Comcast 2010 Annual Report Download - page 82

Table of Contents
Fixed to Variable Swaps
The notional amounts presented in the table above are used to measure interest to be paid or received and do not represent the
amount of exposure to credit loss. The estimated fair value represents the approximate amount of proceeds or payments required
to settle the contracts, including accrued interest of $41 million and $40 million as of December 31, 2010 and 2009, respectively.
For derivative financial instruments used to hedge exposure to equity price risk that are designated and effective as fair value
hedges, such as the derivative component of a prepaid forward sale agreement, changes in the fair value of the derivative financial
instrument substantially offset changes in the fair value of the underlying investment, each of which is recorded to investment
income (loss), net. As of December 31, 2010 and 2009, the fair value of our prepaid forward sale agreement designated as a fair
value hedge was a liability of $29 million and an asset of $20 million, respectively.
Amount of Gain (Loss) Recognized in Income
— Fair Value Hedges
Pretax Amount of Gain (Loss) Recognized in Accumulated Other Comprehensive Income — Cash Flow Hedges
December 31 (in millions)
2010
2009
Maturities
2011
-
2018
2010-
2018
Notional amount
$
5,300
$
3,750
Average pay rate
3.7
%
2.9
%
Average receive rate
6.6
%
6.3
%
Estimated fair value
$
273
$
183
Year ended December 31 (in millions)
2010
2009
Interest Income (Expense):
Interest rate swap agreements (fixed to variable)
$
90
$
(148
)
Long
-
term debt
—
interest rate swap agreements (fixed to variable)
(90
)
148
Investment Income (Expense):
Unrealized gains (losses) on securities underlying prepaid forward sale agreement
74
46
Mark to market adjustments on derivative component of prepaid forward sale agreement
(49
)
(37
)
Gain (loss) on fair value hedging relationships
$
25
$
9
2010
2009
Year ended December 31 (in millions)
Interest
Rate
Risk
Foreign
Exchange
Risk
Total
Interest
Rate
Risk
Foreign
Exchange
Risk
Total
Deferred gain (loss) recognized
$
(98
)
$
(29
)
$
(127
)
$ — $ —
$
—
Deferred (gain) loss reclassified to income
34
21
55
55
—
55
Total change in accumulated other comprehensive income
$
(64
)
$
(8
)
$
(72
)
$
55
$
—
$
55
(a)
The interest rate risk amount in 2010 includes an $18 million loss related to a forecasted debt issuance that did not occur.
Comcast 2010 Annual Report on Form 10-K
72
Cash Flow Hedges
For derivative financial instruments designated as cash flow
hedges of interest rate risk, such as variable to fixed swaps,
rate locks and collars, the effective portion of the hedge is
reported in accumulated other comprehensive income (loss)
and recognized as an adjustment to interest expense over
the period in which the related interest costs are recognized
in earnings. When hedged variable-rate debt is settled prior
to maturity, any remaining unrealized gain or loss from the
hedge is recognized in interest expense in a manner similar
to debt extinguishment costs. When hedged forecasted debt
issuances become probable of not occurring, any unrealized
gain or loss is recognized in other income (expense).
For derivative financial instruments designated as cash flow
hedges of foreign exchange risk, such as cross-currency
swaps, the effective portion of the hedge is reported in
accumulated other comprehensive income (loss). These
amounts are recognized as an adjustment to other income
(expense) in the period in which the remeasurement effects
of changes in exchange rates on the foreign currency
denominated debt are recognized in earnings. When hedged
foreign currency denominated debt is settled, any remaining
unrealized gain or loss from the hedge is recognized in other
income (expense).
(a)