Walmart 2003 Annual Report Download - page 29

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Interest Rate Sensitivity as of January 31, 2002
Principal (Notional) Amount by Expected Maturity
Average Interest (Swap) Rate Fair value
(Dollar amounts in millions) 2003 2004 2005 2006 2007 Thereafter Total 1/31/02
Interest Rate Derivative Financial
Instruments Related to Debt
Interest rate swap –
Pay variable/receive fixed $ 500 – – – – – $ 500 $ 28
Weighted average rate paid –
Rate A minus 0.15%
Weighted average fixed rate
received – USD rate 6.9% – – – – – 6.9%
Interest rate swap –
Pay variable/receive fixed – – $ 500 $ 597 $ 1,750 $ 445 3,292 144
Weighted average rate paid –
Rate B plus 1.01%
Weighted average fixed rate
received – USD rate – – 7.5% 5.9% 5.9% 7.3% 6.3%
Interest rate basis swap – – – – – 500 500 1
Average rate paid – Rate C
Average rate received –
Rate A minus 0.06%
Rate A – one-month U.S. LIBOR
Rate B – three-month U.S. LIBOR
Rate C – U.S. commercial paper
The Company holds currency swaps to hedge its net investment in the United Kingdom. In addition to the instruments in
the table below, the Company has designated debt of approximately GBP 1 billion as hedges of the net investment in the
United Kingdom. The following tables provide information about our cross-currency interest rate swap agreements by
functional currency, and presents the information in United States dollar equivalents. For these instruments the tables
present notional amounts, exchange rates and interest rates by contractual maturity date.
The Company also holds cross currency swaps which hedge the foreign currency risk of debt denominated in currencies
other than the local currency.
Foreign Currency Exchange Rate Sensitivity as of January 31, 2003
Principal (Notional) Amount by Expected Maturity Fair value
(Dollar amounts in millions) 2004 2005 2006 2007 2008 Thereafter Total 1/31/03
Currency Swap Agreements
Payment of Great Britain pounds
Notional amount – – – – – $ 1,250 $ 1,250 $ 126
Average contract rate – – – – – 0.6 0.6
Fixed rate received – USD rate – – – – – 7.4% 7.4%
Fixed rate paid –
Great Britain pound rate – – – – – 5.8% 5.8%
Payment of Canadian dollars
Notional amount – – – – – 325 325 8
Average contract rate – – – – – 1.5 1.5
Fixed rate received – USD rate – – – – – 5.6% 5.6%
Fixed rate paid – Canadian dollar rate – – – – – 5.7% 5.7%
Payment of Japanese yen
Notional amount – – – – $ 432 – 432 2
Average contract rate – – – – 120 – 120
Fixed rate received – USD rate – – – – 3.6% – 3.6%
Fixed rate paid – Japanese yen rate – – – – 0.2% – 0.2%
27