The thing that makes this all the more bizarre and funny is that they never let on who they were. Now, certainly if you know Ferrell and Shannon, it's pretty clear that this was them. But there turns out to have been a LOT of people who didn't have any idea. And they watched the broadcast and were...well, bewildered. Tim Meadows also appeared on the show as himself, and a few other people assisted, as well.
Cord and Tish are super-upbeat people who just love the Rose Parade and have been hosting it for 25 years, so this is all very exciting for them.
Here are three videos, starting with some of the broadcast. The quality is a little off, since it comes from someone recording off their TV screen, but it's very watchable.
And this is from the very end of the broadcast, as Cord and Tish talk over the end credits, unaware that their mics are still on. (If viewers stuck around to this point and didn't know who they were watching, the credits clearly explain that.)
Finally, as a bonus, here's Molly Shannon as a guest on Stephen Colbert's show, and she talks about the Rose Parade for the first four minutes of her interview, including the reviews and rating they got on Amazon.