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Derivative Instruments and Hedging Activities | 3 Months Ended
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Jun. 30, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Derivative Instruments and Hedging Activities | Derivative Instruments and Hedging Activities Forward Foreign Exchange Contracts The Company enters into forward foreign exchange contracts to hedge its foreign currency exposures on future production expenses and tax credit receivables denominated in various foreign currencies (i.e., cash flow hedges). The Company also enters into forward foreign exchange contracts that economically hedge certain of its foreign currency risks, even though hedge accounting does not apply or the Company elects not to apply hedge accounting. The Company monitors its positions with, and the credit quality of, the financial institutions that are party to its financial transactions. Changes in the fair value of the foreign exchange contracts that are designated as hedges are reflected in accumulated other comprehensive income (loss), and changes in the fair value of foreign exchange contracts that are not designated as hedges and do not qualify for hedge accounting are recorded in direct operating expense. Gains and losses realized upon settlement of the foreign exchange contracts that are designated as hedges are amortized to direct operating expense on the same basis as the production expenses being hedged. As of June 30, 2020, the Company had the following outstanding forward foreign exchange contracts (all outstanding contracts have maturities of less than 13 months from June 30, 2020):
June 30, 2020
Foreign Currency |  | Foreign Currency Amount |  | US Dollar Amount |  | Weighted Average Exchange Rate Per $1 USD
|  | (Amounts in millions) |  | (Amounts in millions) |  |
British Pound Sterling |  |  | £3.8 |  | in exchange for |  | $4.7 |  |  | £0.80
Euro |  |  | €2.1 |  | in exchange for |  | $2.4 |  |  | €0.89
Canadian Dollar |  |  | C$5.4 |  | in exchange for |  | $4.0 |  |  | C$1.34
Australian Dollar |  |  | A$0.9 |  | in exchange for |  | $0.8 |  |  | A$1.25
Interest Rate Swaps The Company is exposed to the impact of interest rate changes primarily through its borrowing activities. The Company’s objective is to mitigate the impact of interest rate changes on earnings and cash flows. The Company primarily uses pay-fixed interest rate swaps to facilitate its interest rate risk management activities, which the Company generally designates as cash flow hedges of interest payments on floating-rate borrowings. Pay-fixed swaps effectively convert floating-rate borrowings to fixed-rate borrowings. The unrealized gains or losses from these designated cash flow hedges are deferred in accumulated other comprehensive income (loss) and recognized in interest expense as the interest payments occur. Changes in the fair value of interest rate swaps that are not designated as hedges are recorded in interest expense (see further explanation below). As of March 31, 2020, the Company had the following pay-fixed interest rate swaps outstanding (all related to the Company's LIBOR-based debt, see Note 4 and Note 5):
Effective Date |  | Notional Amount (in millions) |  | Fixed Rate Paid |  | Maturity Date
May 23, 2018 |  |  | $1,000.0 |  |  | 2.915% |  | March 24, 2025
June 25, 2018 |  |  | $200.0 |  |  | 2.723% |  | March 23, 2025
July 31, 2018 |  |  | $300.0 |  |  | 2.885% |  | March 23, 2025
December 24, 2018 |  |  | $50.0 |  |  | 2.744% |  | March 23, 2025
December 24, 2018 |  |  | $100.0 |  |  | 2.808% |  | March 23, 2025
December 24, 2018 |  |  | $50.0 |  |  | 2.728% |  | March 23, 2025
Total |  |  | $1,700.0 |  |  |  |  |
During the three months ended June 30, 2020, the Company completed a series of transactions to amend and extend certain interest rate swap agreements. These transactions effectively replaced $1.2 billion of the interest rate swaps presented in the table above, and resulted in an extension of the maturity date on an aggregate of $1.2 billion of the Company's interest rate swaps by an additional 2 to 5 years, subject to mandatory early termination dates, and a decrease of the weighted average fixed pay rate from 2.870% to 2.354% per annum. These interest rate swap transactions consisted of the following: (i) $1.2 billion of the interest rate swaps presented in the table above were de-designated as cash flow hedges, (ii) the Company entered into $1.2 billion of pay-variable receive-fixed interest rate swaps which are designed to offset the terms of the $1.2 billion of swaps in (i) and which are not designated as cash flow hedges, and (iii) the Company entered into $1.2 billion of new pay-fixed interest rate swaps with extended maturities. These new pay-fixed interest rate swaps are considered hybrid instruments with a financing component and an embedded at-market derivative that was designated as a cash flows hedge (see discussion of cash flow presentation below). Key terms of the new offsetting pay-variable receive-fixed interest rate swaps outstanding at June 30, 2020 are presented below (not designated as hedges):
Effective Date |  | Notional Amount (in millions) |  | Fixed Rate Received |  | Maturity Date
May 19, 2020 |  |  | $700.0 |  |  | 2.915% |  | March 24, 2025
May 19, 2020 |  |  | $300.0 |  |  | 2.885% |  | March 23, 2025
May 19, 2020 |  |  | $50.0 |  |  | 2.744% |  | March 23, 2025
June 15, 2020 |  |  | $100.0 |  |  | 2.808% |  | March 23, 2025
June 15, 2020 |  |  | $50.0 |  |  | 2.728% |  | March 23, 2025
Total |  |  | $1,200.0 |  |  |  |  |
Key terms of the new designated cash flow hedge pay-fixed interest rate swaps outstanding at June 30, 2020 are presented below:
Effective Date |  | Notional Amount (in millions) |  | Fixed Rate Paid |  | Maturity Date(1)
May 19, 2020 |  |  | $700.0 |  |  | 1.923% |  | March 23, 2030
May 19, 2020 |  |  | $350.0 |  |  | 2.531% |  | March 23, 2027
June 15, 2020 |  |  | $150.0 |  |  | 2.343% |  | March 23, 2027
Total |  |  | $1,200.0 |  |  |  |  |
__________________
(1) | Subject to a mandatory early termination date of March 23, 2025.
At the time of the de-designation of the above $1.2 billion in interest rate swaps, there was approximately $142.1 million of unrealized losses recorded in accumulated other comprehensive income (loss). This amount will be amortized to interest expense through the remaining term of the original de-designated swaps unless it becomes probable that the cash flows originally hedged will not occur, in which case the proportionate amount of the loss will be recorded to interest expense at that time. The $1.2 billion of interest rate swaps de-designated as cash flow hedges and the $1.2 billion of offsetting swaps will be marked to market with changes in fair value recognized, along with the fixed and variable payments on these swaps, in interest expense, which are expected to nearly offset each other. Cash settlements related to interest rate contracts are generally classified as operating activities on the consolidated statements of cash flows. However, due to an other-than-insignificant financing element on a portion of our interest rate swaps (see table above for new designated cash flow hedge pay-fixed interest rate swaps), the cash flows related to these contracts are classified as financing activities. Financial Statement Effect of Derivatives Unaudited condensed consolidated statement of operations and comprehensive loss: The following table presents the pre-tax effect of the Company's derivatives on the accompanying unaudited condensed consolidated statements of operations and comprehensive loss for the three months ended June 30, 2020 and 2019:
| Three Months Ended
| June 30,
| 2020 |  | 2019
| (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |
Forward exchange contracts |  |  |
Gain (loss) recognized in accumulated other comprehensive loss | $ | (0.1 | ) |  | $ | — |
Gain (loss) reclassified from accumulated other comprehensive loss into direct operating expense | $ | (0.1 | ) |  | $ | 1.1 |
Interest rate swaps |  |  |
Loss recognized in accumulated other comprehensive loss | $ | (17.7 | ) |  | $ | (45.9 | )
Loss reclassified from accumulated other comprehensive loss into interest expense | $ | (7.4 | ) |  | $ | (1.8 | )
Derivatives not designated as cash flow hedges: |  |  |
Forward exchange contracts |  |  |
Gain (loss) recognized in direct operating expense | $ | 0.3 |  |  | $ | — |
Interest rate swaps |  |  |
Loss reclassified from accumulated other comprehensive loss into interest expense | $ | (3.4 | ) |  | $ | — |
Total direct operating expense on consolidated statements of operations | $ | 423.0 |  |  | $ | 568.0 |
Total interest expense on consolidated statements of operations | $ | 44.4 |  |  | $ | 49.0 |
Unaudited condensed consolidated balance sheets: The Company classifies its forward foreign exchange contracts and interest rate swap agreements within Level 2 as the valuation inputs are based on quoted prices and market observable data of similar instruments (see Note 6). The portion of the swaps reflecting the financing component of the hybrid instrument discussed above is recorded at amortized cost and reduced over time based on payments. Pursuant to the Company's accounting policy to offset the fair value amounts recognized for derivative instruments, the Company presents the asset or liability position of the swaps that are with the same counterparty under a master netting arrangement net as either an asset or liability in its unaudited condensed consolidated balance sheets. The gross amount of swaps in an asset and liability position that were subject to a master netting arrangement was $144.7 million and $259.9 million, respectively, resulting in a net liability recorded in other liabilities - non-current of $115.2 million as of June 30, 2020. As of June 30, 2020 and March 31, 2020, the Company had the following amounts recorded in the accompanying unaudited condensed consolidated balance sheets related to the Company's use of derivatives:
|  | June 30, 2020
|  | Other Current Assets |  | Accounts Payable and Accrued Liabilities |  | Other Non-Current Liabilities
|  | (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |  |  |  |
Forward exchange contracts |  | $ | 0.2 |  |  | $ | 0.2 |  |  | $ | — |
Interest rate swaps |  | — |  |  | — |  |  | 56.1 |
Derivatives not designated as cash flow hedges: |  |  |  |  |  |
Interest rate swaps(1) |  | — |  |  | — |  |  | 139.8 |
Fair value of derivatives |  | $ | 0.2 |  |  | $ | 0.2 |  |  | $ | 195.9 |
________________
(1) | Includes $144.2 million representing the financing element of certain hybrid instruments, which is offset by the new pay-variable receive-fixed interest rate swaps outstanding at June 30, 2020.
|  | March 31, 2020
|  | Other Current Assets |  | Accounts Payable and Accrued Liabilities |  | Other Non-Current Liabilities
|  | (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |  |  |  |
Forward exchange contracts |  | $ | 0.6 |  |  | $ | 0.5 |  |  | $ | — |
Interest rate swaps |  | — |  |  | — |  |  | 187.9 |
Derivatives not designated as cash flow hedges: |  |  |  |  |  |
Forward exchange contracts |  | — |  |  | 0.4 |  |  | — |
Fair value of derivatives |  | $ | 0.6 |  |  | $ | 0.9 |  |  | 187.9 |
As of June 30, 2020, based on the current release schedule, the Company estimates approximately $1.1 million of gains associated with forward foreign exchange contract cash flow hedges in accumulated other comprehensive loss will be reclassified into earnings during the one-year period ending June 30, 2021. As of June 30, 2020, the Company estimates approximately $46.6 million of losses recorded in accumulated other comprehensive loss associated with interest rate swap agreement cash flow hedges will be reclassified into interest expense during the one-year period ending June 30, 2021.

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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://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -URI http://asc.fasb.org/topic&trid=2229140 + Details
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