| Derivative Financial Instruments |
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| 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:
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(In Millions) |
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Jun 29, 2024 |
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Dec 30, 2023 |
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Foreign currency contracts |
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$ |
32,303 |
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$ |
30,064 |
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Interest rate contracts |
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17,882 |
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18,363 |
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Other |
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2,539 |
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2,103 |
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| Total |
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$ |
52,724
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$ |
50,530
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The total notional amount of outstanding pay-variable, receive-fixed interest rate swaps was $12.0 billion as of June 29, 2024 and December 30, 2023.
Fair Value of Derivative Instruments in the Consolidated Condensed Balance Sheets
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Jun 29, 2024 |
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Dec 30, 2023 |
(In Millions) |
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Assets1
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Liabilities2
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Assets1
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Liabilities2
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Derivatives designated as hedging instruments: |
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Foreign currency contracts3
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$ |
38 |
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$ |
418 |
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$ |
255 |
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$ |
142 |
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Interest rate contracts |
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— |
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699 |
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— |
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578 |
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Total derivatives designated as hedging instruments |
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$ |
38
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$ |
1,117
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$ |
255
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$ |
720
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Derivatives not designated as hedging instruments: |
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Foreign currency contracts3
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$ |
407 |
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$ |
56 |
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$ |
314 |
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$ |
363 |
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Interest rate contracts |
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238 |
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7 |
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261 |
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36 |
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Equity contracts |
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131 |
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4 |
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366 |
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— |
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| Total derivatives not designated as hedging instruments |
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$ |
776
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$ |
67
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$ |
941
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$ |
399
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| Total derivatives |
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$ |
814
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$ |
1,184
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$ |
1,196
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$ |
1,119
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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:
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Jun 29, 2024 |
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Gross Amounts Not Offset in the Balance Sheet |
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(In Millions) |
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Gross Amounts Recognized |
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Gross Amounts Offset in the Balance Sheet |
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Net Amounts Presented in the Balance Sheet |
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Financial Instruments |
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Cash and Non-Cash Collateral Received or Pledged |
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Net Amount |
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Assets: |
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| Derivative assets subject to master netting arrangements |
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$ |
706 |
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$ |
— |
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$ |
706 |
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$ |
(331) |
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$ |
(375) |
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$ |
— |
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Reverse repurchase agreements |
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2,915 |
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— |
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2,915 |
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— |
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(2,915) |
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— |
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| Total assets |
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$ |
3,621
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$ |
—
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$ |
3,621
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$ |
(331) |
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$ |
(3,290) |
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$ |
—
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| Liabilities: |
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| Derivative liabilities subject to master netting arrangements |
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$ |
1,178 |
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$ |
— |
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$ |
1,178 |
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$ |
(331) |
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$ |
(742) |
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$ |
105 |
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| Total liabilities |
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$ |
1,178
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$ |
—
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$ |
1,178
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$ |
(331) |
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$ |
(742) |
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$ |
105
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Dec 30, 2023 |
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Gross Amounts Not Offset in the Balance Sheet |
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| (In Millions) |
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Gross Amounts Recognized |
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Gross Amounts Offset in the Balance Sheet |
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Net Amounts Presented in the Balance Sheet |
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Financial Instruments |
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Cash and Non-Cash Collateral Received or Pledged |
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Net Amount |
| Assets: |
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| Derivative assets subject to master netting arrangements |
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$ |
1,047 |
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$ |
— |
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$ |
1,047 |
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$ |
(617) |
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$ |
(430) |
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$ |
— |
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| Reverse repurchase agreements |
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2,554 |
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— |
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2,554 |
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— |
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(2,554) |
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— |
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| Total assets |
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$ |
3,601
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$ |
—
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$ |
3,601
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$ |
(617) |
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$ |
(2,984) |
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$ |
—
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| Liabilities: |
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| Derivative liabilities subject to master netting arrangements |
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$ |
1,111 |
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$ |
— |
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$ |
1,111 |
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$ |
(617) |
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$ |
(399) |
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$ |
95 |
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| Total liabilities |
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$ |
1,111
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$ |
—
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$ |
1,111
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$ |
(617) |
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$ |
(399) |
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$ |
95
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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 $227 million net losses in the second quarter of 2024 and $658 million net losses in the first six months of 2024 ($245 million net losses in the second quarter of 2023 and $191 million net losses in the first six months of 2023). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first six months of 2024 and 2023, the amounts excluded from effectiveness testing were insignificant.
Derivatives in Fair Value Hedging Relationships
The effects of derivative instruments designated as fair value hedges, recognized in interest and other, net for each period were as follows:
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Gains (Losses) on Derivatives Recognized in Consolidated Condensed Statements of Income |
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Three Months Ended |
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Six Months Ended |
(In Millions) |
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Jun 29, 2024 |
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Jul 1, 2023 |
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Jun 29, 2024 |
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Jul 1, 2023 |
Interest rate contracts |
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$ |
24 |
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$ |
(213) |
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$ |
(120) |
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$ |
(21) |
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Hedged items |
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(24) |
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213 |
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120 |
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21 |
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| Total |
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$ |
—
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$ |
—
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$ |
—
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$ |
—
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The amounts recorded on the Consolidated Condensed Balance Sheets related to cumulative basis adjustments for fair value hedges for each period were as follows:
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| Line Item in the Consolidated Condensed Balance Sheets in Which the Hedged Item is Included |
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Carrying Amount of the Hedged Item Assets/(Liabilities) |
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Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount Assets/(Liabilities) |
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(In Millions) |
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Jun 29, 2024 |
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Dec 30, 2023 |
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Jun 29, 2024 |
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Dec 30, 2023 |
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| Long-term debt |
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$ |
(11,299) |
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$ |
(11,419) |
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$ |
698 |
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$ |
578 |
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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:
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Three Months Ended |
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Six Months Ended |
(In Millions) |
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Location of Gains (Losses)
Recognized in Income on Derivatives |
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Jun 29, 2024 |
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Jul 1, 2023 |
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Jun 29, 2024 |
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Jul 1, 2023 |
Foreign currency contracts |
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Interest and other, net |
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$ |
190 |
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$ |
211 |
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$ |
536 |
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$ |
212 |
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Interest rate contracts |
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Interest and other, net |
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34 |
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124 |
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151 |
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90 |
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Other |
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Various |
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56 |
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100 |
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193 |
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215 |
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| Total |
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$ |
280
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$ |
435
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$ |
880
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$ |
517
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