Derivative Financial Instruments

6 Months Ended

Jun. 26, 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)	Jun 26, 2021		Dec 26, 2020
Foreign currency contracts	$	30,726	$	31,209
Interest rate contracts	14,652		14,461
Other	2,274		2,026
Total	$	47,652	$	47,696

Fair Value of Derivative Instruments

	Jun 26, 2021				Dec 26, 2020
(In Millions)	Assets1		Liabilities2		Assets1		Liabilities2
Derivatives designated as hedging instruments:
Foreign currency contracts3	$	143	$	95	$	551	$	2
Interest rate contracts	1,021		—		1,498		—
Total derivatives designated as hedging instruments	1,164		95		2,049		2
Derivatives not designated as hedging instruments:
Foreign currency contracts3	173		428		142		685
Interest rate contracts	8		94		3		128
Equity contracts	39		5		48		—
Total derivatives not designated as hedging instruments	220		527		193		813
Total derivatives	$	1,384	$	622	$	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:

	Jun 26, 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	$	1,378			$	1,378	$	(343)	$	(1,033)	$	2
Reverse repurchase agreements	1,350		—		1,350		—		(1,350)		—
Total assets	2,728		—		2,728		(343)		(2,383)		2
Liabilities:
Derivative liabilities subject to master netting arrangements	495		—		495		(343)		(152)		—
Total liabilities	$	495	$	—	$	495	$	(343)	$	(152)	$	—

	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 $49 million net gains in the second quarter of 2021 and $285 million net losses in the first six months of 2021 ($392 million net gains in the second quarter of 2020 and $19 million net gains in the first six months of 2020). Substantially all of our cash flow hedges were foreign currency contracts for all periods presented.

During the first six 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				Six Months Ended
(In Millions)	Jun 26, 2021		Jun 27, 2020		Jun 26, 2021		Jun 27, 2020
Interest rate contracts	$	35	$	78	$	(477)	$	1,032
Hedged items	(35)		(78)		477		(1,032)
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)	Jun 26, 2021		Dec 26, 2020		Jun 26, 2021		Dec 26, 2020
Long-term debt	$	(13,018)	$	(13,495)	$	(1,021)	$	(1,498)

The total notional amount of pay-variable and receive-fixed interest rate swaps was $12.0 billion as of June 26, 2021 and 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				Six Months Ended
(In Millions)	Location of Gains (Losses) Recognized in Income on Derivatives	Jun 26, 2021		Jun 27, 2020		Jun 26, 2021		Jun 27, 2020
Foreign currency contracts	Interest and other, net	$	(22)	$	(216)	$	212	$	(62)
Interest rate contracts	Interest and other, net	(2)		(14)		21		(91)
Other	Various	140		225		195		(43)
Total		$	116	$	(5)	$	428	$	(196)