Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

v3.22.1
Derivative Financial Instruments
3 Months Ended
Apr. 02, 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)
Apr 2, 2022 Dec 25, 2021
Foreign currency contracts
$ 43,494  $ 38,024 
Interest rate contracts
15,785  15,209 
Other
2,317  2,517 
Total $ 61,596  $ 55,750 
Fair Value of Derivative Instruments
 
Apr 2, 2022 Dec 25, 2021
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 87  $ 218  $ 80  $ 163 
Interest rate contracts
185  121  774  — 
Total derivatives designated as hedging instruments
272  339  854  163 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
701  355  475  297 
Interest rate contracts
113  39  26  65 
Equity contracts
88  18  80 
Total derivatives not designated as hedging instruments 902  412  581  366 
Total derivatives $ 1,174  $ 751  $ 1,435  $ 529 
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:
Apr 2, 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 $ 1,153  $ —  $ 1,153  $ (472) $ (519) $ 162 
Reverse repurchase agreements
2,095  —  2,095  —  (2,095) — 
Total assets 3,248    3,248  (472) (2,614) 162 
Liabilities:
Derivative liabilities subject to master netting arrangements 618  —  618  (472) (122) 24 
Total liabilities $ 618  $   $ 618  $ (472) $ (122) $ 24 
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 $115 million net losses in the first three months of 2022 ($334 million net losses in the first three months of 2021). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first three 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
(In Millions)
Apr 2, 2022 Mar 27, 2021
Interest rate contracts
$ (711) $ (512)
Hedged items
711  512 
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)
Apr 2, 2022 Dec 25, 2021 Apr 2, 2022 Dec 25, 2021
Long-term debt $ (12,061) $ (12,772) $ (64) $ (775)
The total notional amount of pay-variable and receive-fixed interest rate swaps was $12.0 billion as of April 2, 2022 and 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
(In Millions)
Location of Gains (Losses)
Recognized in Income on Derivatives
Apr 2, 2022 Mar 27, 2021
Foreign currency contracts
Interest and other, net
$ 158  $ 234 
Interest rate contracts
Interest and other, net
94  23 
Other
Various
(134) 55 
Total $ 118  $ 312