Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

v3.22.2.2
Derivative Financial Instruments
 9 Months Ended
Oct. 01, 2022
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments
Note 11 : Derivative Financial Instruments
Volume of Derivative Activity
Total gross notional amounts for outstanding derivatives at the end of each period were as follows: 
(In Millions)
 Oct 1, 2022 Dec 25, 2021
Foreign currency contracts
 $ 32,561  $ 38,024 
Interest rate contracts
 16,760  15,209 
Other
 2,055  2,517 
Total $ 51,376  $ 55,750 
Fair Value of Derivative Instruments
 
 Oct 1, 2022 Dec 25, 2021
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 1  $ 1,164  $ 80  $ 163 
Interest rate contracts
 —  762  774  — 
Total derivatives designated as hedging instruments
 1  1,926  854  163 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
1,703  215  475  297 
Interest rate contracts
 309  23  26  65 
Equity contracts
 —  151  80  4 
Total derivatives not designated as hedging instruments 2,012  389  581  366 
Total derivatives $ 2,013  $ 2,315  $ 1,435  $ 529 
1Derivative assets are recorded as other assets, current and long-term.
2Derivative liabilities are recorded as other liabilities, current and long-term.
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:
Oct 1, 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 $ 1,965  $ —  $ 1,965  $ (653) $ (1,300) $ 12 
Reverse repurchase agreements
 2,150  —  2,150  —  (2,150) — 
Total assets 4,115  —  4,115  (653) (3,450) 12 
Liabilities:
Derivative liabilities subject to master netting arrangements 2,237  —  2,237  (653) (1,350) 234 
Total liabilities $ 2,237  $ —  $ 2,237  $ (653) $ (1,350) $ 234 
Dec 25, 2021
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 $ 1,427  $ —  $ 1,427  $ (332) $ (986) $ 109 
Reverse repurchase agreements 1,595  —  1,595  —  (1,595) — 
Total assets 3,022  —  3,022  (332) (2,581) 109 
Liabilities:
Derivative liabilities subject to master netting arrangements 392  —  392  (332) (60) — 
Total liabilities $ 392  $ —  $ 392  $ (332) $ (60) $ — 
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 $678 million net losses in the third quarter of 2022 and $1.6 billion net losses in the first nine months of 2022 ($28 million net losses in the third quarter of 2021 and $313 million net losses in the first nine months of 2021). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first nine months of 2022 and 2021, 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)
 Oct 1, 2022 Sep 25, 2021 Oct 1, 2022 Sep 25, 2021
Interest rate contracts
 $ (589) $ (55) $ (1,536) $ (532)
Hedged items
 589  55  1,536  532 
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 Sheets 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)
 Oct 1, 2022 Dec 25, 2021 Oct 1, 2022 Dec 25, 2021
Long-term debt $ (11,236) $ (12,772) $ 761  $ (775)
The total notional amount of pay-variable and receive-fixed interest rate swaps was $12.0 billion as of October 1, 2022 and $12.0 billion as of December 25, 2021.
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		 Oct 1, 2022 Sep 25, 2021 Oct 1, 2022 Sep 25, 2021
Foreign currency contracts
Interest and other, net
 $ 771  $ 170  $ 1,952  $ 382 
Interest rate contracts
Interest and other, net
 164  (7) 289  14 
Other
Various
 (97) 84  (562) 279 
Total $ 838  $ 247  $ 1,679  $ 675