Rogers 2011 Annual Report Download - page 119

NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
At December 31, 2011, 91.7% 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, 2011, details of the derivative instruments net liability
position are as follows:
December 31, 2011 U.S. $ notional Exchange rate Cdn. $ notional
Unadjusted
mark-to-
market
value on a
risk-free basis
Estimated fair
value, being
carrying
amount on a
credit risk
adjusted basis
Debt Derivatives accounted for as cash flow hedges:
As assets $ 1,975 1.0252 $ 2,025 $ 47 $ 39
As liabilities 1,905 1.2668 2,413 (548) (540)
Debt Derivatives not accounted for as hedges:
As assets 350 1.0258 359 4 2
Net mark-to-market liability Debt Derivatives (497) (499)
Expenditure Derivatives accounted for as cash flow hedges:
As assets 620 0.9643 598 39 39
Net mark-to-market liability $ (458) (460)
Less net current liability portion (21)
Net long-term liability portion $ (439)
In 2011, a $6 million increase in estimated fair value (2010 – $6 million
decrease) related to hedge ineffectiveness was recognized in net
income.
The long-term portion above comprises a derivative instruments
liability of $503 million and a derivative instruments asset of
$64 million, as at December 31, 2011.
At December 31, 2011, with the exception of an aggregate
$250 million of floating rate advances outstanding under the bank
credit facility, all of the Company’s long-term debt was at fixed
interest rates. Net income would have changed by $1 million in the
year ended December 31, 2011, net of income taxes of $1 million, if
there was a 1% change in the interest rates charged on advances
under the bank credit facility.
U.S. $350 million of the Company’s U.S. dollar-denominated long-
term debt instruments are not hedged for accounting purposes and,
therefore, a one cent change in the Canadian dollar relative to the
U.S. dollar would have resulted in a $4 million change in the carrying
value of long-term debt at December 31, 2011. In addition, this would
have resulted in a $3 million change in net income, net of income
taxes of $1 million. There would have been a similar, offsetting
change in the carrying value of the associated U.S. $350 million of
Debt Derivatives with a similar offsetting impact on net income.
A portion of the Company’s accounts receivable and accounts payable
and accrued liabilities is denominated in U.S. dollars; however, due to
their short-term nature and the Expenditure Derivatives, there is no
significant market risk arising from fluctuations in foreign exchange
rates.
All of the Company’s derivatives are unsecured obligations of RCI.
At December 31, 2010, 93.1% 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, 2010, details of the derivative instruments net liability
position are as follows:
December 31, 2010 U.S. $ notional Exchange rate Cdn. $ notional
Unadjusted
mark-to-
market
value on a
risk-free basis
Estimated fair
value, being
carrying
amount on a
credit risk
adjusted basis
Debt Derivatives accounted for as cash flow hedges:
As assets $ 575 1.0250 $ 589 $ 7 $ 7
As liabilities 4,125 1.2021 4,959 (918) (901)
Debt Derivatives not accounted for as hedges:
As liabilities 350 1.0258 359 (6) (6)
Net mark-to-market liability $ (917) (900)
Less net current liability portion (66)
Net long-term liability portion $ (834)
The long-term portion above comprises a derivative instruments
liability of $840 million and a derivative instruments asset of $6
million, as at December 31, 2010.
2011 ANNUAL REPORT ROGERS COMMUNICATIONS INC. 115