Annual report pursuant to Section 13 and 15(d)

Derivative Financial Instruments

v3.20.4
Derivative Financial Instruments
 12 Months Ended
Dec. 26, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments [Text Block]
Note 16 : 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)
 Dec 26, 2020 Dec 28, 2019 Dec 29, 2018
Foreign currency contracts $ 31,209  $ 23,981  $ 19,223 
Interest rate contracts 14,461  14,302  22,447 
Other 2,026  1,753  1,356 
Total $ 47,696  $ 40,036  $ 43,026 
During 2020 and 2019, we did not enter into any new pay-variable, receive-fixed interest rate swaps to hedge against changes in the fair value attributable to benchmark interest rates related to our outstanding senior notes. In 2018, we entered into $7.1 billion of such swaps and designated them as fair value hedges. The total notional amount of these swaps was $12.0 billion as of December 26, 2020 and $12.0 billion as of December 28, 2019. In 2019, we unwound $7.1 billion of swaps, resulting in a $111 million gain to be amortized over the remaining life of the debt.
Fair Value of Derivative Instruments in the Consolidated Balance Sheets
December 26, 2020 December 28, 2019
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments
Foreign currency contracts3
$ 551  $ 2  $ 56  $ 159 
Interest rate contracts 1,498  —  690  9 
Total derivatives designated as hedging instruments 2,049  2  746  168 
Derivatives not designated as hedging instruments
Foreign currency contracts3
142  685  179  78 
Interest rate contracts 3  128  11  54 
Equity contracts 48  —  50  3 
Total derivatives not designated as hedging instruments 193  813  240  135 
Total derivatives $ 2,242  $ 815  $ 986  $ 303 
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 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:
December 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 $ 2,235  $ —  $ 2,235  $ (264) $ (1,904) $ 67 
Reverse repurchase agreements 1,900  —  1,900  —  (1,900) — 
Total assets 4,135  —  4,135  (264) (3,804) 67 
Liabilities:
Derivative liabilities subject to master netting arrangements 711  —  711  (264) (447) — 
Total liabilities $ 711  $ —  $ 711  $ (264) $ (447) $ — 
December 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 the effective portion of cash flow hedges recognized in other comprehensive income (loss) were $806 million net gains in 2020 ($11 million net losses in 2019 and $310 million net losses in 2018). Substantially all of our cash flow hedges are foreign currency contracts for all periods presented.
Amounts excluded from effectiveness testing were insignificant during all periods presented.
For information on the unrealized holding gains (losses) on derivatives reclassified out of accumulated other comprehensive income into the Consolidated Statements of Income, see "Note 15: Other Comprehensive Income (Loss)."
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 Statement of Income on Derivatives
Years Ended (In Millions) Dec 26, 2020 Dec 28, 2019 Dec 29, 2018
Interest rate contracts $ 817  $ 1,071  $ (138)
Hedged items (817) (1,071) 138 
Total $ —  $ —  $ — 
The amounts recorded on the Consolidated Balance Sheet related to cumulative basis adjustments for fair value hedges for each period were as follows:
Line Item in the Consolidated 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)
Years Ended (In Millions) Dec 26, 2020 Dec 28, 2019 Dec 26, 2020 Dec 28, 2019
Long-term debt $ (13,495) $ (12,678) $ (1,498) $ (681)
Derivatives Not Designated as Hedging Instruments
The effects of derivative instruments not designated as hedging instruments on the Consolidated Statements of Income for each period were as follows:
Years Ended (In Millions) Location of Gains (Losses)
Recognized in Income on Derivatives		 Dec 26, 2020 Dec 28, 2019 Dec 29, 2018
Foreign currency contracts Interest and other, net $ (572) $ 204  $ 372 
Interest rate contracts Interest and other, net (90) (32) 9 
Other Various 284  297  (147)
Total $ (378) $ 469  $ 234