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Derivative Instruments | 3 Months Ended
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Mar. 31, 2024
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments | Derivative Instruments In general, we enter into derivative instruments to protect against (i) increases in the interest rates on our variable-rate debt, (ii) foreign currency movements, particularly with respect to borrowings that are denominated in a currency other than the functional currency of the borrowing entity, and (iii) decreases in the market prices of certain publicly traded securities that we own. In this regard, through our subsidiaries, we have entered into various derivative instruments to manage interest rate exposure and foreign currency exposure primarily with respect to the U.S. dollar ($), the euro (€), the British pound sterling (£) and the Swiss franc (CHF). Generally, we do not apply hedge accounting to our derivative instruments. Accordingly, changes in the fair values of most of our derivative instruments are recorded in realized and unrealized gains or losses on derivative instruments, net, in our condensed consolidated statements of operations. The following table provides details of the fair values of our derivative instrument assets and liabilities:
| March 31, 2024 |  | December 31, 2023
| Current |  | Long-term |  | Total |  | Current |  | Long-term |  | Total
| in millions
Assets (a): |  |  |  |  |  |  |  |  |  |  |
Cross-currency and interest rate derivative contracts (b) | $ | 515.1 |  |  | $ | 456.9 |  |  | $ | 972.0 |  |  | $ | 515.6 |  |  | $ | 427.5 |  |  | $ | 943.1 |
Equity-related derivative instruments (c) | — |  |  | 304.5 |  |  | 304.5 |  |  | — |  |  | 310.7 |  |  | 310.7 |
Foreign currency forward and option contracts | 10.2 |  |  | 0.6 |  |  | 10.8 |  |  | 2.3 |  |  | 0.6 |  |  | 2.9 |
Other | 0.2 |  |  | — |  |  | 0.2 |  |  | 0.2 |  |  | — |  |  | 0.2 |
Total | $ | 525.5 |  |  | $ | 762.0 |  |  | $ | 1,287.5 |  |  | $ | 518.1 |  |  | $ | 738.8 |  |  | $ | 1,256.9 |
Liabilities (a): |  |  |  |  |  |  |  |  |  |  |
Cross-currency and interest rate derivative contracts (b) | $ | 220.4 |  |  | $ | 581.8 |  |  | $ | 802.2 |  |  | $ | 369.9 |  |  | $ | 948.5 |  |  | $ | 1,318.4 |
Equity-related derivative instruments (c) | 90.7 |  |  | — |  |  | 90.7 |  |  | 47.4 |  |  | — |  |  | 47.4 |
Foreign currency forward and option contracts | 6.5 |  |  | 2.5 |  |  | 9.0 |  |  | 9.5 |  |  | 4.5 |  |  | 14.0 |
Total | $ | 317.6 |  |  | $ | 584.3 |  |  | $ | 901.9 |  |  | $ | 426.8 |  |  | $ | 953.0 |  |  | $ | 1,379.8 |
_______________ (a)Our long-term derivative assets and long-term derivative liabilities are included in other assets, net, and other long-term liabilities, respectively, on our condensed 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 8). The changes in the credit risk valuation adjustments associated with our cross-currency and interest rate derivative contracts resulted in net losses of $48.8 million and $21.4 million during the three months ended March 31, 2024 and 2023, respectively. These amounts are included in realized and unrealized gains (losses) on derivative instruments, net, in our condensed consolidated statements of operations. For further information regarding our fair value measurements, see note 6. (c)Our equity-related derivative instruments include the Vodafone Collar. The fair value of the Vodafone Collar does 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. The details of our realized and unrealized gains (losses) on derivative instruments, net, are as follows:
|  |  | Three months ended March 31,
|  |  |  |  | 2024 |  | 2023
|  |  |  |  | in millions
Cross-currency and interest rate derivative contracts |  |  |  |  | $ | 598.1 |  |  | $ | (66.9) |
Equity-related derivative instruments |  |  |  |  | (43.5) |  |  | 31.7 |
Foreign currency forward and option contracts |  |  |  |  | 10.7 |  |  | 0.8 |
Total |  |  |  |  | $ | 565.3 |  |  | $ | (34.4) |
The net cash received or paid related to our derivative instruments is classified as an operating, investing or financing activity in our condensed consolidated statements of cash flows based on the objective of the derivative instrument and the classification of the applicable underlying cash flows. The following table sets forth the classification of the net cash inflows (outflows) of our derivative instruments:
| Three months ended March 31,
| 2024 |  | 2023
| in millions
Operating activities | $ | 58.1 |  |  | $ | 56.0 |
Financing activities | (1.5) |  |  | (62.1) |
Total | $ | 56.6 |  |  | $ | (6.1) |
Counterparty Credit Risk We are exposed to the risk that the counterparties to the derivative instruments of our subsidiary borrowing groups will default on their obligations to us. We manage these credit risks through the evaluation and monitoring of the creditworthiness of, and concentration of risk with, the respective counterparties. In this regard, credit risk associated with our derivative instruments is spread across a relatively broad counterparty base of banks and financial institutions, however notwithstanding, given the size of our derivative portfolio, the default of certain counterparties could have a significant impact on our consolidated statements of operations. Collateral is generally not posted by either party under our derivative instruments. At March 31, 2024, our exposure to counterparty credit risk included derivative assets with an aggregate fair value of $394.0 million. Details of our Derivative Instruments Cross-currency Derivative Contracts We generally match the denomination of our subsidiaries’ borrowings with the functional currency of the supporting operations or, when it is more cost effective, we provide for an economic hedge against foreign currency exchange rate movements by using derivative instruments to synthetically convert unmatched debt into the applicable underlying currency. At March 31, 2024, substantially all of our debt was either directly or synthetically matched to the applicable functional currencies of the underlying operations. The following table sets forth the total notional amounts and the related weighted average remaining contractual lives of our cross-currency swap contracts at March 31, 2024:
|  | Notional amount due from counterparty |  | Notional amount due to counterparty |  | Weighted average remaining life
|  | in millions |  |  | in years
Sunrise Holding | $ | 250.0 |  |  | € | 220.6 |  |  |  | 1.5
|  | $ | 4,275.0 |  |  | CHF | 3,912.7 |  | (a) |  | 4.5
|  | € | 1,952.6 |  |  | CHF | 2,176.5 |  |  |  | 3.0
Telenet | $ | 3,940.0 |  |  | € | 3,489.6 |  | (a) |  | 2.8
|  | € | 45.2 |  |  | $ | 50.0 |  | (b) |  | 0.8
_______________ (a)Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to March 31, 2024. 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. Interest Rate Swap Contracts 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 March 31, 2024:
|  | Pays fixed rate |  | Receives fixed rate
|  | Notional amount |  | Weighted average remaining life |  | Notional amount |  | Weighted average remaining life
|  | in millions |  | in years |  | in millions |  | in years
Sunrise Holding | $ | 3,419.4 |  | (a) |  | 2.3 |  | $ | 3,249.2 |  |  |  | 2.4
Telenet | $ | 3,650.7 |  | (a) |  | 4.2 |  | $ | 291.5 |  |  |  | 0.8
Other (b) |  | $ | — |  |  |  | — |  | $ | 25.9 |  |  |  | 1.5
_______________ (a)Includes forward-starting derivative instruments. (b) Represents contracts associated with our investment in a leveraged structured note. For additional information, see note 4. Basis Swaps Our basis swaps involve the exchange of attributes used to calculate our floating interest rates, including (i) the benchmark rate, (ii) the underlying currency and/or (iii) the borrowing period. We typically enter into these swaps to optimize our interest rate profile based on our current evaluations of yield curves, our risk management policies and other factors. 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 March 31, 2024:
|  | Notional amount due from counterparty |  | Weighted average remaining life
|  | in millions |  | in years
Sunrise Holding | $ | 3,597.1 |  |  | 0.5
Telenet | $ | 3,493.4 |  |  | 0.5
VM Ireland | $ | 971.7 |  |  | 0.8
Interest Rate Caps, Floors and Collars From time to time, we enter into interest rate cap, floor and collar agreements. Purchased interest rate caps and collars lock in a maximum interest rate if variable rates rise, but also allow our company to benefit, to a limited extent in the case of collars, from declines in market rates. Purchased interest rate floors protect us from interest rates falling below a certain level, generally to match a floating rate floor on a debt instrument. At March 31, 2024, we had no interest rate collar agreements, and the total U.S. dollar equivalents of the notional amounts of our purchased interest rate caps and floors were $1.2 billion and $4.5 billion, respectively. Impact of Derivative Instruments on Borrowing Costs 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 March 31, 2024 (a)
Sunrise Holding | (3.60) | %
VM Ireland | (3.56) | %
Telenet | (2.98) | %
Total decrease to borrowing costs | (3.32) | %
_______________ (a)Represents the effect of derivative instruments in effect at March 31, 2024 and does not include forward-starting derivative instruments. Foreign Currency Forwards and Options Certain of our subsidiaries enter into foreign currency forward and option contracts with respect to non-functional currency exposure. As of March 31, 2024, the total U.S. dollar equivalent of the notional amounts of our foreign currency forward and option contracts was $1.6 billion.

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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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