ADT 1999 Annual Report Download - page 35

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33
Exchange Rate Sensitivity
The table below provides information about the Company’s financial
instruments that are sensitive to foreign currency exchange rates.
These instruments include long-term investments, debt obligations,
cross-currency swaps, forward foreign currency exchange contracts
and currency options. For long-term investments, the table presents
cash flows of principal payments (in millions) related to a subordi-
nated, non-collateralized zero coupon loan note, based on the amor-
tized cost of the investment as of September 30, 1999, and the
associated fair value interest rate discount. For debt obligations, the
table presents cash flows of principal repayment (in millions) and
weighted average interest rates. For cross-currency swaps and for-
ward foreign currency exchange contracts, the table presents notional
amounts (in millions) and weighted average contractual exchange
rates. For currency options, the table presents notional amounts (in
millions) and weighted average contractual strike prices. Notional
amounts are used to calculate the contractual payments to be
exchanged under the contract. The amounts included in the table
below are in U.S. dollars.
Fiscal Fiscal Fiscal Fiscal Fiscal Fair
2000 2001 2002 2003 2004 Thereafter Total Value
Long-term investment:
Fixed Rate (British Pound)
————
120.5
—
120.5 120.5
Interest rate 11.5%
Long-term debt:
Fixed rate (Yen) 127.3 17.3 34.3 18.3 6.9 71.0 275.1 275.4
Average interest rate 1.7% 2.3% 2.2% 2.4% 2.0% 4.5%
Variable rate (Yen) 4.7 5.7 14.1 5.6 3.3 13.2 46.6 46.6
Average interest rate(1) 2.3% 2.3% 2.3% 2.3% 2.3% 2.3%
Cross-currency swap:
Receive US$/Pay Japanese Yen(2)
————
150.0
—
150.0 0.4(3)
Contractual exchange rate
(Yen/US$)
————
105.95
—
Receive US$/Pay British Pound 208.2
—————
208.2 (8.8)(3)
Average contractual exchange rate 1.58
—————
Receive Japanese Yen/Pay US$ 89.7
—————
89.7 4.4(3)
Contractual exchange rate
(Yen/US$) 111.50
Forward contracts:
Receive US$/Pay Australian Dollar 224.3
—————
224.3 (0.7)
Average contractual exchange rate 0.65
—————
Receive US$/Pay British Pound 766.7
—————
766.7 (26.3)
Average contractual exchange rate 1.59
—————
Receive US$/Pay Canadian Dollar 49.6
—————
49.6 (1.2)
Average contractual exchange rate 0.67
—————
Receive US$/Pay Euro 1,534.1
—————
1,534.1 (23.0)
Average contractual exchange rate 1.07
—————
Receive US$/Pay Japanese Yen 142.6
—————
142.6 (1.5)
Average contractual exchange rate
(Yen/US$) 103.62
—————
Currency options:
Receive US$/Pay Euro 100.0
—————
100.0 0.4
Average strike price 1.00
—————
Receive US$/Pay Japanese Yen 60.0
—————
60.0 0.3
Average strike price (Yen/US$) 119.75
—————
(1) Weighted average variable interest rates are based on applicable rates as of September 30, 1999 per the terms of the contracts of the related financial instruments.
(2) In March 1994, AMP entered into a cross-currency swap with a financial institution to hedge a portion of its net investment in its Japanese subsidiary.
(3) The fair values of cross-currency swaps included in the table reflect the portion of the fair values of the contracts that are attributable to the foreign currency component of
the contracts.