Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

v3.20.2
Derivative Financial Instruments
 9 Months Ended
Sep. 26, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments [Text Block]
NOTE 12 : 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)
 Sep 26, 2020 Dec 28, 2019
Foreign currency contracts
 $ 28,743  $ 23,981 
Interest rate contracts
 14,410  14,302 
Other
 1,946  1,753 
Total
 $ 45,099  $ 40,036 
FAIR VALUE OF DERIVATIVE INSTRUMENTS
 
 Sep 26, 2020 Dec 28, 2019
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 233  $ 58  $ 56  $ 159 
Interest rate contracts
 1,677  —  690  9 
Total derivatives designated as hedging instruments
 1,910  58  746  168 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
76  381  179  78 
Interest rate contracts
 3  143  11  54 
Equity contracts
 15  52  50  3 
Total derivatives not designated as hedging instruments
 94  576  240  135 
Total derivatives
 $ 2,004  $ 634  $ 986  $ 303 
1Derivative assets are recorded as other assets, current and non-current.
2Derivative liabilities are recorded as other liabilities, current and non-current.
3The majority of these instruments mature within 12 months.
AMOUNTS OFFSET IN THE CONSOLIDATED CONDENSED BALANCE SHEETS
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:
Sep 26, 2020
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		 $ 1,996  $ —  $ 1,996  $ (328) $ (1,587) $ 81 
Reverse repurchase agreements
 1,250  —  1,250  —  (1,250) — 
Total assets
 3,246  —  3,246  (328) (2,837) 81 
Liabilities:
Derivative liabilities subject to master
netting arrangements		 530  —  530  (328) (202) — 
Total liabilities
 $ 530  $ —  $ 530  $ (328) $ (202) $ — 
Dec 28, 2019
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		 $ 974  $ —  $ 974  $ (144) $ (808) $ 22 
Reverse repurchase agreements 1,850  —  1,850  —  (1,850) — 
Total assets
 2,824  —  2,824  (144) (2,658) 22 
Liabilities:
Derivative liabilities subject to master
netting arrangements		 262  —  262  (144) (72) 46 
Total liabilities
 $ 262  $ —  $ 262  $ (144) $ (72) $ 46 
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 cash flow hedges, recognized in other comprehensive income (loss), were $267 million net gains in the third quarter of 2020 and $286 million net gains in the first nine months of 2020 ($203 million net losses in the third quarter of 2019 and $52 million net losses in the first nine months of 2019). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first nine months of 2020 and 2019, the amounts excluded from effectiveness testing were insignificant.
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 Consolidated Condensed Statements of Income on Derivatives
Three Months Ended Nine Months Ended
(In Millions)
 Sep 26, 2020 Sep 28, 2019 Sep 26, 2020 Sep 28, 2019
Interest rate contracts
 $ (36) $ 273  $ 996  $ 1,312 
Hedged items
 36  (273) (996) (1,312)
Total
 $ —  $ —  $ —  $ — 
The amounts recorded on the Consolidated Condensed Balance Sheets related to cumulative basis adjustments for fair value hedges for each period were as follows:
Line Item in the Consolidated Condensed Balance Sheet in Which the Hedged Item is Included Carrying Amount of the Hedged Item Asset/(Liabilities) Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount Assets/(Liabilities)
(In Millions)
 Sep 26, 2020 Dec 28, 2019 Sep 26, 2020 Dec 28, 2019
Long-term debt $ (13,674) $ (12,678) $ (1,677) $ (681)
The total notional amount of pay-variable and receive-fixed interest rate swaps was $12.0 billion as of September 26, 2020 and as of December 28, 2019.
DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
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 Nine Months Ended
(In Millions)
Location of Gains (Losses)
Recognized in Income on Derivatives
 Sep 26, 2020 Sep 28, 2019 Sep 26, 2020 Sep 28, 2019
Foreign currency contracts
Interest and other, net
 $ (166) $ 150  $ (228) $ 187 
Interest rate contracts
Interest and other, net
 (3) (12) (94) (51)
Other
Various
 138  17  95  198 
Total
 $ (31) $ 155  $ (227) $ 334