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Note 7 - Derivative Instrument Assets and Liabilities
9 Months Ended
Sep. 30, 2011
Derivative Instruments and Hedging Activities Disclosure [Text Block]
7. DERIVATIVE INSTRUMENT ASSETS AND LIABILITIES:

The Company enters into foreign currency contracts to hedge a portion of the Company’s expected Canadian dollar requirements. All derivative financial instruments are recorded at fair value on our consolidated balance sheet. The fair value of our foreign currency contracts at September 30, 2011 was a net unrealized loss of $1.6 million as compared to a net unrealized gain of $0.8 million at December 31, 2010. The net unrealized loss is a result of fluctuations in foreign exchange rates between the date the currency forward contracts were entered into and the valuation date at period end.

At September 30, 2011, the Company had the following outstanding forward exchange contracts to trade U.S. dollars in exchange for Canadian dollars:

Maturity date
 
Notional
amount of
U.S. dollars
   
Weighted
average
exchange rate
of U.S. dollars
   
Fair value
 
                   
October – December, 2011
  $ 750,000       0.9560     $ 1,090  
October – December, 2011
    4,700,000       1.0015       (208,672 )
2011
    5,450,000       0.9950       (207,582 )
                         
January – March, 2012
    5,100,000       1.0251       (345,692 )
April – June, 2012
    5,100,000       1.0220       (335,397 )
July – September, 2012
    5,100,000       1.0147       (303,990 )
October – December, 2012
    5,100,000       1.0147       (307,174 )
2012
    20,400,000       1.0191       (1,292,253 )
                         
January – March, 2013
    6,000,000       0.9730       (124,309 )
2013
    6,000,000       0.9730       (124,309 )
                         
Total
  $ 31,850,000       0.9918     $ (1,624,144 )

The Company does not apply hedge accounting and, therefore, for the three and nine months ended September 30, 2011, the Company recorded a loss of $2.2 million and $2.5 million, respectively, in the fair value of forward contracts in its consolidated statements of operations. For the three months ended September 30, 2010, the Company recorded a gain on forward contracts of $0.1 million, while for the nine months ended September 30, 2010, the Company recorded a loss on forward contracts of $1.7 million.