Virgin Media 2011 Annual Report Download - page 198

VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED AND SUBSIDIARIES
VIRGIN MEDIA INVESTMENTS LIMITED AND SUBSIDIARIES
COMBINED NOTES TO THE CONSOLIDATED FINANCIAL STATEMENTS (continued)
Note 8—Derivative Financial Instruments and Hedging Activities (continued)
consolidated statements of operations. As a result of our effectiveness assessment at December 31, 2011, we
believe our derivative contracts that are designated and qualify for hedge accounting will continue to be highly
effective in offsetting changes in cash flow or fair value attributable to the hedged risk.
The foreign currency forward rate contracts, interest rate swaps and cross-currency interest rate swaps are
valued using internal models based on observable inputs, counterparty valuations or market transactions in either
the listed or over-the-counter markets and are 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,
2011
December 31,
2010
Included within current assets:
Accounting Hedge
Foreign currency forward rate contracts ............................ £ 0.1 £ 0.0
Economic Hedge
Foreign currency forward rate contracts ............................ 1.6 0.8
Interest rate swaps ............................................. 0.2 0.0
Cross-currency interest rate swaps ................................ 7.6 0.0
£ 9.5 £ 0.8
Included within non-current assets:
Accounting Hedge
Interest rate swaps ............................................. £ 78.0 £ 8.0
Cross-currency interest rate swaps ................................ 94.2 137.9
Economic Hedge
Interest rate swaps ............................................. 3.1 3.9
Cross-currency interest rate swaps ................................ 34.3 52.9
£209.6 £202.7
Included within current liabilities:
Economic Hedge
Interest rate swaps ............................................. £ 7.5 £ 0.0
Cross-currency interest rate swaps ................................ 9.2 13.3
£ 16.7 £ 13.3
Included within non-current liabilities:
Accounting Hedge
Cross-currency interest rate swaps ................................ £ 7.3 £ 10.3
Economic Hedge
Interest rate swaps ............................................. 38.4 32.2
Cross-currency interest rate swaps ................................ 7.7 19.5
£ 53.4 £ 62.0
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