Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments (Tables)

v3.5.0.2
Derivative Financial Instruments (Tables)
6 Months Ended
Jul. 02, 2016
Derivative [Line Items]  
Schedule of Notional Amounts of Outstanding Derivative Positions [Table Text Block]
Total gross notional amounts for outstanding derivatives (recorded at fair value) at the end of each period were as follows: 
(In Millions)
 
Jul 2,
2016
 
Dec 26,
2015
 
Jun 27,
2015
Currency forwards
 
$
11,707

 
$
11,212

 
$
12,051

Currency interest rate swaps
 
6,975

 
5,509

 
4,789

Embedded debt derivatives
 
3,600

 
3,600

 
3,600

Interest rate swaps
 
6,439

 
5,212

 
1,006

Total return swaps
 
1,228

 
1,061

 
1,107

Other
 
79

 
61

 
72

Total
 
$
30,028

 
$
26,655

 
$
22,625

The gross notional amounts for currency forwards and currency interest rate swaps (presented by currency) at the end of each period were as follows:
(In Millions)
 
Jul 2,
2016
 
Dec 26,
2015
 
Jun 27,
2015
Chinese yuan
 
$
1,852

 
$
2,231

 
$
3,380

Euro
 
6,572

 
6,084

 
6,193

Israeli shekel
 
2,069

 
1,674

 
1,632

Japanese yen
 
3,184

 
2,663

 
2,846

Other
 
5,005

 
4,069

 
2,789

Total
 
$
18,682

 
$
16,721

 
$
16,840

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The fair value of our derivative instruments at the end of each period were as follows:
 
 
July 2, 2016
 
December 26, 2015
(In Millions)
 
Other
Current
Assets
 
Other
Long-Term
Assets
 
Other
Accrued
Liabilities
 
Other
Long-Term
Liabilities
 
Other
Current
Assets
 
Other
Long-Term
Assets
 
Other
Accrued
Liabilities
 
Other
Long-Term
Liabilities
Derivatives designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Currency forwards
 
$
192

 
$
6

 
$
28

 
$
6

 
$
20

 
$
3

 
$
83

 
$
2

Interest rate swaps
 

 
209

 

 

 

 
1

 

 
14

Currency interest rate swaps
 

 
21

 

 

 

 
7

 

 

Other
 

 

 

 

 

 

 

 

Total derivatives designated as hedging instruments
 
192

 
236

 
28

 
6

 
20

 
11

 
83

 
16

Derivatives not designated as hedging instruments:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Currency forwards
 
50

 
1

 
42

 

 
20

 

 
63

 

Currency interest rate swaps
 
162

 
16

 
247

 

 
370

 
18

 
52

 

Embedded debt derivatives
 

 

 

 
13

 

 

 

 
17

Interest rate swaps
 
1

 

 
28

 

 
2

 

 
12

 

Total return swaps
 

 

 

 

 
32

 

 
2

 

Other
 
4

 
9

 

 

 
1

 
11

 

 

Total derivatives not designated as hedging instruments
 
217

 
26

 
317

 
13

 
425

 
29

 
129

 
17

Total derivatives
 
$
409

 
$
262

 
$
345

 
$
19

 
$
445

 
$
40

 
$
212

 
$
33

Offsetting Assets And Liabilities [Table Text Block]
The gross amounts of our derivative instruments and reverse repurchase 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:
 
 
July 2, 2016
 
 
 
 
 
 
 
 
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
 
$
665

 
$

 
$
665

 
$
(252
)
 
$
(285
)
 
$
128

Reverse repurchase agreements
 
1,318

 

 
1,318

 

 
(1,318
)
 

Total assets
 
1,983

 

 
1,983

 
(252
)
 
(1,603
)
 
128

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities subject to master netting arrangements
 
364

 

 
364

 
(252
)
 
(112
)
 

Total liabilities
 
$
364

 
$

 
$
364

 
$
(252
)
 
$
(112
)
 
$

 
 
December 26, 2015
 
 
 
 
 
 
 
 
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
 
$
482

 
$

 
$
482

 
$
(201
)
 
$
(188
)
 
$
93

Reverse repurchase agreements
 
3,368

 

 
3,368

 

 
(3,368
)
 

Total assets
 
3,850

 

 
3,850

 
(201
)
 
(3,556
)
 
93

Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
Derivative liabilities subject to master netting arrangements
 
242

 

 
242

 
(201
)
 
(27
)
 
14

Total liabilities
 
$
242

 
$

 
$
242

 
$
(201
)
 
$
(27
)
 
$
14

Schedule of Derivative Instruments, Effect on Other Comprehensive Income (Loss) [Table Text Block]
The before-tax gains (losses), attributed to the effective portion of cash flow hedges, recognized in other comprehensive income (loss) for each period were as follows:
 
 
Three Months Ended
 
Six Months Ended
(In Millions)
 
Jul 2,
2016
 
Jun 27,
2015
 
Jul 2,
2016
 
Jun 27,
2015
Currency forwards
 
$
62

 
$
29

 
$
291

 
$
(200
)
Currency interest rate swaps and other
 
(23
)
 

 
(9
)
 

Total
 
$
39

 
$
29

 
$
282

 
$
(200
)
Not Designated as Hedging Instrument [Member]  
Derivative [Line Items]  
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]
The effects of derivative instruments not designated as hedging instruments on the consolidated condensed statements of income for each period were as follows:
 
 
 
 
Three Months Ended
 
Six Months Ended
(In Millions)
 
Location of Gains (Losses)
Recognized in Income on Derivatives
 
Jul 2,
2016
 
Jun 27,
2015
 
Jul 2,
2016
 
Jun 27,
2015
Currency forwards
 
Interest and other, net
 
$
41

 
$
4

 
$
(4
)
 
$
(14
)
Currency interest rate swaps
 
Interest and other, net
 
23

 
(50
)
 
(170
)
 
203

Interest rate swaps
 
Interest and other, net
 
(8
)
 
1

 
(15
)
 
(5
)
Total return swaps
 
Various
 
5

 
11

 
14

 
42

Other
 
Gains (losses) on equity investments, net
 
(2
)
 

 
(3
)
 
(6
)
Other
 
Interest and other, net
 
3

 
(5
)
 
7

 
(8
)
Total
 
 
 
$
62

 
$
(39
)
 
$
(171
)
 
$
212

Interest and other, net [Member] | Fair Value Hedging [Member]  
Derivative [Line Items]  
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]
The effects of derivative instruments designated as fair value hedges, recognized in interest and other, net for each period were as follows:
 
 
Three Months Ended
 
Six Months Ended
(In Millions)
 
Jul 2,
2016
 
Jun 27,
2015
 
Jul 2,
2016
 
Jun 27,
2015
Interest rate swap
 
$
60

 
$

 
$
222

 
$

Hedged item
 
(60
)
 

 
(222
)
 

Total
 
$

 
$

 
$

 
$