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As of December 31, 2011, our derivative financial instruments designated as hedges included (i) our interest
rate swap agreements, which are recorded to other current or noncurrent assets, (ii) certain of our foreign
exchange contracts, which are recorded to other current assets or accrued expenses and other current
liabilities, (iii) our cross-currency swaps, which are recorded to other noncurrent liabilities, and (iv) the
derivative component of one of our prepaid forward sale agreements, which is recorded to other noncurrent
liabilities.
As of December 31, 2011, our derivative financial instruments not designated as hedges were (i) certain of
our foreign exchange contracts, which are recorded to other current assets or accrued expenses and other
current liabilities, (ii) the derivative components of our indexed debt instruments, which are recorded to long-
term debt, and (iii) the derivative components of certain of our prepaid forward sale agreements, which are
recorded to other noncurrent liabilities.
See Note 11 for additional information on the fair values of our derivative financial instruments as of
December 31, 2011 and 2010.
Fair Value Hedges
For derivative financial instruments designated as fair value hedges of interest rate risk, such as fixed to varia-
ble swaps, changes in the fair value of the derivative financial instrument substantially offset changes in the
fair value of the underlying debt, each of which is recorded to interest expense. Using swaps, we agree to
exchange, at specified dates, the difference between fixed and variable interest amounts calculated by refer-
ence to an agreed-upon notional principal amount.
Terms of Outstanding Fixed to Variable Swaps
December 31 (in millions) 2011 2010
Maturities 2012-2018 2011-2018
Notional amount $ 4,500 $ 5,300
Average pay rate 4.1% 4.8%
Average receive rate 6.2% 6.6%
Estimated fair value $ 280 $ 273
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. Average pay rate is estimated using the average
implied LIBOR through the year of maturity based on the yield curve in effect plus the applicable borrowing
margin at the end of the period. The estimated fair value in the table above represents the approximate
amount of net proceeds required to settle the contracts, including accrued interest of $34 million and $41
million as of December 31, 2011 and 2010, respectively.
For derivative financial instruments designated as fair value hedges of equity price risk, such as the derivative
component of a prepaid forward sale agreement, changes in the fair value of the derivative financial instru-
ment 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, 2011 and 2010, the fair value of our prepaid forward sale
agreement designated as a fair value hedge was an asset of $4 million and a liability of $29 million,
respectively.
103 Comcast 2011 Annual Report on Form 10-K