Western Union 2009 Annual Report Download - page 126

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The Company also entered into a forward contract, with a notional amount of approximately 230 million
Canadian dollars ($220 million), to offset foreign exchange rate fluctuations on a Canadian dollar denominated
position in connection with the purchase of Custom House. This contract is not designated as an accounting
hedge.
Interest Rate Hedging—Corporate
The Company utilizes interest rate swaps to effectively change the interest rate payments on a portion of
its notes from fixed-rate payments to short-term LIBOR-based variable rate payments in order to manage its
overall exposure to interest rates. The Company designates these derivatives as fair value hedges utilizing the
short-cut method, which permits an assumption of no ineffectiveness if certain criteria are met. The change in
fair value of the interest rate swaps is offset by a change in the balance of the debt being hedged within the
Company’s “Borrowings” in the Consolidated Balance Sheets and “Interest expense” in the Consolidated
Statements of Income has been adjusted to include the effects of interest accrued on the swaps.
At December 31, 2009 and 2008, the Company held interest rate swaps in an aggregate notional amount
of $750 million and $660 million, respectively.
Balance Sheet
The following table summarizes the fair value of derivatives reported in the Consolidated Balance Sheets
as of December 31, 2009 and 2008 (in millions).
Balance Sheet
Location 2009 2008
Balance Sheet
Location 2009 2008
Fair Value Fair Value
Derivative Assets Derivative Liabilities
Derivatives—hedges:
Interest rate fair value
hedges—Corporate.............. Other assets $ 31.0 $ 48.9 Other liabilities $ — $ —
Foreign currency cash flow
hedges—Consumer-to-consumer .... Other assets 15.1 65.0 Other liabilities 31.0 6.7
Total .......................... $ 46.1 $113.9 $31.0 $ 6.7
Derivatives—undesignated:
Foreign currency—Global business
payments ..................... Other assets $ 58.9 $ — Other liabilities $48.2 $ —
Foreign
currency—Consumer-to-consumer . . Other assets 4.9 2.9 Other liabilities 1.4 4.1
Total .......................... $ 63.8 $ 2.9 $49.6 $ 4.1
Total derivatives ..................... $109.9 $116.8 $80.6 $10.8
112
THE WESTERN UNION COMPANY
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)