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NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
At January 1, 2010, 93.7% of the Company’s U.S. dollar-denominated
long-term debt instruments were hedged against fluctuations in
foreign exchange rates for accounting purposes. At January 1, 2010,
details of the derivative instruments net liability position are as
follows:
January 1, 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 $ 1,975 1.0252 $ 2,025 $ 84 $ 73
As liabilities 3,215 1.3337 4,288 (1,117) (1,080)
Debt Derivatives not accounted for as hedges:
As assets 350 1.0258 359 10 9
As liabilities 10 1.5370 15 (4) (4)
Net mark-to-market liability $ (1,027) (1,002)
Less net current liability portion (76)
Net long-term liability portion $ (926)
The long-term portion above comprises a derivative instruments
liability of $1,004 million and a derivative instruments asset of $78
million, as at January 1, 2010.
(e) Financial instruments:
(i) Classification and fair values of financial instruments:
The Company has classified its financial instruments as follows:
December 31, 2011 December 31, 2010 January 1, 2010
Carrying
amount Fair
value Carrying
amount Fair
value Carrying
amount Fair
value
Loans and receivables, measured at amortized cost:
Cash and cash equivalents* $–$–$ – $ – $ 378 $ 378
Accounts receivable 1,574 1,574 1,443 1,443 1,289 1,289
Financial assets, available-for-sale, measured at
fair value:
Investments* 850 850 675 675 496 496
$ 2,424 $ 2,424 $ 2,118 $ 2,118 $ 2,163 $ 2,163
December 31, 2011 December 31, 2010 January 1, 2010
Carrying
amount Fair
value Carrying
amount Fair
value Carrying
amount Fair
value
Financial liabilities, measured at amortized cost:
Bank advances, arising from outstanding cheques* $57$57$45$45$–$–
Accounts payable and accrued liabilities 2,085 2,0852,133 2,133 2,066 2,066
Income taxes payable ––238 238 147 147
Provisions 73 73 83 83 72 72
Long-term debt 10,034 11,471 8,654 9,688 8,396 9,315
Other long-term liabilities 276 276 229 229 177 177
Financial liabilities (assets), held-for-trading:
Debt Derivatives accounted for as cash flow
hedges** 501 501 894 894 1,007 1,007
Debt Derivatives not accounted for as hedges** (2) (2) 6 6 (5) (5)
Expenditure Derivatives accounted for as cash flow
hedges** (39) (39) ––––
$ 12,985 $ 14,422 $ 12,282 $ 13,316 $ 11,860 $ 12,779
(*) Denotes financial assets and liabilities that are carried at fair value in Level 1; fair value determined by quoted market prices
(**) Denotes financial assets and liabilities that are carried at fair value in Level 2; fair value determined by valuation technique using
observable market inputs
116 ROGERS COMMUNICATIONS INC. 2011 ANNUAL REPORT