Quarterly report pursuant to Section 13 or 15(d)

Derivative Financial Instruments

v3.23.3
Derivative Financial Instruments
9 Months Ended
Sep. 30, 2023
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 (recorded at fair value) at the end of each period were as follows: 
(In Millions)
Sep 30, 2023 Dec 31, 2022
Foreign currency contracts
$ 31,291  $ 31,603 
Interest rate contracts
17,920  16,011 
Other
2,103  2,094 
Total $ 51,314  $ 49,708 
Fair Value of Derivative Instruments in the Consolidated Condensed Balance Sheets
 
Sep 30, 2023 Dec 31, 2022
(In Millions)
Assets1
Liabilities2
Assets1
Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3
$ 27  $ 643  $ 142  $ 290 
Interest rate contracts
—  966  —  777 
Total derivatives designated as hedging instruments
$ 27  $ 1,609  $ 142  $ 1,067 
Derivatives not designated as hedging instruments:
Foreign currency contracts3
$ 601  $ 102  $ 866  $ 194 
Interest rate contracts
386  266  12 
Equity contracts
131  17  —  111 
Total derivatives not designated as hedging instruments $ 1,118  $ 123  $ 1,132  $ 317 
Total derivatives $ 1,145  $ 1,732  $ 1,274  $ 1,384 
1Derivative assets are recorded as other assets, current and long-term.
2Derivative liabilities are recorded as other liabilities, current and long-term.
3A 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:
Sep 30, 2023
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 $ 1,011  $ —  $ 1,011  $ (538) $ (473) $ — 
Reverse repurchase agreements
2,334  —  2,334  —  (2,334) — 
Total assets $ 3,345  $   $ 3,345  $ (538) $ (2,807) $  
Liabilities:
Derivative liabilities subject to master netting arrangements $ 1,724  $ —  $ 1,724  $ (538) $ (1,085) $ 101 
Total liabilities $ 1,724  $   $ 1,724  $ (538) $ (1,085) $ 101 
Dec 31, 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 $ 1,231  $ —  $ 1,231  $ (546) $ (682) $
Reverse repurchase agreements 1,701  —  1,701  —  (1,701) — 
Total assets $ 2,932  $   $ 2,932  $ (546) $ (2,383) $ 3 
Liabilities:
Derivative liabilities subject to master netting arrangements $ 1,337  $ —  $ 1,337  $ (546) $ (712) $ 79 
Total liabilities $ 1,337  $   $ 1,337  $ (546) $ (712) $ 79 
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 $454 million net losses in the third quarter of 2023 and $646 million net losses in the first nine months of 2023 ($678 million net losses in the third quarter of 2022 and $1.6 billion net losses in the first nine months of 2022). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.
During the first nine 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:
Gains (Losses) on Derivatives Recognized in Consolidated Condensed Statements of Income
Three Months Ended Nine Months Ended
(In Millions)
Sep 30, 2023 Oct 1, 2022 Sep 30, 2023 Oct 1, 2022
Interest rate contracts
$ (168) $ (589) $ (189) $ (1,536)
Hedged items
168  589  189  1,536 
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 Sheets in Which the Hedged Item is Included Carrying Amount of the Hedged Item Assets/(Liabilities) Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount Assets/(Liabilities)
(In Millions)
Sep 30, 2023 Dec 31, 2022 Sep 30, 2023 Dec 31, 2022
Long-term debt $ (11,032) $ (11,221) $ 965  $ 776 
The total notional amount of outstanding pay-variable, receive-fixed interest rate swaps was $12.0 billion as of September 30, 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:
 
Three Months Ended Nine Months Ended
(In Millions)
Location of Gains (Losses)
Recognized in Income on Derivatives
Sep 30, 2023 Oct 1, 2022 Sep 30, 2023 Oct 1, 2022
Foreign currency contracts
Interest and other, net
$ 255  $ 771  $ 467  $ 1,952 
Interest rate contracts
Interest and other, net
85  164  175  289 
Other
Various
(112) (97) 103  (562)
Total $ 228  $ 838  $ 745  $ 1,679