 were Level 1. The other fair value measurements were Level 3. Equipment on operating leases – net and Other assets fair values for November 1, 2020 represents the fair value assessment at May 3, 2020.

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Fair Value

​

Losses

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Three Months Ended

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Nine Months Ended

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​

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August 1

​

November 1

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August 2

​

August 1

​

August 2

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August 1

​

August 2

​

​

2021

2020

2020

2021

2020

2021

2020

Other receivables

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​

​

​

$

1

​

$

1

​

​

​

​

$

2

​

​

​

​

$

2

​

Equipment on operating leases – net

​

​

​

​

$

371

​

​

​

​

​

​

​

​

​

​

​

​

​

$

22

​

Property and equipment – net

​

​

​

​

$

135

​

$

8

​

​

​

​

$

5

​

$

44

​

$

67

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Investments in unconsolidated affiliates

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​

​

​

$

19

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​

​

​

​

​

​

​

​

​

​

​

​

$

20

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Other intangible assets – net

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​

​

​

​

​

​

​

​

​

​

​

​

$

2

​

​

​

​

$

2

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Other assets

​

​

​

​

$

59

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$

19

​

​

​

​

$

24

​

$

6

​

$

34

​

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- Definition

Tabular disclosure of assets and liabilities by class, including financial instruments measured at fair value that are classified in shareholders' equity, if any, that are measured at fair value on a nonrecurring basis in periods after initial recognition (for example, impaired assets). Disclosures may include, but are not limited to: (a) the fair value measurements recorded and the reasons for the measurements and (b) the level within the fair value hierarchy in which the fair value measurements are categorized in their entirety (levels 1, 2, 3).

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-Name Accounting Standards Codification
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