Annual report pursuant to Section 13 and 15(d)

Derivative Financial Instruments

v3.23.4
Derivative Financial Instruments
 12 Months Ended
Dec. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments [Text Block]
Note 16 : Derivative Financial Instruments
Volume of Derivative Activity
Total gross notional amounts for outstanding derivatives (recorded at fair value) at the end of each period were as follows:
(In Millions)
 Dec 30, 2023 Dec 31, 2022 Dec 25, 2021
Foreign currency contracts $ 30,064  $ 31,603  $ 38,024 
Interest rate contracts 18,363  16,011  15,209 
Other 2,103  2,094  2,517 
Total $ 50,530  $ 49,708  $ 55,750 
The total notional amount of outstanding pay-variable, receive-fixed interest rate swaps was $12.0 billion as of December 30, 2023 and December 31, 2022.
Fair Value of Derivative Instruments in the Consolidated Balance Sheets
December 30, 2023 December 31, 2022
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 255  $ 142  $ 142  $ 290 
Interest rate contracts —  578  —  777 
Total derivatives designated as hedging instruments 255  720  142  1,067 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
314  363  866  194 
Interest rate contracts 261  36  266  12 
Equity contracts 366  —  —  111 
Total derivatives not designated as hedging instruments 941  399  1,132  317 
Total derivatives $ 1,196  $ 1,119  $ 1,274  $ 1,384 
1Derivative assets are recorded as other assets, current and long-term.
2Derivative liabilities are recorded as other liabilities, current and long-term.
3A substantial majority of these instruments mature within 12 months.
Amounts Offset in the Consolidated Balance Sheets
Agreements subject to master netting arrangements with various counterparties, and cash and non-cash collateral posted under such agreements at the end of each period were as follows:
December 30, 2023
Gross Amounts Not Offset in the Balance Sheet
(In Millions) Gross Amounts Recognized Gross Amounts Offset in the Balance Sheet Net Amounts Presented in the Balance Sheet Financial Instruments Cash and Non-Cash Collateral Received or Pledged Net Amount
Assets:
Derivative assets subject to master netting arrangements $ 1,047  $ —  $ 1,047  $ (617) $ (430) $ — 
Reverse repurchase agreements 2,554  —  2,554  —  (2,554) — 
Total assets 3,601  —  3,601  (617) (2,984) — 
Liabilities:
Derivative liabilities subject to master netting arrangements 1,111  —  1,111  (617) (399) 95 
Total liabilities $ 1,111  $ —  $ 1,111  $ (617) $ (399) $ 95 
December 31, 2022
Gross Amounts Not Offset in the Balance Sheet
(In Millions) Gross Amounts Recognized Gross Amounts Offset in the Balance Sheet Net Amounts Presented in the Balance Sheet Financial Instruments Cash and Non-Cash Collateral Received or Pledged Net Amount
Assets:
Derivative assets subject to master netting arrangements $ 1,231  $ —  $ 1,231  $ (546) $ (682) $ 3 
Reverse repurchase agreements 1,701  —  1,701  —  (1,701) — 
Total assets 2,932  —  2,932  (546) (2,383) 3 
Liabilities:
Derivative liabilities subject to master netting arrangements 1,337  —  1,337  (546) (712) 79 
Total liabilities $ 1,337  $ —  $ 1,337  $ (546) $ (712) $ 79 
We obtain and secure available collateral from counterparties against obligations, including securities lending transactions and reverse repurchase agreements, when we deem it appropriate.
Derivatives in Cash Flow Hedging Relationships
The before-tax net gains or losses attributed to the effective portion of cash flow hedges recognized in other comprehensive income (loss) were $3 million net gains in 2023 ($910 million net losses in 2022 and $434 million net losses in 2021). Substantially all of our cash flow hedges are foreign currency contracts for all periods presented.
Amounts excluded from effectiveness testing were $221 million net losses in 2023 ($117 million net losses in 2022 and $19 million net losses in 2021).
For information on the unrealized holding gains (losses) on derivatives reclassified out of accumulated other comprehensive income (loss) into the Consolidated Statements of Income, see "Note 15: Other Comprehensive Income (Loss)" within the Notes to Consolidated Financial Statements.
Derivatives in Fair Value Hedging Relationships
The effects of derivative instruments designated as fair value hedges, recognized in interest and other, net for each period were as follows:
Gains (Losses) Recognized in Statement of Income on Derivatives
Years Ended (In Millions) Dec 30, 2023 Dec 31, 2022 Dec 25, 2021
Interest rate contracts $ 198  $ (1,551) $ (723)
Hedged items (198) 1,551  723 
Total $ —  $ —  $ — 
The amounts recorded on the Consolidated Balance Sheets related to cumulative basis adjustments for fair value hedges for each period were as follows:
Line Item in the Consolidated Balance Sheets in Which the Hedged Item Is Included Carrying Amount of the Hedged Item Assets/(Liabilities) Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount Assets/(Liabilities)
(In Millions) Dec 30, 2023 Dec 31, 2022 Dec 30, 2023 Dec 31, 2022
Long-term debt $ (11,419) $ (11,221) $ 578  $ 776 
Derivatives Not Designated as Hedging Instruments
The effects of derivative instruments not designated as hedging instruments on the Consolidated Statements of Income for each period were as follows:
Years Ended (In Millions) Location of Gains (Losses)
Recognized in Income on Derivatives		 Dec 30, 2023 Dec 31, 2022 Dec 25, 2021
Foreign currency contracts Interest and other, net $ 106  $ 1,492  $ 677 
Interest rate contracts Interest and other, net 50  309  31 
Other Various 325  (502) 360 
Total $ 481  $ 1,299  $ 1,068