Derivative Instruments

12 Months Ended

Dec. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivative Instruments

Derivative Instruments

In general, we seek to enter into derivative instruments to protect against (i) increases in the interest rates on our variable-rate debt, (ii) foreign currency movements, particularly with respect to borrowings that are denominated in a currency other than the functional currency of the borrowing entity and (iii) decreases in the market prices of certain publicly traded securities that we own. In this regard, through our subsidiaries, we have entered into various derivative instruments to manage interest rate exposure and foreign currency exposure with respect to the U.S. dollar ($), the euro (€), the British pound sterling (£), the Swiss franc (CHF), the Chilean peso (CLP), the Czech koruna (CZK), the Hungarian forint (HUF), Indian rupee (INR), the Jamaican dollar (JMD), the Philippine peso (PHP), the the Polish zloty (PLN) and the Romanian lei (RON).

The following table provides details of the fair values of our derivative instrument assets and liabilities:

 

	December 31, 2016						December 31, 2015
	Current (a)		Long-term (a)		Total		Current (a)		Long-term (a)		Total
	in millions
Assets:
Cross-currency and interest rate derivative contracts:
Liberty Global Group	$	337.5	$	2,123.1	$	2,460.6	$	263.6	$	1,518.5	$	1,782.1
LiLAC Group	6.9		139.0		145.9		11.8		291.7		303.5
Total cross-currency and interest rate derivative contracts (b)	344.4		2,262.1		2,606.5		275.4		1,810.2		2,085.6
Equity-related derivative instruments - Liberty Global Group (c)	37.1		486.9		524.0		135.5		273.0		408.5
Foreign currency forward and option contracts:
Liberty Global Group	30.7		14.1		44.8		6.2		—		6.2
LiLAC Group	0.3		—		0.3		4.2		—		4.2
Total foreign currency forward and option contracts	31.0		14.1		45.1		10.4		—		10.4
Other - Liberty Global Group	0.2		0.3		0.5		0.6		1.0		1.6
Total assets:
Liberty Global Group	405.5		2,624.4		3,029.9		405.9		1,792.5		2,198.4
LiLAC Group	7.2		139.0		146.2		16.0		291.7		307.7
Total	$	412.7	$	2,763.4	$	3,176.1	$	421.9	$	2,084.2	$	2,506.1
Liabilities:
Cross-currency and interest rate derivative contracts:
Liberty Global Group	$	239.1	$	999.6	$	1,238.7	$	304.9	$	1,194.7	$	1,499.6
LiLAC Group	24.6		28.9		53.5		—		13.8		13.8
Total cross-currency and interest rate derivative contracts (b)	263.7		1,028.5		1,292.2		304.9		1,208.5		1,513.4
Equity-related derivative instruments - Liberty Global Group (c)	8.6		—		8.6		34.7		39.7		74.4
Foreign currency forward contracts:
Liberty Global Group	4.7		0.1		4.8		1.1		—		1.1
LiLAC Group	4.2		—		4.2		—		—		—
Total foreign currency forward and option contracts	8.9		0.1		9.0		1.1		—		1.1
Other - Liberty Global Group	—		0.1		0.1		5.6		0.1		5.7
Total liabilities:
Liberty Global Group	252.4		999.8		1,252.2		346.3		1,234.5		1,580.8
LiLAC Group	28.8		28.9		57.7		—		13.8		13.8
Total	$	281.2	$	1,028.7	$	1,309.9	$	346.3	$	1,248.3	$	1,594.6

_______________ 

(a) Our current derivative liabilities, long-term derivative assets and long-term derivative liabilities are included in other current and accrued liabilities, other assets, net, and other long-term liabilities, respectively, in our consolidated balance sheets.

(b) We consider credit risk in our fair value assessments. As of December 31, 2016 and 2015, (i) the fair values of our cross-currency and interest rate derivative contracts that represented assets have been reduced by credit risk valuation adjustments aggregating $93.1 million and $64.0 million, respectively, and (ii) the fair values of our cross-currency and interest rate derivative contracts that represented liabilities have been reduced by credit risk valuation adjustments aggregating $71.5 million and $86.5 million, respectively. The adjustments to our derivative assets relate to the credit risk associated with counterparty nonperformance, and the adjustments to our derivative liabilities relate to credit risk associated with our own nonperformance. In all cases, the adjustments take into account offsetting liability or asset positions within a given contract. Our determination of credit risk valuation adjustments generally is based on our and our counterparties’ credit risks, as observed in the credit default swap market and market quotations for certain of our subsidiaries’ debt instruments, as applicable. The changes in the credit risk valuation adjustments associated with our cross-currency and interest rate derivative contracts resulted in net losses of $16.4 million, $9.3 million and $120.9 million during 2016, 2015 and 2014, respectively. These amounts are included in realized and unrealized gains on derivative instruments, net, in our consolidated statements of operations. For further information regarding our fair value measurements, see note 8.

(c) Our equity-related derivative instruments primarily include the fair value of (i) the ITV Collar (ii) the share collar with respect to the shares of Sumitomo held by our company (the Sumitomo Collar), (iii) the Lionsgate Forward and (iv) at December 31, 2015, Virgin Media’s conversion hedges with respect to Virgin Media’s 6.50% convertible senior notes (the Virgin Media Capped Calls). The fair values of the ITV Collar, the Sumitomo Collar and the Lionsgate Forward do not include credit risk valuation adjustments as we assume that any losses incurred by our company in the event of nonperformance by the respective counterparty would be, subject to relevant insolvency laws, fully offset against amounts we owe to such counterparty pursuant to the related secured borrowing arrangements.

The details of our realized and unrealized gains on derivative instruments, net, are as follows:

	Year ended December 31,
	2016			2015			2014
	in millions
Cross-currency and interest rate derivative contracts:
Liberty Global Group	$	716.2		$	855.7		$	252.5
LiLAC Group	(216.8		)	217.0			41.1
Total cross-currency and interest rate derivative contracts	499.4			1,072.7			293.6
Equity-related derivative instruments - Liberty Global Group:
ITV Collar	351.5			(222.6		)	(77.4		)
Sumitomo Collar	(25.6		)	(20.3		)	(46.0		)
Lionsgate Forward	10.1			14.5			—
Ziggo Collar (a)	—			—			(113.3		)
Other	1.6			0.7			0.4
Total equity-related derivative instruments	337.6			(227.7		)	(236.3		)
Foreign currency forward and option contracts:
Liberty Global Group	18.1			(9.0		)	29.0
LiLAC Group	(9.1		)	10.3			2.6
Total foreign currency forward contracts	9.0			1.3			31.6
Other - Liberty Global Group	(0.9		)	0.9			(0.1		)
Total Liberty Global Group	1,071.0			619.9			45.1
Total LiLAC Group	(225.9		)	227.3			43.7
Total	$	845.1		$	847.2		$	88.8

_______________ 

(a) Upon completion of the Ziggo Acquisition, the Ziggo Collar (as defined and described below) was terminated.

The following table sets forth the classification of the net cash inflows (outflows) of our derivative instruments:

	Year ended December 31,
	2016			2015			2014
	in millions
Operating activities:
Liberty Global Group	$	47.9		$	(225.9	)	$	(425.2	)
LiLAC Group	(6.1		)	(28.8		)	(20.5		)
Total operating activities	41.8			(254.7		)	(445.7		)
Investing activities:
Liberty Global Group	(2.9		)	15.6			(30.2		)
LiLAC Group	(3.4		)	2.2			—
Total investing activities	(6.3		)	17.8			(30.2		)
Financing activities:
Liberty Global Group	(251.5		)	(301.2		)	(183.6		)
LiLAC Group	—			—			(37.4		)
Total financing activities	(251.5		)	(301.2		)	(221.0		)
Total cash outflows:
Liberty Global Group	(206.5		)	(511.5		)	(639.0		)
LiLAC Group	(9.5		)	(26.6		)	(57.9		)
Total	$	(216.0	)	$	(538.1	)	$	(696.9	)

Counterparty Credit Risk

We are exposed to the risk that the counterparties to the derivative instruments of our subsidiary borrowing groups will default on their obligations to us. We manage these credit risks through the evaluation and monitoring of the creditworthiness of, and concentration of risk with, the respective counterparties. In this regard, credit risk associated with our derivative instruments is spread across a relatively broad counterparty base of banks and financial institutions. With the exception of a limited number of instances where we have required a counterparty to post collateral, neither party has posted collateral under the derivative instruments of our subsidiary borrowing groups. At December 31, 2016, our exposure to counterparty credit risk included derivative assets with an aggregate fair value of $2,424.6 million.

Each of our subsidiary borrowing groups have entered into derivative instruments under master agreements with each counterparty that contain master netting arrangements that are applicable in the event of early termination by either party to such derivative instrument. The master netting arrangements under each of these master agreements are limited to the derivative instruments governed by the relevant master agreement within each individual borrowing group and are independent of similar arrangements of our other subsidiary borrowing groups.

Under our derivative contracts, it is generally only the non-defaulting party that has a contractual option to exercise early termination rights upon the default of the other counterparty and to set off other liabilities against sums due upon such termination. However, in an insolvency of a derivative counterparty, under the laws of certain jurisdictions, the defaulting counterparty or its insolvency representatives may be able to compel the termination of one or more derivative contracts and trigger early termination payment liabilities payable by us, reflecting any mark-to-market value of the contracts for the counterparty. Alternatively, or in addition, the insolvency laws of certain jurisdictions may require the mandatory set off of amounts due under such derivative contracts against present and future liabilities owed to us under other contracts between us and the relevant counterparty. Accordingly, it is possible that we may be subject to obligations to make payments, or may have present or future liabilities owed to us partially or fully discharged by set off as a result of such obligations, in the event of the insolvency of a derivative counterparty, even though it is the counterparty that is in default and not us. To the extent that we are required to make such payments, our ability to do so will depend on our liquidity and capital resources at the time. In an insolvency of a defaulting counterparty, we will be an unsecured creditor in respect of any amount owed to us by the defaulting counterparty, except to the extent of the value of any collateral we have obtained from that counterparty.

In addition, where a counterparty is in financial difficulty, under the laws of certain jurisdictions, the relevant regulators may be able to (i) compel the termination of one or more derivative instruments, determine the settlement amount and/or compel, without any payment, the partial or full discharge of liabilities arising from such early termination that are payable by the relevant counterparty or (ii) transfer the derivative instruments to an alternative counterparty.

Details of our Derivative Instruments

In the following tables, we present the details of the various categories of our subsidiaries’ derivative instruments. For each subsidiary with multiple derivative instruments that mature within the same calendar month, the notional amounts are shown in the aggregate, and interest rates are presented on a weighted average basis. In addition, for derivative instruments that were in effect as of December 31, 2016, we present a single date that represents the applicable final maturity date. For derivative instruments that become effective subsequent to December 31, 2016, we present a range of dates that represents the period covered by the applicable derivative instruments.

Cross-currency and Interest Rate Derivative Contracts

Cross-currency Swaps:

The terms of our outstanding cross-currency swap contracts at December 31, 2016 are as follows:

Subsidiary / Final maturity date	Notional amount due from counterparty		Notional amount due to counterparty		Interest rate due from counterparty	Interest rate due to (from) counterparty
	in millions
Virgin Media Investment Holdings Limited (VMIH), a subsidiary of Virgin Media:
January 2023	$	400.0	€	339.6	5.75%	4.33%
January 2025	$	1,855.0	£	1,231.6	6 mo. LIBOR + 2.75%	6 mo. GBP LIBOR + 3.27%
January 2023	$	1,000.0	£	648.6	5.25%	5.32%
January 2025	$	970.0	£	742.6	6 mo. LIBOR + 2.75%	4.68%
August 2024	$	750.0	£	527.0	5.50%	5.46%
February 2022 (a)	$	688.6	£	429.0	4.93%	5.39%
April 2023 (a)	$	480.0	£	299.1	1.55%	1.78%
February 2022 - April 2023	$	475.0	£	295.6	4.88%	5.32%
October 2022	$	450.0	£	272.0	6.00%	6.43%
January 2021	$	447.9	£	276.7	5.25%	6 mo. GBP LIBOR + 2.06%
January 2022 - January 2025	$	425.0	£	255.8	3 mo. LIBOR	4.86%
January 2022	$	425.0	£	255.8	5.50%	4.86%
January 2025	$	383.5	£	239.5	6 mo. LIBOR + 2.75%	5.56%
April 2019	$	191.5	£	122.3	6 mo. LIBOR + 2.75%	4.45%
April 2019 - January 2025	$	191.5	£	122.3	6 mo. LIBOR + 2.75%	5.43%
October 2019	$	100.0	£	65.4	7.19%	7.23%
October 2019 - October 2022	$	50.0	£	30.7	6.00%	5.75%
October 2019 - April 2023	$	50.0	£	30.3	6.38%	6.84%

Subsidiary / Final maturity date	Notional amount due from counterparty		Notional amount due to counterparty		Interest rate due from counterparty	Interest rate due to (from) counterparty
	in millions
October 2019 (a)	£	30.3	$	50.0	2.14%	2.00%
UPC Broadband Holding B.V. (UPC Broadband Holding), a subsidiary of UPC Holding:
January 2023	$	1,140.0	€	1,043.7	5.38%	3.71%
August 2024	$	412.9	€	315.8	6 mo. LIBOR + 3.00%	6 mo. EURIBOR + 3.36%
August 2024	$	325.0	€	238.7	6 mo. LIBOR + 3.00%	3.87%
January 2017 - August 2024	$	262.1	€	194.1	6 mo. LIBOR + 3.00%	6 mo. EURIBOR + 3.13%
August 2024	$	250.0	€	181.4	7.25%	7.15%
August 2024	$	225.0	CHF	206.3	6 mo. LIBOR + 3.00%	3.02%
August 2024	$	200.0	CHF	186.0	6 mo. LIBOR + 3.00%	6 mo. CHF LIBOR + 3.05%
January 2017 - July 2023	$	200.0	CHF	185.5	6 mo. LIBOR + 2.50%	6 mo. CHF LIBOR + 2.48%
August 2024	$	175.0	CHF	158.7	7.25%	6 mo. CHF LIBOR + 5.01%
January 2017 - July 2021	$	100.0	CHF	92.8	6 mo. LIBOR + 2.50%	6 mo. CHF LIBOR + 2.49%
July 2021 - August 2024	$	100.0	CHF	92.8	6 mo. LIBOR + 3.00%	6 mo. CHF LIBOR + 2.48%
August 2024 (a)	€	379.2	$	425.0	2.45%	2.76%
September 2022	€	600.0	CHF	728.2	6 mo. EURIBOR + 2.59%	6 mo. CHF LIBOR + 2.71%
January 2020	€	460.1	CHF	566.5	9.41%	8.21%
July 2023	€	450.0	CHF	488.6	—%	(0.45)%
January 2017 - August 2024	€	383.8	CHF	477.0	6 mo. EURIBOR + 2.00%	6 mo. CHF LIBOR + 2.27%
January 2021	€	234.2	CHF	253.0	2.51%	2.22%
January 2020	€	161.0	CHF	264.0	6 mo. EURIBOR + 3.75%	6 mo. CHF LIBOR + 2.88%
August 2024	€	70.1	CHF	84.8	6 mo. EURIBOR + 2.50%	6 mo. CHF LIBOR + 3.07%
July 2023	€	56.0	CHF	62.4	6 mo. EURIBOR + 2.21%	6 mo. CHF LIBOR + 2.65%
January 2020	€	318.9	CZK	8,818.7	5.58%	5.44%
January 2022	€	99.6	CZK	2,703.1	4.51%	4.82%
December 2021	€	488.0	HUF	138,437.5	5.50%	7.39%
January 2022	€	707.0	PLN	2,999.5	5.10%	8.15%
January 2020	€	144.6	PLN	605.0	5.50%	7.98%
January 2022	€	191.0	RON	490.0	3.19%	10.94%
Unitymedia Hessen GmbH & Co. KG (Unitymedia Hessen), a subsidiary of Unitymedia:
January 2023	$	2,450.0	€	1,799.0	5.62%	4.76%
Telenet International Finance S.a.r.l (Telenet International), a subsidiary of Telenet:
June 2024	$	850.0	€	743.3	3 mo. LIBOR + 3.50%	3.47%

Subsidiary / Final maturity date	Notional amount due from counterparty		Notional amount due to counterparty		Interest rate due from counterparty	Interest rate due to (from) counterparty
	in millions
January 2025	$	650.0	€	587.1	3 mo. LIBOR + 3.00%	3.16%
June 2024	€	743.3	$	850.0	0.47%	0.50%
Sable International Finance Limited (Sable), a subsidiary of CWC:
December 2022	$	108.3	JMD	13,817.5	—%	8.75%
March 2019	£	146.7	$	194.3	8.63%	9.79%
VTR:
January 2022	$	1,400.0	CLP	951,390.0	6.88%	6.36%

_______________ 

(a) Unlike the other cross-currency swaps presented in this table, the identified cross-currency swaps do not involve the exchange of notional amounts at the inception and maturity of the instruments. Accordingly, the only cash flows associated with these derivative instruments are interest payments and receipts.

Interest Rate Swaps:

The terms of our outstanding interest rate swap contracts at December 31, 2016 are as follows:

Subsidiary / Final maturity date	Notional amount		Interest rate due from counterparty	Interest rate due to (from) counterparty
	in millions
VMIH:
October 2017	$	1,855.0	1 mo. LIBOR + 2.75%	6 mo. LIBOR + 2.47%
October 2018	£	1,198.3	6 mo. GBP LIBOR	1.52%
January 2021	£	905.1	6 mo. GBP LIBOR + 0.71%	2.37%
October 2018 - January 2025	£	858.3	6 mo. GBP LIBOR	2.41%
June 2023	£	849.4	6 mo. GBP LIBOR	1.70%
January 2021	£	628.4	5.50%	6 mo. GBP LIBOR + 1.84%
October 2018 - June 2023	£	340.0	6 mo. GBP LIBOR	2.43%
April 2023	£	108.9	6.85%	6 mo. GBP LIBOR + 5.62%
October 2022	£	51.5	6.42%	6 mo. GBP LIBOR + 5.23%
January 2025	£	33.3	6 mo. GBP LIBOR	1.37%
UPC Broadband Holding:
January 2017 - January 2018	$	2,150.0	1 mo. LIBOR + 3.00%	6 mo. LIBOR + 2.56%
August 2024	$	425.0	6 mo. LIBOR + 5.76%	7.25%
September 2022	€	600.0	6.38%	6 mo. EURIBOR + 4.14%
January 2026 (a)	€	600.0	6 mo. EURIBOR	1.54%
September 2022	CHF	728.2	6 mo. CHF LIBOR	1.75%
August 2024	CHF	558.8	6 mo. CHF LIBOR	0.93%
July 2021 - August 2024	CHF	400.0	6 mo. CHF LIBOR	0.02%
July 2021	CHF	400.0	6 mo. CHF LIBOR	0.40%
August 2024	CHF	279.2	6 mo. CHF LIBOR + 2.85%	3.13%
January 2020	CHF	264.0	6 mo. CHF LIBOR	(0.65)%

Subsidiary / Final maturity date	Notional amount		Interest rate due from counterparty	Interest rate due to (from) counterparty
	in millions
Unitymedia Hessen:
January 2023	€	268.2	6 mo. EURIBOR + 4.82%	5.01%
January 2023	€	268.2	5.02%	6 mo. EURIBOR + 4.82%
Telenet International:
December 2017 (a)	$	1,500.0	1 mo. LIBOR + 3.00%	3 mo. LIBOR + 2.83%
June 2023	€	1,300.0	3 mo. EURIBOR	0.33%
June 2023 - January 2025	€	1,093.0	3 mo. EURIBOR	1.09%
July 2017	€	800.0	3 mo. EURIBOR	(0.17)%
June 2023	€	557.0	0.04%	3 mo. EURIBOR
June 2022 - January 2025	€	475.0	3 mo. EURIBOR	0.94%
July 2017 - June 2022	€	420.0	3 mo. EURIBOR	2.08%
July 2017 - June 2023	€	382.0	3 mo. EURIBOR	1.89%
June 2022	€	55.0	3 mo. EURIBOR	1.81%
June 2023 - January 2025	€	32.0	3 mo. EURIBOR	1.10%
Sable:
December 2017 (a)	$	1,100.0	1 mo. LIBOR + 4.75%	3 mo. LIBOR + 4.68%
December 2022	$	1,100.0	3 mo. LIBOR	1.84%
Liberty Puerto Rico:
January 2022	$	506.3	3 mo. LIBOR	2.49%
January 2019	$	168.8	3 mo. LIBOR	1.96%

_______________

(a) Represents interest rate swap contracts in which the receivable portion of the contract has an interest rate floor.

Interest Rate Caps

Our purchased and sold interest rate cap contracts with respect to EURIBOR at December 31, 2016 are detailed below:

	December 31, 2016
Subsidiary / Final maturity date	Notional amount		EURIBOR cap rate
	in millions
Interest rate caps purchased:
Virgin Media Receivables Financing PLC (a):
October 2020	£	125.0	0.97%
Liberty Global Europe Financing B.V. (LGE Financing), the immediate parent of UPC Holding (b):
January 2020	€	735.0	7.00%
Telenet International (b):
June 2017	€	50.0	4.50%
Telenet N.V., a subsidiary of Telenet (b):
December 2017	€	0.3	6.50%
December 2017	€	0.3	5.50%
Liberty Puerto Rico (a):
January 2022	$	258.8	3.50%
January 2019 - July 2023	$	177.5	3.50%
Interest rate cap sold (c):
UPC Broadband Holding:
January 2020	€	735.0	7.00%

_______________

(a) These purchased interest rate caps entitle us to receive payments from the counterparty when the relevant LIBOR exceeds the LIBOR cap rate during the specified observation periods.

(b) These purchased interest rate caps entitle us to receive payments from the counterparty when the relevant EURIBOR exceeds the EURIBOR cap rate during the specified observation periods.

(c) Our sold interest rate cap requires that we make payments to the counterparty when the relevant EURIBOR exceeds the EURIBOR cap rate during the specified observation periods.

Interest Rate Collars

Our interest rate collar contracts establish floor and cap rates with respect to EURIBOR on the indicated notional amounts at December 31, 2016, as detailed below:

	December 31, 2016
Subsidiary / Final maturity date	Notional amount		EURIBOR floor rate (a)	EURIBOR cap rate (b)
	in millions
UPC Broadband Holding:
July 2017 - January 2020	€	1,135.0	1.00%	3.54%

 _______________

(a) We make payments to the counterparty when the relevant EURIBOR is less than the EURIBOR floor rate during the specified observation periods.

(b) We receive payments from the counterparty when the relevant EURIBOR is greater than the EURIBOR cap rate during the specified observation periods.

Equity-related Derivative Instruments

ITV Collar and Secured Borrowing. The ITV Collar comprises (i) purchased put options exercisable by Liberty Global Incorporated Limited (Liberty Global Limited), our wholly-owned subsidiary, and (ii) written call options exercisable by the counterparty. The ITV Collar effectively hedges the value of our investment in ITV shares from losses due to market price decreases below the put option price while retaining a portion of the gains from market price increases up to the call option price. The fair value of the ITV Collar as of December 31, 2016 was a net asset of $311.9 million, which is classified as non-current in our consolidated balance sheet. For additional information regarding our investment in ITV, see note 6. The ITV Collar has settlement dates ranging from October 2017 through May 2019.

The ITV Collar and related agreements also provide Liberty Global Limited with the ability to effectively finance the purchase of its ITV shares pursuant to the ITV Collar Loan. In July 2014 and in connection with our initial investment in ITV, Liberty Global Limited borrowed £446.9 million ($764.5 million at the transaction date) under the ITV Collar Loan. In July 2015 and in connection with an additional investment in ITV (the Additional ITV Investment), Liberty Global Limited (i) modified the purchased put option and written call option strike prices within the ITV Collar and (ii) increased its borrowings under the ITV Collar Loan, resulting in net cash received of $92.0 million. The amount received in connection with the Additional ITV Investment includes $77.5 million of cash borrowings under the ITV Collar Loan that were not required to fund the Additional ITV Investment and $14.5 million related to the ITV Collar Loan modifications. Immediately prior to the completion of these modifications, the fair value of the ITV Collar was a $270.5 million liability. In connection with the ITV Collar modifications, this liability was effectively transferred on a non-cash basis to the principal amount of the ITV Collar Loan.

At December 31, 2016, borrowings under the ITV Collar Loan were secured by all 398,515,510 of our ITV shares, which have been placed into a custody account. The ITV Collar Loan was issued at a discount with a zero coupon rate and has an average implied yield of 139 basis points (1.39%). The ITV Collar Loan, which has maturity dates consistent with the ITV Collar and contains no financial covenants, provides for customary representations and warranties, events of default and certain adjustment and termination events. Under the terms of the ITV Collar, the counterparty has the right to re-use the pledged ITV shares held in the custody account, but we have the right to recall the shares that are re-used by the counterparty subject to certain costs. In addition, the counterparty retains dividends on the ITV shares that the counterparty would need to borrow from the custody account to hedge its exposure under the ITV Collar (an estimated 390 million shares at December 31, 2016).

Sumitomo Collar and Secured Borrowing. The Sumitomo Collar comprises purchased put options exercisable by Liberty Programming Japan LLC (Liberty Programming Japan), our wholly-owned subsidiary, and written call options exercisable by the counterparty with respect to a portion of the Sumitomo shares owned by Liberty Programming Japan. At December 31, 2016, the Sumitomo Collar effectively hedges the value of 27,391,305, or 60%, of our Sumitomo shares from losses due to market price decreases below the put strike price. The Sumitomo Collar provides for a projected gross cash ordinary dividend to be paid per Sumitomo share during the term of the Sumitomo Collar. If the actual dividend paid does not exactly match the projected dividend, then an adjustment amount shall be payable between the parties to the Sumitomo Collar depending on the dividend actually paid by Sumitomo. The Sumitomo Collar may, at the option of Liberty Programming Japan, be settled in Sumitomo shares or in cash. The Sumitomo Collar also includes a purchased fair value put option, which effectively provides Liberty Programming Japan with the ability to sell the Sumitomo shares when the market price is trading between the put and call strike prices. The fair value of the Sumitomo Collar as of December 31, 2016 was a net asset of $179.9 million, which is classified as non-current in our consolidated balance sheet.

The Sumitomo Collar and related agreements also provide Liberty Programming Japan with the ability to borrow funds on a secured basis. Borrowings under these agreements (the Sumitomo Collar Loan) are secured by 60% of our Sumitomo shares and bear interest at 1.883%. The pledge arrangement entered into by Liberty Programming Japan provides that Liberty Programming Japan will be able to exercise all voting and consensual rights and, subject to the terms of the Sumitomo Collar, receive dividends on the Sumitomo shares. Borrowings under the Sumitomo Collar Loan are included in our long-term debt and capital lease obligations in our consolidated balance sheets. For additional information, see note 10.

The Sumitomo Collar and the Sumitomo Collar Loan each mature in five equal semi-annual installments, the first and second of which became due on May 22, 2016 and November 22, 2016. In May and November 2016, Liberty Programming Japan borrowed

shares of Sumitomo pursuant to a securities lending arrangement (the Sumitomo Share Loan) to settle the first and second installments due on the Sumitomo Collar Loan. The Sumitomo Share Loan, which we have elected to account for at fair value, bears interest at 1.10% and matures on the fifth anniversary of the respective borrowing dates. The Sumitomo Share Loan, together with the Sumitomo Collar, effectively hedge 100% of our Sumitomo shares from losses due to market price decreases. The Sumitomo Share Loan is secured by 40% of our Sumitomo shares. These shares were released from the Sumitomo Collar Loan after settlement of the first and second installments.

Lionsgate Forward and Secured Borrowing. The Lionsgate Forward has the economic equivalent of (i) purchased put options exercisable by Liberty Global Limited and (ii) written call options exercisable by the counterparty. The Lionsgate Forward effectively hedges the value of 2.5 million of our Lionsgate shares from losses due to market price decreases below the put option price while retaining a portion of the gains from market price increases up to the call option price. The fair value of the Lionsgate Forward as of December 31, 2016 was a net asset of $23.6 million, which is classified as non-current in our consolidated balance sheet. For additional information regarding our investment in Lionsgate, see note 6. The Lionsgate Forward has settlement dates ranging from July 2019 through March 2022.

The Lionsgate Forward and related agreements also provide Liberty Global Limited with the ability to effectively finance a portion of the purchase of its Lionsgate shares pursuant to the Lionsgate Loan. In November 2015, Liberty Global Limited borrowed $69.7 million under the Lionsgate Loan. At December 31, 2016, borrowings under the Lionsgate Loan were secured by 2.5 million of our Lionsgate shares, which have been placed into a custody account. The Lionsgate Loan was issued at a discount with a zero coupon rate and an average implied yield of 350 basis points (3.5%). The Lionsgate Loan, which has maturity dates consistent with the Lionsgate Forward and contains no financial covenants, provides for customary representations and warranties, events of default and certain adjustment and termination events. Under the terms of the Lionsgate Forward, the counterparty does not have the right to re-use the pledged Lionsgate shares without permission from Liberty Global. In addition, Liberty Global Limited is obligated to share with the counterparty the economic benefit of any dividends paid during the term of the pledge based on a formula that takes into account a theoretical hedging position by the counterparty under the Lionsgate Forward (an estimated 1.7 million shares at December 31, 2016).

Ziggo Collar and Secured Borrowing. During 2013, Liberty Global Limited entered into a share collar (the Ziggo Collar) and secured borrowing arrangement (the Ziggo Collar Loan) with respect to the then owned 24,957,000 Ziggo shares. The Ziggo Collar was comprised of (i) purchased put options exercisable by Liberty Global Limited and (ii) sold call options exercisable by the counterparty. Prior to the Ziggo Acquisition, the Ziggo Collar effectively hedged the value of a portion of our investment in Ziggo shares from significant losses due to market price decreases below the put option price while retaining a portion of the gains from market price increases up to the call option price. The Ziggo Collar and related agreements also provided Liberty Global Limited with the ability to effectively finance the purchase of certain of its Ziggo shares pursuant to the Ziggo Collar Loan. Upon completion of the Ziggo Acquisition (see note 4), the Ziggo Collar was terminated and the Ziggo Collar Loan was settled.

Virgin Media Capped Calls. During 2010, Virgin Media entered into the Virgin Media Capped Calls in order to offset a portion of the dilutive effects associated with the exchange of certain exchangeable notes of Virgin Media. During 2013, and in connection with the exchange of certain exchangeable notes of Virgin Media, we settled 93.8% of the notional amount of the Virgin Media Capped Calls. During 2016, the remaining outstanding notional amount of the Virgin Media Capped Calls was settled for cash proceeds of $36.2 million.

Foreign Currency Forwards

The following table summarizes our outstanding foreign currency forward contracts at December 31, 2016:

Subsidiary	Currency purchased forward		Currency sold forward		Maturity dates
	in millions
LGE Financing	$	166.1	€	143.8	January 2017 - October 2018
LGE Financing	$	133.7	£	94.6	January 2017 - February 2019
LGE Financing	€	126.0	£	99.0	January 2017 - December 2018
LGE Financing	£	2.7	€	3.2	April 2017 - December 2017
UPC Broadband Holding	$	2.6	CZK	60.0	January 2017 - December 2017
UPC Broadband Holding	€	368.1	CHF	398.6	January 2017 - June 2017
UPC Broadband Holding	€	20.1	CZK	540.0	January 2017 - December 2017
UPC Broadband Holding	€	19.0	HUF	6,000.0	January 2017 - December 2017
UPC Broadband Holding	€	36.0	PLN	160.9	January 2017 - December 2017
UPC Broadband Holding	£	0.9	€	1.2	January 2017 - March 2017
Telenet N.V.	$	47.1	€	41.5	January 2017 - November 2017
VTR	$	149.7	CLP	104,207.4	January 2017 - December 2017

Foreign Currency Forward Options

The following tables sets forth the outstanding foreign currency forward option contracts at December 31, 2016:

Subsidiary	Notional		Exchange Currency	Weighted Average Strike Price		Maturity dates
	in millions
VMIH (a)	£	7.0	Indian rupee	INR	95.28	January 2017 - March 2018
VMIH (a)	£	16.9	Philippine peso	PHP	66.35	January 2017 - September 2017
UPC Broadband Holding	€	286.6	Polish zloty	PLN	4.07	April 2018

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(a)

Represents the aggregate notional amount and the weighted average strike price for multiple contracts that expire at various dates within the disclosed range of maturity dates. We account for these contracts using hedge accounting.