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THIRTY THREE
EXCHANGE RATE SENSITIVITY
The table below provides information about Tyco’s financial instru-
ments 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, 2000, 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 pay-
ments to be exchanged under the contract. The amounts included
in the table below are in U.S. dollars.
FISCAL FISCAL FISCAL FISCAL FISCAL FAI R
($ IN M I LLIONS) 2 0 0 1 2 0 0 2 2 0 0 3 2 0 0 4 2 0 0 5 THEREAFTER TOTAL VALUE
LONG-TERM INVESTMENT:
Fixed rate (British Pound)
———
119.6
——
119.6 119.6
Interest rate 11.5%
LONG-TERM DEBT:
Fixed rate (Euro)
—————
525.4 525.4 515.0
Average interest rate 6.1%
Fixed rate (Yen) 9.0 22.8 33.5 5.6 5.6 58.7 135.2 153.3
Average interest rate 3.2% 3.4% 2.2% 1.4% 1.4% 4.8%
Variable rate (Euro)
—
239.2
————
239.2 239.2
Average interest rate 5.0%
Variable rate (French Franc) 3.5 4.1 4.8 5.0 5.6 32.3 55.3 55.3
Average interest rate(1) 4.9% 4.9% 4.9% 4.9% 4.9% 4.9%
CROSS-CURRENCY SWAP:
Receive US$/Pay Japanese Yen(2)
———
150.0
——
150.0 3.0(3 )
Contractual exchange rate
(Yen/US$)
———
105.95
——
FORWARD CONTRACTS:
Receive US$/Pay Australian Dollar 325.1
—————
325.1 40.5
Average contractual exchange rate 0.63
—————
Receive US$/Pay British Pound 1,389.6
—————
1,389.6 107.8
Average contractual exchange rate 1.59
—————
Receive US$/Pay Canadian Dollar 109.5
—————
109.5 2.3
Average contractual exchange rate 0.69
—————
Receive US$/Pay Euro 790.8
—————
790.8 125.1
Average contractual exchange rate 1.00
—————
Receive US$/Pay Japanese Yen 194.1
—————
194.1 3.9
Average contractual exchange rate
(Yen/US$) 101.51
—————
Pay US$/Receive Singapore Dollar 5 8.4
—————
58.4 (0.6)
Average strike price 0.58
—————
(1) Weighted-average variable interest rates are based on applicable rates as of September 30, 2000 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 value of cross-currency swap included in the table reflects the portion of the fair value of the contract that is attributable to the foreign currency component of the contracts.