Intel 2000 Annual Report Download - page 32

The amortized cost and estimated fair value of investments in debt securities at December 30, 2000, by contractual maturity, were as follows:
Derivative financial instruments
Outstanding notional amounts for derivative financial instruments at fiscal year-ends were as follows:
While the contract or notional amounts provide one measure of the volume of these transactions, they do not represent the amount of the
company's exposure to credit risk. The amounts potentially subject to credit risk (arising from the possible inability of counterparties to meet
the terms of their contracts) are generally limited to the amounts, if any, by which a counterparty's obligations exceed the obligations of Intel
with that counterparty. The company controls credit risk through credit approvals, limits and monitoring procedures. Credit rating criteria for
derivative financial instruments are similar to those for investments.
Swap agreements The company utilizes swap agreements to exchange the foreign currency and interest rate returns of its investment and
debt portfolios for floating U.S. dollar interest rate based returns. The floating rates on swaps are based primarily on U.S. dollar LIBOR and are
reset on a monthly, quarterly or semiannual basis.
Pay rates on swaps hedging investments in debt securities match the yields on the underlying investments they hedge. Receive rates on
swaps hedging debt match the expense on the underlying debt they hedge. Maturity dates of swaps match those of the underlying investment or
the debt they hedge. There is approximately a one-to-one matching of swaps to investments and debt. Swap agreements generally remain in
effect until expiration.
Weighted average pay and receive rates, weighted average maturities and range of maturities on swaps at December 30, 2000 were as
follows:
Note: Pay and receive rates are based on the reset rates that were in effect at December 30, 2000.
Other foreign currency instruments Intel transacts business in various foreign currencies, primarily Japanese yen and certain other Asian
and European currencies. The company has established revenue, expense and balance sheet hedging programs to protect against reductions in
value and volatility of future cash flows caused by changes in foreign exchange rates. The company utilizes currency forward contracts and
currency options in these hedging programs. The maturities on these instruments are less than 12 months.
Fair values of financial instruments
The estimated fair values of financial instruments outstanding at fiscal year-ends were as follows:
(In millions) Cost
Estimated
fair value
Due in 1 year or less
$
13,191
$
13,199
Due in 1
-
2 years
1,134
1,139
Due in 2
-
5 years
94
94
Due after 5 years
459
459
Total investments in debt securities
$
14,878
$
14,891
(In millions) 2000 1999
Swaps hedging investments in debt securities
$
1,337
$
2,002
Swaps hedging debt
$
110
$
156
Currency forward contracts
$
1,240
$
845
Options hedging deferred compensation liabilities
$
111
$
111
Weighted
average
pay rate
Weighted
average
receive
rate
Weighted
average
maturity
Range of
maturities
Swaps hedging investments in U.S. dollar debt securities
6.71
%
6.86
%
0.7 years
0
-
2 years
Swaps hedging investments in foreign currency debt securities
5.40
%
6.75
%
0.7 years
0
-
2 years
Swaps hedging debt
6.68
%
5.67
%
2.8 years
2
-
3 years
2000 1999