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Financial Instruments | 3 Months Ended
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Dec. 25, 2020
Financial Instruments |
Financial Instruments | 10. Financial Instruments Foreign Currency Exchange Rate Risk We utilize cross-currency swap contracts to reduce our exposure to foreign currency exchange rate risk associated with certain intercompany loans. The aggregate notional value of these contracts was €700 million at December 25, 2020 and September 25, 2020. Under the terms of these contracts, which have been designated as cash flow hedges, we make interest payments in euros at 3.50% per annum and receive interest in U.S. dollars at a weighted-average rate of 5.34% per annum. Upon maturity in fiscal 2022, we will pay the notional value of the contracts in euros and receive U.S. dollars from our counterparties. In connection with the cross-currency swap contracts, both counterparties to each contract are required to provide cash collateral. These cross-currency swap contracts were recorded on the Condensed Consolidated Balance Sheets as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 25, | ​ | September 25, | ​
​ |  | 2020 |  | 2020 |
​ | ​ | (in millions) | ​
Other assets | ​ | $ | — | ​ | $ | 1 | ​
Other liabilities | ​ |  | 52 | ​ |  | 9 | ​
​ At December 25, 2020 and September 25, 2020, collateral received from or paid to our counterparties approximated the net derivative position. Collateral is recorded in accrued and other current liabilities when the contracts are in a net asset position, or prepaid expenses and other current assets when the contracts are in a net liability position on the Condensed Consolidated Balance Sheets. The impacts of these cross-currency swap contracts were as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the | ​
​ | ​ | Quarters Ended | ​
​ | ​ | December 25, | ​ | December 27, | ​
​ |  | 2020 |  | 2019 |
​ | ​ | (in millions) | ​
Gains (losses) recorded in other comprehensive income (loss) | ​ | $ | (4) | ​ | $ | 4 | ​
Losses excluded from the hedging relationship(1) | ​ |  | (40) | ​ |  | (22) | ​
(1) | Gains and losses excluded from the hedging relationship are recognized prospectively in selling, general, and administrative expenses and are offset by losses and gains generated as a result of re-measuring certain intercompany loans to the U.S. dollar.
Hedge of Net Investment We hedge our net investment in certain foreign operations using intercompany loans and external borrowings denominated in the same currencies. The aggregate notional value of these hedges was $3,820 million and $3,511 million at December 25, 2020 and September 25, 2020, respectively. We also use a cross-currency swap program to hedge our net investment in certain foreign operations. The aggregate notional value of the contracts under this program was $1,957 million and $1,664 million at December 25, 2020 and September 25, 2020, respectively. Under the terms of these contracts, we receive interest in U.S. dollars at a weighted-average rate of 2.03% per annum and pay no interest. Upon the maturity of these contracts at various dates through fiscal 2025, we will pay the notional value of the contracts in the designated foreign currency and receive U.S. dollars from our counterparties. We are not required to provide collateral for these contracts. These cross-currency swap contracts were recorded on the Condensed Consolidated Balance Sheets as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 25, | ​ | September 25, | ​
​ |  | 2020 |  | 2020 |
​ | ​ | (in millions) | ​
Prepaid expenses and other current assets | ​ | $ | — | ​ | $ | 1 | ​
Other assets | ​ |  | — | ​ |  | 3 | ​
Accrued and other current liabilities | ​ | ​ | 42 | ​ | ​ | 6 | ​
Other liabilities | ​ | ​ | 56 | ​ | ​ | 16 | ​
​ The impacts of our hedge of net investment programs were as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | ​ | For the | ​
​ | ​ | ​ | Quarters Ended | ​
​ | ​ | December 25, | ​ | December 27, | ​
​ |  | 2020 |  | 2019 |
​ | ​ | (in millions) | ​
Foreign currency exchange losses on intercompany loans and external borrowings(1) | ​ | $ | (168) | ​ | $ | (65) | ​
Losses on cross-currency swap contracts designated as hedges of net investment(1) | ​ |  | (85) | ​ |  | (33) | ​
(1) | Recorded as currency translation, a component of accumulated other comprehensive income (loss).
Interest Rate Risk Management We may utilize forward starting interest rate swap contracts to manage interest rate exposure in periods prior to the anticipated issuance of fixed rate debt. These contracts had an aggregate notional value of $450 million at December 25, 2020 and September 25, 2020, and were designated as cash flow hedges. These forward starting interest rate swap contracts were recorded on the Condensed Consolidated Balance Sheets as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 25, | ​ | September 25, | ​
​ |  | 2020 |  | 2020 |
​ | ​ | (in millions) | ​
Other assets | ​ | $ | 3 | ​ | $ | — | ​
Other liabilities | ​ | ​ | 54 | ​ | ​ | 64 | ​
​ The impacts of these forward starting interest rate swap contracts were as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the | ​
​ | ​ | Quarters Ended | ​
​ | ​ | December 25, | ​ | December 27, | ​
​ |  | 2020 |  | 2019 |
​ | ​ | (in millions) | ​
Gains recorded in other comprehensive income (loss) | ​ | $ | 13 | ​ | $ | 10 | ​
​ Commodity Hedges As part of managing the exposure to certain commodity price fluctuations, we utilize commodity swap contracts. The objective of these contracts is to minimize impacts to cash flows and profitability due to changes in prices of commodities used in production. These contracts had an aggregate notional value of $321 million and $312 million at December 25, 2020 and September 25, 2020, respectively, and were designated as cash flow hedges. These commodity swap contracts were recorded on the Condensed Consolidated Balance Sheets as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | December 25, | ​ | September 25, | ​
​ |  | 2020 |  | 2020 |
​ | ​ | (in millions) | ​
Prepaid expenses and other current assets | ​ | $ | 56 | ​ | $ | 41 | ​
Other assets | ​ |  | 3 | ​ |  | 3 | ​
Accrued and other current liabilities | ​ | ​ | 1 | ​ | ​ | 2 | ​
Other liabilities | ​ | ​ | — | ​ | ​ | 1 | ​
​ The impacts of these commodity swap contracts were as follows: ​
​ | ​ | ​ | ​ | ​ | ​ | ​ | ​
​ | ​ | For the | ​
​ | ​ | Quarters Ended | ​
​ | ​ | December 25, | ​ | December 27, | ​
​ |  | 2020 |  | 2019 |
​ | ​ | (in millions) | ​
Gains recorded in other comprehensive income (loss) | ​ | $ | 37 | ​ | $ | 19 | ​
Gains (losses) reclassified from accumulated other comprehensive income (loss) into cost of sales | ​ | ​ | 15 | ​ | ​ | (1) | ​
​ We expect that significantly all of the balance in accumulated other comprehensive income (loss) associated with commodity hedges will be reclassified into the Condensed Consolidated Statement of Operations within the next twelve months.

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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