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Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 2024
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, 2024 and December 31, 2023 (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, 2024 |  | December 31, 2023 |  |  | September 30, 2024 |  | December 31, 2023
Interest rate swaps (4) | 12 |  | $ | 2,680.0 |  |  | $ | 1,630.0 | 3.71% | Jun 2025 - Aug 2027 | $ | 13.9 |  |  | $ | 0.3 |
Interest rate swaptions (5) | — |  | — |  |  | 1,000.0 |  | — |  | — |  |  | 2.6 |
Cross-currency swaps - Fair Value | 3 |  | 320.0 |  |  | 320.0 | (6) | Oct 2032 | (59.5) |  |  | (59.8) |
Cross-currency swaps - Net Investment | 3 |  | 280.0 |  |  | 280.0 | (7) | Oct 2032 | (52.8) |  |  | (53.2) |
Foreign currency forwards | 31 |  | 357.6 |  |  | 162.3 | (8) | Oct 2024 - Jun 2026 | (15.2) |  |  | 2.7 |
|  |  | $ | 3,637.6 |  |  | $ | 3,392.3 |  |  |  | $ | (113.6) |  |  | $ | (107.4) |
Derivatives not Designated as Hedging Instruments |  |  |  |  |  |  |  |
Currency exchange swaps | 3 |  | $ | 1,251.0 |  |  | $ | 1,810.6 | (9) | Oct 2024 | $ | (28.9) |  |  | $ | 8.9 |
|  |  | $ | 1,251.0 |  |  | $ | 1,810.6 |  |  |  | $ | (28.9) |  |  | $ | 8.9 |
Total of all Derivatives | $ | 4,888.6 |  |  | $ | 5,202.9 |  |  |  | $ | (142.5) |  |  | $ | (98.5) |
(1)This column represents the number of instruments outstanding as of September 30, 2024. (2)Weighted average strike rate is calculated using the notional value as of September 30, 2024. (3)This column represents maturity dates for instruments outstanding as of September 30, 2024. (4)During the nine months ended September 30, 2024, we entered into five variable-to-fixed interest rate swaps when we extended maturity of the 2023 term loans and designated them as cash flow hedges. We also designated five variable-to-fixed interest rate swaps we acquired from Spirit as cash flow hedges to mitigate the interest rate risk associated with the term loans we assumed in conjunction with our merger with Spirit. The acquisition date fair value of these derivatives was $35.1 million in total and will be reclassified from AOCI to interest expense over the remaining life of the term loans. (5)There were six interest swaptions equal to $1 billion in notional entered into in March 2023, of which $800 million was terminated in January 2024 in connection with a senior unsecured note issuance. A total termination premium of $3.4 million we received was deferred in other comprehensive income and will be recognized in interest expense over the 10-year tenor of the notes due 2034. The remaining swaption of the $200 million notional expired in January 2024. (6)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.681%. (7)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.716%. (8)Weighted average forward GBP-USD exchange rate of 1.28. (9)Weighted average exchange rates of 0.84 for EUR-GBP and 1.31 for GBP-USD.
Schedule of Gain (Loss) Recognized on Derivatives in Other Comprehensive Income | The following table summarizes the amount of unrealized gain (loss) on derivatives and foreign currency translation adjustments in other comprehensive income (in thousands):
| Three months ended September 30, |  | Nine months ended September 30, |  |
Derivatives in Cash Flow Hedging Relationships | 2024 |  | 2023 |  | 2024 |  | 2023 |  |
Interest rate swaps | $ | (30,051) |  |  | $ | (7,172) |  |  | $ | (18,206) |  |  | $ | (5,328) |  |  |
Foreign currency forwards | (17,414) |  |  | 3,156 |  |  | (17,947) |  |  | (6,039) |  |  |
Interest rate swaptions | 640 |  |  | 15,126 |  |  | 2,284 |  |  | 18,679 |  |  |
Total derivatives in cash flow hedging relationships | $ | (46,825) |  |  | $ | 11,110 |  |  | $ | (33,869) |  |  | $ | 7,312 |  |  |
Derivatives in Fair Value Hedging Relationships |  |  |  |  |  |  |  |  |
Cross-currency swaps - Fair Value | $ | 351 |  |  | $ | (3,917) |  |  | $ | 3,641 |  |  | $ | (8,691) |  |  |
Total derivatives in fair value hedging relationships | $ | 351 |  |  | $ | (3,917) |  |  | $ | 3,641 |  |  | $ | (8,691) |  |  |
Total unrealized (loss) gain on derivatives, net | $ | (46,474) |  |  | $ | 7,193 |  |  | $ | (30,228) |  |  | $ | (1,379) |  |  |
Derivatives and Non-derivatives in Net Investment Hedging Relationships |  |  |  |  |  |  |  |  |
Cross-currency swaps - Net Investment | $ | (12,715) |  |  | $ | — |  |  | $ | (1,094) |  |  | $ | — |  |  |
Foreign currency debt | (2,232) |  |  | — |  |  | (2,232) |  |  | — |  |  |
Total unrealized loss recorded in foreign currency translation adjustment | $ | (14,947) |  |  | $ | — |  |  | $ | (3,326) |  |  | $ | — |  |  |
Schedule 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 Recognized in Income | 2024 |  | 2023 |  | 2024 |  | 2023 |  |
Interest rate swaps |  | Interest | $ | 8,316 |  |  | $ | 5,316 |  |  | $ | 25,836 |  |  | $ | 10,055 |  |  |
Foreign currency forwards |  | Foreign currency and derivative (loss) gain, net | 739 |  |  | 1,662 |  |  | 4,419 |  |  | 3,985 |  |  |
Interest rate swaptions |  | Interest | 82 |  |  | (2,250) |  |  | (827) |  |  | (4,609) |  |  |
Total derivatives in cash flow hedging relationships |  |  | $ | 9,137 |  |  | $ | 4,728 |  |  | $ | 29,428 |  |  | $ | 9,431 |  |  |
Derivatives in Fair Value Hedging Relationships |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - Fair Value |  | Foreign currency and derivative (loss) gain, net | $ | 98 |  |  | $ | 570 |  |  | $ | 1,097 |  |  | $ | 1,054 |  |  |
Total derivatives in fair value hedging relationships |  |  | $ | 98 |  |  | $ | 570 |  |  | $ | 1,097 |  |  | $ | 1,054 |  |  |
Derivatives in Net Investment Hedging Relationships |  |  |  |  |  |  |  |  |  |  |
Cross-currency swaps - Net Investment (excluded component) |  | Foreign currency and derivative (loss) gain, net | $ | 549 |  |  | $ | — |  |  | $ | 2,356 |  |  | $ | — |  |  |
Total derivatives in net investment hedging relationships |  |  | $ | 549 |  |  | $ | — |  |  | $ | 2,356 |  |  | $ | — |  |  |
Net increase to net income |  |  | $ | 9,784 |  |  | $ | 5,298 |  |  | $ | 32,881 |  |  | $ | 10,485 |  |  |
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, |  |
| 2024 |  | 2023 |  | 2024 |  | 2023 |  |
Realized foreign currency and derivative (loss) gain, net: |  |  |  |  |  |  |  |  |
(Loss) gain on the settlement of undesignated derivatives | $ | (34,164) |  |  | $ | 11,432 |  |  | $ | (54,548) |  |  | $ | 10,106 |  |  |
Gain on the settlement of designated derivatives reclassified from AOCI | 1,386 |  |  | 2,233 |  |  | 7,872 |  |  | 5,039 |  |  |
(Loss) gain on the settlement of transactions with third parties | (18) |  |  | 410 |  |  | (33) |  |  | 1,685 |  |  |
Total realized foreign currency and derivative (loss) gain, net | $ | (32,796) |  |  | $ | 14,075 |  |  | $ | (46,709) |  |  | $ | 16,830 |  |  |
Unrealized foreign currency and derivative (loss) gain, net: |  |  |  |  |  |  |  |  |
(Loss) gain on the change in fair value of undesignated derivatives | $ | (28,915) |  |  | $ | 12,910 |  |  | $ | (23,369) |  |  | $ | 4,734 |  |  |
Gain (loss) on remeasurement of certain assets and liabilities | 60,039 |  |  | (29,798) |  |  | 72,963 |  |  | (16,607) |  |  |
Total unrealized foreign currency and derivative gain (loss), net | $ | 31,124 |  |  | $ | (16,888) |  |  | $ | 49,594 |  |  | $ | (11,873) |  |  |
Total foreign currency and derivative (loss) gain, net | $ | (1,672) |  |  | $ | (2,813) |  |  | $ | 2,885 |  |  | $ | 4,957 |  |  |

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