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v3.23.3

Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Schedule of Derivative Financial Instruments | The following table summarizes the terms and fair values of our derivative financial instruments at September 30, 2023 and December 31, 2022 (dollars in millions):
Derivative Type | Number of Instruments(1) |  | Notional Amount as of | Weighted Average Strike Rate (2) | Maturity Date (3) | Fair Value - asset (liability) as of
Derivatives Designated as Hedging Instruments | September 30, 2023 |  | December 31, 2022 |  |  | September 30, 2023 |  | December 31, 2022
Interest rate swaps | 9 |  | $ | 1,630.0 |  |  | $ | 250.0 | 4.26% | Jan 2024 - Jan 2026 | $ | 1.3 |  |  | $ | 5.6 |
Interest rate swaptions | 6 |  | 1,000.0 |  |  | — |  | (4) | Feb 2034 | 21.7 |  |  | — |
Cross-currency swaps | 3 |  | 320.0 |  |  | 320.0 | (5) | Oct 2032 | (38.6) |  |  | (33.3) |
Foreign currency forwards | 26 |  | 160.7 |  |  | 185.5 | (6) | Oct 2023 - Dec 2024 | 10.1 |  |  | 16.1 |
|  |  | $ | 3,110.7 |  |  | $ | 755.5 |  |  |  | $ | (5.5) |  |  | $ | (11.6) |
Derivatives not Designated as Hedging Instruments |  |  |  |  |  |  |  |
Currency exchange swaps | 6 |  | $ | 1,650.6 |  |  | $ | 2,427.7 | (7) | Oct 2023 | $ | 6.6 |  |  | $ | 58.8 |
Cross-currency swaps | 3 |  | 280.0 |  |  | 280.0 | (5) | Oct 2032 | (34.7) |  |  | (29.5) |
|  |  | $ | 1,930.6 |  |  | $ | 2,707.7 |  |  |  | $ | (28.1) |  |  | $ | 29.3 |
Total of all Derivatives | $ | 5,041.3 |  |  | $ | 3,463.2 |  |  |  | $ | (33.6) |  |  | $ | 17.7 |
(1)This column represents the number of instruments outstanding as of September 30, 2023. (2)Weighted average strike rate is calculated using the notional value as of September 30, 2023. (3)This column represents maturity dates for instruments outstanding as of September 30, 2023. (4)Represent purchased payer swaptions with a strike rate of 3.75% and sold payer swaptions with a strike rate of 4.25%. (5)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.697%. (6)Weighted average forward GBP-USD exchange rate of 1.31. (7)Weighted average EUR-GBP exchange rates each of 0.86.
Schedule of Gain (Loss) Recognized on Derivatives in Other Comprehensive Income | The following table summarizes the amount of unrealized gain (loss) on derivatives in other comprehensive income (in thousands):
|  |  |  | Three months ended September 30, |  | Nine months ended September 30,
Derivatives in Cash Flow Hedging Relationships |  |  |  |  |  | 2023 |  | 2022 |  | 2023 |  | 2022
Cross-currency swaps |  |  |  |  |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | (5,091) |
Interest rate swaps |  |  |  |  |  | (7,172) |  |  | 30,838 |  |  | (5,328) |  |  | 100,229 |
Foreign currency forwards |  |  |  |  |  | 3,156 |  |  | 11,076 |  |  | (6,039) |  |  | 23,920 |
Interest rate swaptions |  |  |  |  |  | 15,126 |  |  | — |  |  | 18,679 |  |  | — |
Total derivatives in cash flow hedging relationships |  |  |  |  |  | $ | 11,110 |  |  | $ | 41,914 |  |  | $ | 7,312 |  |  | $ | 119,058 |
Derivatives in Fair Value Hedging Relationships |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps |  |  |  |  |  | $ | (3,917) |  |  | $ | — |  |  | $ | (8,691) |  |  | $ | — |
Total derivatives in fair value hedging relationships |  |  |  |  |  | $ | (3,917) |  |  | $ | — |  |  | $ | (8,691) |  |  | $ | — |
Total unrealized gain (loss) on derivatives |  |  |  |  |  | $ | 7,193 |  |  | $ | 41,914 |  |  | $ | (1,379) |  |  | $ | 119,058 |
Summary of Gain (Loss) on Derivatives Reclassified from Accumulated Other Comprehensive Income (Loss) | The following table summarizes the amount of gain (loss) on derivatives reclassified from AOCI (in thousands):
|  |  |  |  |  | Three months ended September 30, |  | Nine months ended September 30,
Derivatives in Cash Flow Hedging Relationships |  | Location of Gain (Loss) Recognized in Income |  |  |  |  |  | 2023 |  | 2022 |  | 2023 |  | 2022
Cross-currency swaps |  | Foreign currency and derivative (loss) gain, net |  |  |  |  |  | $ | — |  |  | $ | 2,784 |  |  | $ | — |  |  | $ | 30,425 |
Interest rate swaps |  | Interest expense |  |  |  |  |  | 5,316 |  |  | (1,286) |  |  | 10,055 |  |  | (5,969) |
Foreign currency forwards |  | Foreign currency and derivative (loss) gain, net |  |  |  |  |  | 1,662 |  |  | — |  |  | 3,985 |  |  | — |
Interest rate swaptions |  | Interest expense |  |  |  |  |  | (2,250) |  |  | — |  |  | (4,609) |  |  | — |
Total derivatives in cash flow hedging relationships |  |  |  |  |  |  |  | $ | 4,728 |  |  | $ | 1,498 |  |  | $ | 9,431 |  |  | $ | 24,456 |
Derivatives in Fair Value Hedging Relationships |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps |  | Foreign currency and derivative (loss) gain, net |  |  |  |  |  | $ | 570 |  |  | $ | — |  |  | $ | 1,054 |  |  | $ | — |
Total derivatives in fair value hedging relationships |  |  |  |  |  |  |  | $ | 570 |  |  | $ | — |  |  | $ | 1,054 |  |  | $ | — |
Net increase to net income |  |  |  |  |  |  |  | $ | 5,298 |  |  | $ | 1,498 |  |  | $ | 10,485 |  |  | $ | 24,456 |
Schedule of Foreign Currency and Derivative (Loss) Gain | The following table details our foreign currency and derivative gains (losses), net included in income (in thousands):
|  |  |  | Three months ended September 30, |  | Nine months ended September 30,
|  |  |  |  |  | 2023 |  | 2022 |  | 2023 |  | 2022
Realized foreign currency and derivative gain (loss), net: |  |  |  |  |  |  |  |  |  |  |  |
Gain on the settlement of undesignated derivatives |  |  |  |  |  | $ | 11,432 |  |  | $ | 4,050 |  |  | $ | 10,106 |  |  | $ | 80,677 |
Gain on the settlement of designated derivatives reclassified from AOCI |  |  |  |  |  | 2,233 |  |  | 2,784 |  |  | 5,039 |  |  | 30,425 |
Gain (loss) on the settlement of transactions with third parties |  |  |  |  |  | 410 |  |  | (111) |  |  | 1,685 |  |  | (41) |
Total realized foreign currency and derivative gain, net |  |  |  |  |  | $ | 14,075 |  |  | $ | 6,723 |  |  | $ | 16,830 |  |  | $ | 111,061 |
Unrealized foreign currency and derivative gain (loss), net: |  |  |  |  |  |  |  |  |  |  |  |
Gain (loss) on the change in fair value of undesignated derivatives |  |  |  |  |  | $ | 12,910 |  |  | $ | (24,488) |  |  | $ | 4,734 |  |  | $ | 35,506 |
Loss on remeasurement of certain assets and liabilities |  |  |  |  |  | (29,798) |  |  | (5,128) |  |  | (16,607) |  |  | (162,570) |
Total unrealized foreign currency and derivative loss, net |  |  |  |  |  | $ | (16,888) |  |  | $ | (29,616) |  |  | $ | (11,873) |  |  | $ | (127,064) |
Total foreign currency and derivative (loss) gain, net |  |  |  |  |  | $ | (2,813) |  |  | $ | (22,893) |  |  | $ | 4,957 |  |  | $ | (16,003) |

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