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Derivatives | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivatives |
1 3 . | DERIVATIVES
In the normal course of the Group’s business operations, it is exposed to certain risks, including changes in interest rates and foreign currency risk. In order to manage these risks, the Group uses derivative instruments such as futures, forward contracts, swaps, options and other instruments with similar characteristics. All of the Group’s derivatives are used for non-trading activities. Cash flow hedges of interest rate and foreign currency risk Interest rate and foreign currency risk arising from a portion of the Group’s floating interest rate USD First Lien Term Loan A maturing in 2028 and USD First Lien Term Loan B maturing in 2030 respectively are managed using interest rate swaps and cross-currency interest rate swaps respectively, which are designated as cash flow hedges with the objective of reducing the volatility of interest expense and foreign currency gains and losses. Under the terms of the cross-currency interest rate swaps, the Group makes fixed- rate interest payments in pounds sterling (GBP) or euro (EUR) and receives variable interest amounts in U.S. dollars (USD) from counterparties over the life of the agreements effectively converting the variable rate term loans into fixed interest rate debts with the exchange of the underlying notional amounts at maturity whereby the Group will receive USD from and pay GBP or EUR to the counterparties at exchange rates which are determined at contract inception. Under the terms of the interest rate swaps, the Group makes fixed rate interest payments and receives variable interest amounts in USD from counterparties over the life of the agreements, effectively converting the variable rate term loans into fixed interest rate debts. The notional amount of cross-currency interest rate swaps accounted for as cash-flow hedges was $1,599 million as of March 31, 2024, and $1,603 million as of December 31, 2023 with maturities of ranging from September 2024 to June 2025. The notional amount of interest-rate swaps accounted for as cash-flow hedges was $1,092 million as of March 31, 2024 and $1,094 million as of December 31, 2023 with maturities ranging from September 2024 to June 2025. Changes in the fair value on the portion of the derivative included in the assessment of hedge effectiveness of cash-flow hedges are recorded in other comprehensive income / (loss), until earnings are affected by the variability of cash flows. Amounts recorded in accumulated other comprehensive income / (loss) were recognized in earnings within interest expense, net when the hedged interest payment was accrued. In addition, since the cross-currency interest rate swaps was a hedge of variability of the functional-currency-equivalent cash flows of the recognized term loan liability remeasured at spot exchange rates under ASC 830, “Foreign Currency Matters,” an amount that offset the gain or loss arising from the remeasurement of the hedged term loan liability was reclassified each period from accumulated other comprehensive income / (loss) to earnings in the foreign exchange loss, net, which is a component of other income, net. The amount reclassified from accumulated other comprehensive income / (loss) into earnings was a net loss of $14 million for the three months ended March 31, 2024 , and a net gain of $43 million for the three months ended March 31, 202 3 . The Group expects to reclassify a gain of $4 million from accumulated other comprehensive income / (loss) into earnings within the next 12 months. Net investment hedge The Group has investments in various subsidiaries which form part of the Group’s International segment with Euro functional currencies. As a result, the Group is exposed to the risk of fluctuations between the Euro and GBP exchange rates. The Group designated its EUR First Lien Term Loan A maturing in 2028, EUR First Lien Term Loan B maturing in 2026 and receive fixed rate, pay fixed rate cross-currency interest swaps whereby the Group will receive GBP from and pay Euro to the counterparties at exchange rates which are determined at contract inception, as a net investment hedge of its Euro denominated subsidiaries which are intended to mitigate foreign currency exposure related to non-GBP net investments in certain Euro functional subsidiaries. As of March 31, 2024, the nominal exposures of EUR First Lien Term Loan A and EUR First Lien Term Loan B designated as net investment hedges were $959 million. The designated hedge amounts were considered highly effective. The Group has also designated certain EUR cross currency interest rate swap contracts in net investment hedging relationships. The notional amount of cross-currency swaps accounted for as net investment hedges was $350 million as of March 31, 2024. The foreign currency transaction gains and losses on the euro-denominated portion of the term loan and the cross-currency interest swaps, which are designated and effective as a hedge of the Group’s net investment in its euro-denominated functional currency subsidiaries, are included as a component of the foreign currency translation adjustment. Losses, net of tax, included in the foreign currency translation adjustment were $21 million for the three months ended March 31, 2024, and gains, net of tax amounting to $4 million for the three months ended March 31, 2023. There were no amounts reclassified out of accumulated other comprehensive income (“AOCI”) pertaining to the net investment hedge during the three months ended March 31, 2024, and 2023 as the Group has not sold or liquidated (or substantially liquidated) its hedged subsidiaries. Economic hedges The Group uses cross-currency interest rate swaps to economically hedge the Group’s net foreign currency exposure arising from 1) the risk of fluctuations between the EUR and GBP exchange rates from the Group’s investment in various subsidiaries which form part of the Group’s International segment and 2) the risk of fluctuations between the USD and GBP exchange rates arising from the portion of the Group’s USD Term Loan that is not designated in a cash flow hedge. The cross-currency interest rate swaps are also used to manage the interest rate risk arising from the portion of the Group’s USD Term Loan that is not designated in a cash flow hedge. Under the terms of the cross-currency interest rate swaps, the Group makes fixed-rate interest payments in EUR and receives variable interest amounts in USD from counterparties over the life of the agreements effectively converting the variable rate debt into fixed interest rate debt with the exchange of the underlying notional amounts at maturity whereby the Group will receive USD from and pay EUR to the counterparties at exchange rates which are determined at contract inception. Changes in the fair value of these instruments are recorded in earnings throughout the term of the cross-currency interest rate swaps and are reported in other income, net in the Condensed Consolidated Statements of Comprehensive (Loss) / Income. As of March 31, 2024, the cross-currency interest rate swaps have maturities of September 2024 and June 2025. The following table summarizes the fair value of derivatives as of March 31, 2024 and December 31, 2023:
$ in millions |  | Derivative Assets |  |  | Derivative Liabilities |
|  | Mar-24 |  |  | Dec-23 |  |  | Mar-24 |  |  | Dec-23 |
|  | Balance sheet location |  |  | Fair value |  |  | Balance sheet location |  |  | Fair value |  |  | Balance sheet location |  |  | Fair value |  |  | Balance sheet location |  |  | Fair value |
Derivatives designated as cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency interest rate swaps |  |  | Prepaid expenses and other current assets |  |  | $ | — |  |  |  | Prepaid expenses and other current assets |  |  | $ | — |  |  |  | Other current liabilities |  |  | $ | (96 | ) |  |  | Other current liabilities |  |  | $ | (104 | )
Cross-currency interest rate swaps |  |  | Other non-current assets |  |  |  | — |  |  |  | Other non-current assets |  |  |  | — |  |  |  | Other non-current liabilities |  |  |  | (10 | ) |  |  | Other non-current liabilities |  |  |  | (21 | )
Interest rate swaps |  |  | Other non-current assets |  |  |  | 5 |  |  |  | Other non-current assets |  |  |  | — |  |  |  | Other non-current liabilities |  |  |  | — |  |  |  | Other non-current liabilities |  |  |  | — |
Total derivatives designated as cash flow hedges |  |  |  |  |  | $ | 5 |  |  |  |  |  |  | $ | — |  |  |  |  |  |  | $ | (106 | ) |  |  |  |  |  | $ | (125 | )
Derivatives designated as net investment hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency interest swaps |  |  | Other non-current assets |  |  |  | 4 |  |  |  | Other non-current assets |  |  | $ | — |  |  |  | Other non-current liabilities |  |  | $ | — |  |  |  | Other non-current liabilities |  |  | $ | (1 | )
Total derivatives designated as hedging instrument |  |  |  |  |  |  | 4 |  |  |  |  |  |  | $ | — |  |  |  |  |  |  | $ | — |  |  |  |  |  |  | $ | (1 | )
$ in millions |  | Derivative Assets |  |  | Derivative Liabilities |
|  | Mar-24 |  |  | Dec-23 |  |  | Mar-24 |  |  | Dec-23 |
Derivatives not designated as hedging instruments: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency interest rate swaps |  |  | Prepaid expenses and other current assets |  |  |  | 10 |  |  |  | Prepaid expenses and other current assets |  |  |  | — |  |  |  | Other current liabilities |  |  | $ | (49 | ) |  |  | Other current liabilities |  |  | $ | (52 | )
Total derivatives not designated as hedging instruments |  |  |  |  |  | $ | 10 |  |  |  |  |  |  | $ | — |  |  |  |  |  |  | $ | (49 | ) |  |  |  |  |  | $ | (52 | )
Total derivatives |  |  |  |  |  | $ | 19 |  |  |  |  |  |  | $ | — |  |  |  |  |  |  | $ | (155 | ) |  |  |  |  |  | $ | (178 | )

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- Definition The entire disclosure for derivative instruments and hedging activities including, but not limited to, risk management strategies, non-hedging derivative instruments, assets, liabilities, revenue and expenses, and methodologies and assumptions used in determining the amounts. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 40 -Name Accounting Standards Codification -Section 50 -Paragraph 5 -Subparagraph (f) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480237/815-40-50-5 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Topic 815 -SubTopic 10 -Name Accounting Standards Codification -Section 50 -Paragraph 5C -Subparagraph (b) -Publisher FASB -URI https://asc.fasb.org//1943274/2147480434/815-10-50-5C Reference 3: http://fasb.org/us-gaap/role/ref/legacyRef -Topic 815 -Name Accounting Standards Codification -Publisher FASB -URI https://asc.fasb.org//815/tableOfContent + Details
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