Rogers 2008 Annual Report Download - page 115

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ROGERS COMMUNICATIONS INC. 2008 ANNUAL REPORT 111
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
At December 31, 2008, 87.4% of the Company’s U.S. dollar-
denominated long-term debt instruments were hedged against
fluctuations in foreign exchange rates for accounting purposes.
At December 31, 2008, details of the derivative instruments net
liability are as follows:
Of the $10 million change, $7 million was recorded in the
consolidated statements of income related to Cross-Currency
Swaps not accounted for as hedges and $3 million related to Cross-
Currency Swaps accounted for as hedges was recorded in other
comprehensive income.
Estimated
Unadjusted fair value,
mark-to- being
market carrying
value amount on
on a a credit risk
U.S. $ Exchange Cdn. $ risk-free adjusted
2008 notional rate notional basis* basis*
Cross-Currency Swaps accounted for as cash flow hedges:
As assets $ 1,975 1.0252 $ 2,025 $ 492 $ 435
As liabilities 3,215 1.3337 4,288 (712) (658)
Subtotal, net mark-to-market asset (liability) 5,190 1.2163 6,313 (220) (223)
Cross-Currency Swaps not accounted for as hedges:
As assets 350 1.0258 359 79 72
As liabilities 10 1.5370 15 (3) (3)
Subtotal, net mark-to-market asset 360 1.0400 374 76 69
Total notional amounts, net mark-to-market asset (liability) $ 5,550 1.2049 $ 6,687 $ (144) $ (154)
Less current portion (45)
$ (109)
*In 2007, the estimated fair value, being carrying amount, was determined on a risk-free basis.
In 2008, $3 million (2007 - $1 million) related to hedge ineffectiveness
was recognized as a decrease in net income.
The long-term portion above is comprised of a derivative
instruments liability of $616 million and a derivative instruments
asset of $507 million.
At December 31, 2007, details of the derivative instruments liability
are as follows:
Estimated
fair value,
being
carrying
amount on
U.S. $ Exchange Cdn. $ a risk-free
2007 notional rate notional basis
Cross-Currency Swaps accounted for as cash flow hedges $ 4,190 1.3313 $ 5,578 $ 1,798
Cross-Currency Swaps not accounted for as hedges 10 1.5370 15 6
$ 4,200 $ 5,593 1,804
Less current portion 195
$ 1,609