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	$	2
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		3		128
Equity contracts	4		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)