XML 145 R38.htm IDEA: XBRL DOCUMENT v3.19.3.a.u2
Derivative Instruments (Tables)
 12 Months Ended
Dec. 31, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Fair Values of Derivative Instrument Assets and Liabilities
The following table provides details of the fair values of our derivative instrument assets and liabilities:
 
December 31, 2019
 
December 31, 2018
 
Current
 
Long-term
 
Total
 
Current
 
Long-term
 
Total
 
in millions
Assets (a):
 
 
 
 
 
 
 
 
 
 
 
Cross-currency and interest rate derivative contracts (b)
$
270.8

 
$
886.4

 
$
1,157.2

 
$
372.7

 
$
1,370.1

 
$
1,742.8

Equity-related derivative instruments (c)
55.2

 
608.2

 
663.4

 
13.9

 
732.4

 
746.3

Foreign currency forward and option contracts
4.6

 
1.4

 
6.0

 
7.2

 
—

 
7.2

Other
0.5

 
0.4

 
0.9

 
0.4

 
—

 
0.4

Total
$
331.1

 
$
1,496.4

 
$
1,827.5

 
$
394.2

 
$
2,102.5

 
$
2,496.7

 
 
 
 
 
 
 
 
 
 
 
 
Liabilities (a):
 
 
 
 
 
 
 
 
 
 
 
Cross-currency and interest rate derivative contracts (b)
$
389.2

 
$
1,192.3

 
$
1,581.5

 
$
326.5

 
$
1,042.2

 
$
1,368.7

Equity-related derivative instruments (c)
—

 
—

 
—

 
1.4

 
—

 
1.4

Foreign currency forward and option contracts
1.2

 
—

 
1.2

 
0.5

 
—

 
0.5

Other
—

 
—

 
—

 
—

 
0.1

 
0.1

Total
$
390.4

 
$
1,192.3

 
$
1,582.7

 
$
328.4

 
$
1,042.3

 
$
1,370.7

_______________ 

(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, on our consolidated balance sheets.

(b)
We consider credit risk relating to our and our counterparties’ nonperformance in the fair value assessment of our derivative instruments. In all cases, the adjustments take into account offsetting liability or asset positions within each of our subsidiary borrowing groups (as defined and described in note 11). The changes in the credit risk valuation adjustments associated with our cross-currency and interest rate derivative contracts resulted in net gains (losses) of $16.6 million, ($71.1 million) and $168.4 million during 2019, 2018 and 2017, respectively. These amounts are included in realized and unrealized gains (losses) on derivative instruments, net, in our consolidated statements of operations. For further information regarding our fair value measurements, see note 9.

(c)
Our equity-related derivative instruments primarily include the fair value of (i) the ITV Collar and (ii) the Lionsgate Forward. The fair values of the ITV 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.

Schedule of Realized and Unrealized Losses on Derivative Instruments
The details of our realized and unrealized gains (losses) on derivative instruments, net, are as follows:
 
Year ended December 31,
 
2019
 
2018
 
2017
 
in millions
 
 
 
 
 
 
Cross-currency and interest rate derivative contracts
$
(207.3
)
 
$
905.8

 
$
(1,145.6
)
Equity-related derivative instruments:
 
 
 
 
 
ITV Collar
(84.4
)
 
176.7

 
215.0

Lionsgate Forward
13.0

 
30.1

 
(11.4
)
Sumitomo Collar (a)
—

 
(11.8
)
 
(77.4
)
Other
8.0

 
2.5

 
(3.9
)
Total equity-related derivative instruments
(63.4
)
 
197.5

 
122.3

Foreign currency forward and option contracts
77.4

 
22.7

 
(30.2
)
Other
1.3

 
(0.2
)
 
0.7

Total
$
(192.0
)
 
$
1,125.8

 
$
(1,052.8
)

_______________ 

(a)
On May 22, 2018, we settled the final tranche of the share collar (the Sumitomo Collar) and related borrowings with a portion of the existing Sumitomo shares held by our company. The aggregate market value of these shares on the transaction date was $159.3 million.
Schedule of Cash Received (Paid) Related to Derivative Instruments Statement of Cash Flows Location The following table sets forth the classification of the net cash inflows (outflows) of our derivative instruments:
 
Year ended December 31,
 
2019
 
2018
 
2017
 
in millions
 
 
 
 
 
 
Operating activities
$
179.0

 
$
244.4

 
$
6.8

Investing activities
—

 
—

 
(0.5
)
Financing activities
331.5

 
112.8

 
(138.1
)
Total
$
510.5

 
$
357.2

 
$
(131.8
)
Schedule of Derivative Instruments The following table sets forth the total notional amounts and the related weighted average remaining contractual lives of our cross-currency swap contracts at December 31, 2019:
Borrowing group
 
 
Notional amount due from counterparty
 
Notional amount due to
counterparty
 
Weighted average remaining life
 
 
 
in millions
 
 
in years
 
 









Virgin Media

$
10,857.5

 
£
8,003.6

 
(a)
5.6
 
 

£
2,296.2

 
$
3,300.0

 
(b)
5.1
 
 

€
246.3

 
$
271.1

 
 
3.0
 
 


 
 
 
 
 
 
 
UPC Holding
 
$
775.0

 
€
643.1

 
 
4.3
 
 
 
$
1,200.0

 
CHF
1,107.5

 
(a)
5.2
 
 
 
€
2,824.4

 
CHF
3,221.2

 
(a)
4.3
 
 
 
€
742.8

 
PLN
3,149.5

 
 
1.9




 
 
 
 
 
 
 
Telenet

$
3,940.0

 
€
3,489.6

 
(a)
6.0
 
 
 
€
291.5

 
$
350.0

 
(b)
6.0
_______________ 

(a)
Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to December 31, 2019. These instruments are typically entered into in order to extend existing hedges without the need to amend existing contracts.

(b)
Includes certain derivative instruments that 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 coupon-related payments and receipts. At December 31, 2019, the total U.S. dollar equivalents of the notional amount of these derivative instruments were $3.4 billion.

The following table sets forth certain information regarding our swaptions at December 31, 2019:
Borrowing group

Notional amount

Underlying swap currency

Weighted average option expiration period (a)

Weighted average strike rate (b)
 

in millions



in years











Virgin Media
$
7,085.7


£

1.0

2.40%
 
 
$
482.7

 
€
 
0.6
 
1.96%
______________ 

(a)
Represents the weighted average period until the date on which we have the option to enter into the interest rate swap contracts.

(b)
Represents the weighted average interest rate that we would pay if we exercised our option to enter into the interest rate swap contracts.

The following table sets forth the total U.S. dollar equivalents of the notional amounts and related weighted average remaining contractual lives of our basis swap contracts at December 31, 2019:
Borrowing group
 
Notional amount due from counterparty
 
Weighted average remaining life
 
 
in millions
 
in years
 
 
 
 
 
Virgin Media
$
4,493.7

 
0.5
 
 
 
 
 
Telenet
$
2,295.0

 
0.5

The impact of the derivative instruments that mitigate our foreign currency and interest rate risk, as described above, on our borrowing costs is as follows:
 
 
 
Decrease to
borrowing costs at December 31, 2019 (a)
 
 
 
 
Virgin Media
(0.20
)%
UPC Holding
(0.15
)%
Telenet
(0.58
)%
Total decrease to borrowing costs
(0.27
)%
_______________ 

(a)
Represents the effect of derivative instruments in effect at December 31, 2019 and does not include forward-starting derivative instruments or swaptions.
The following table sets forth the total U.S. dollar equivalents of the notional amounts and the related weighted average remaining contractual lives of our interest rate swap contracts at December 31, 2019:


Borrowing group
pays fixed rate

Borrowing group
receives fixed rate
Borrowing group

Notional
amount

Weighted average remaining life

Notional
amount

Weighted average remaining life
 

in millions

in years

in millions

in years



 




 


Virgin Media
$
21,715.5

(a)
 
2.7
 
$
11,542.6

(a)
 
4.4


 
 
 
 
 
 
 
 
 
UPC Holding
$
7,237.1

(a)
 
3.5
 
$
5,312.1

 
 
5.9


 
 
 
 
 
 
 
 
 
Telenet
$
3,239.1

(a)
 
5.2
 
$
1,602.4

 
 
3.7

______________ 

(a)
Includes forward-starting derivative instruments.