Cablevision 2011 Annual Report Download - page 177

COMBINED NOTES TO CONSOLIDATED FINANCIAL STATEMENTS (continued)
(Dollars in thousands, except per share amounts)
I-53
The table below summarizes certain terms of these interest rate swap contracts as of December 31, 2011:
Maturity
Date
Notional
Amount
Weighted Average
Fixed Rate
Paid by
the Company
Weighted Average
Effective Floating Rate
Received by
the Company at
December 31, 2011*
June 2012 $2,600,000 4.86% 0.54%
______________
* Represents the weighted average effective floating rate received by the Company under its interest rate swap
contracts at December 31, 2011 and does not represent the rates to be received by the Company on future
payments.
The net unrealized losses resulting from changes in the fair value of the Company's swap agreements and
the net realized losses as a result of net cash interest expense are reflected in loss on interest rate swap
contracts, net in the accompanying consolidated statements of income.
The Company has also entered into various transactions to limit the exposure against equity price risk on
its shares of Comcast Corporation ("Comcast") common stock. The Company had monetized all of its
stock holdings in Comcast Corporation through the execution of prepaid forward contracts, collateralized
by an equivalent amount of the respective underlying stock. At maturity, the contracts provide for the
option to deliver cash or shares of Comcast stock with a value determined by reference to the applicable
stock price at maturity. These contracts, at maturity, are expected to offset declines in the fair value of
these securities below the hedge price per share while allowing the Company to retain upside appreciation
from the hedge price per share to the relevant cap price.
The Company received cash proceeds upon execution of the prepaid forward contracts discussed above
which has been reflected as collateralized indebtedness in the accompanying consolidated balance sheets.
In addition, the Company separately accounts for the equity derivative component of the prepaid forward
contracts. These equity derivatives have not been designated as hedges for accounting purposes.
Therefore, the net fair values of the equity derivatives have been reflected in the accompanying
consolidated balance sheets as an asset or liability and the net increases or decreases in the fair value of
the equity derivative component of the prepaid forward contracts are included in gain (loss) on derivative
contracts in the accompanying consolidated statements of income.
All of the Company's monetization transactions are obligations of its wholly-owned subsidiaries that are
not part of the Restricted Group; however, in certain of the Comcast transactions, CSC Holdings provided
guarantees of the subsidiaries' ongoing contract payment expense obligations and potential payments that
could be due as a result of an early termination event (as defined in the agreements). The guarantee
exposure approximates the net sum of the fair value of the collateralized indebtedness less the sum of the
fair values of the underlying stock and the equity collar and the present value of remaining interest
payments. As of December 31, 2011, this exposure was $1,400.
The Company monitors the financial institutions that are counterparties to its equity derivative contracts
and it diversifies its equity derivative contracts among various counterparties to mitigate exposure to any
single financial institution. All of the counterparties to such transactions currently carry investment grade
credit ratings.