Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

v3.21.2
Derivative Financial Instruments
9 Months Ended
Sep. 25, 2021
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Financial Instruments
Note 12 : 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)
Sep 25, 2021 Dec 26, 2020
Foreign currency contracts
$ 35,012  $ 31,209 
Interest rate contracts
14,960  14,461 
Other
2,419  2,026 
Total $ 52,391  $ 47,696 
Fair Value of Derivative Instruments
 
Sep 25, 2021 Dec 26, 2020
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 99  $ 74  $ 551  $
Interest rate contracts
966  —  1,498  — 
Total derivatives designated as hedging instruments
1,065  74  2,049  2 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
221  378  142  685 
Interest rate contracts
11  84  128 
Equity contracts
29  48  — 
Total derivatives not designated as hedging instruments 236  491  193  813 
Total derivatives $ 1,301  $ 565  $ 2,242  $ 815 
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 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 $ 1,295  $ —  $ 1,295  $ (329) $ (913) $ 53 
Reverse repurchase agreements
1,350  —  1,350  —  (1,350) — 
Total assets 2,645    2,645  (329) (2,263) 53 
Liabilities:
Derivative liabilities subject to master netting arrangements 408  —  408  (329) (79) — 
Total liabilities $ 408  $   $ 408  $ (329) $ (79) $  
Dec 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) $  
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 $28 million net losses in the third quarter of 2021 and $313 million net losses in the first nine months of 2021 ($267 million net gains in the third quarter of 2020 and $286 million net gains in the first nine months of 2020). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first nine months of 2021 and 2020, 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 25, 2021 Sep 26, 2020 Sep 25, 2021 Sep 26, 2020
Interest rate contracts
$ (55) $ (36) $ (532) $ 996 
Hedged items
55  36  532  (996)
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 25, 2021 Dec 26, 2020 Sep 25, 2021 Dec 26, 2020
Long-term debt $ (12,963) $ (13,495) $ (966) $ (1,498)
The total notional amount of pay-variable and receive-fixed interest rate swaps was $12.0 billion as of September 25, 2021 and $12.0 billion as of December 26, 2020.
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 25, 2021 Sep 26, 2020 Sep 25, 2021 Sep 26, 2020
Foreign currency contracts
Interest and other, net
$ 170  $ (166) $ 382  $ (228)
Interest rate contracts
Interest and other, net
(7) (3) 14  (94)
Other
Various
84  138  279  95 
Total $ 247  $ (31) $ 675  $ (227)