Derivative Financial Instruments
|6 Months Ended|
Jul. 01, 2023
|Derivative Instruments and Hedging Activities Disclosure [Abstract]|
|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:
Fair Value of Derivative Instruments in the Consolidated Condensed Balance Sheets
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 Condensed 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:
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 $245 million net losses in the second quarter of 2023 and $191 million net losses in the first six months of 2023 ($782 million net losses in the second quarter of 2022 and $897 million net losses in the first six months of 2022). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first six months of 2023 and 2022, 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:
The amounts recorded on the Consolidated Condensed Balance Sheets related to cumulative basis adjustments for fair value hedges for each period were as follows:
The total notional amount of outstanding pay-variable, receive-fixed interest rate swaps was $12.0 billion as of July 1, 2023 and December 31, 2022.
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:
The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts.
Reference 1: http://www.xbrl.org/2003/role/disclosureRef