Virgin Media 2010 Annual Report Download - page 210

VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED AND SUBSIDIARIES
VIRGIN MEDIA INVESTMENTS LIMITED AND SUBSIDIARIES
COMBINED NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
Note 10—Derivative Financial Instruments and Hedging Activities (continued)
The foreign currency forward rate contracts, interest rate swaps and cross-currency interest rate swaps are
valued using counterparty valuations, or market transactions in either the listed or over-the-counter markets,
adjusted for non-performance risk. Non-performance risk is based on quoted credit default spreads for
counterparties to the contracts and swaps. These derivative instruments are classified within level 2 in the fair
value hierarchy. Derivative instruments which are subject to master netting arrangements are not offset and we
have not provided, nor do we require, cash collateral with any counterparty.
The fair values of our derivative instruments recorded on our consolidated balance sheet were as follows (in
millions):
December 31,
2010
December 31,
2009
Included within current assets:
Accounting Hedge
Foreign currency forward rate contracts ............................ £ — £ 0.3
Economic Hedge
Foreign currency forward rate contracts ............................ 0.8 1.9
£ 0.8 £ 2.2
Included within non-current assets:
Accounting Hedge
Interest rate swaps ............................................. £ 8.0 £ —
Cross-currency interest rate swaps ................................ 137.9 63.7
Economic Hedge
Interest rate swaps ............................................. 3.9 —
Cross-currency interest rate swaps ................................ 52.9 169.5
Other ....................................................... — 1.9
£202.7 £235.1
Included within current liabilities:
Accounting Hedge
Foreign currency forward rate contracts ............................ £ — £ 0.3
Interest rate swaps ............................................. — 12.0
Economic Hedge
Foreign currency forward rate contracts ............................ — 2.4
Interest rate swaps ............................................. — 3.1
Cross-currency interest rate swaps ................................ 13.3 —
£ 13.3 £ 17.8
Included within non-current liabilities:
Accounting Hedge
Interest rate swaps ............................................. £ — £ 21.0
Cross-currency interest rate swaps ................................ 10.3 27.6
Economic Hedge
Interest rate swaps ............................................. 32.2 —
Cross-currency interest rate swaps ................................ 19.5 58.2
£ 62.0 £106.8
F-115