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Derivative Instruments and Hedging Activities | 3 Months Ended
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Jun. 30, 2022
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, 2022, the Company had the following outstanding forward foreign exchange contracts (all outstanding contracts have maturities of less than 27 months from June 30, 2022):
June 30, 2022
Foreign Currency |  | Foreign Currency Amount |  | US Dollar Amount |  | Weighted Average Exchange Rate Per $1 USD
|  | (Amounts in millions) |  | (Amounts in millions) |  |
British Pound Sterling |  | 3.0 | GBP | in exchange for | $4.0 |  |  | 0.74 | GBP
Hungarian Forint |  | 798.9 | HUF | in exchange for | $2.7 |  |  | 300.22 | HUF
Euro |  | 6.9 | EUR | in exchange for | $5.1 |  |  | 1.35 | EUR
Canadian Dollar |  | 8.5 | CAD | in exchange for | $6.7 |  |  | 1.26 | CAD
Polish Zloty |  | 1.8 | PLN | in exchange for | $0.5 |  |  | 3.32 | PLN
Bulgarian Lev |  | 4.4 | BGN | in exchange for | $2.7 |  |  | 1.66 | BGN
Mexican Peso |  | 61.1 | MXN | in exchange for | $3.0 |  |  | 20.52 | MXN
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). Cash settlements related to interest rate contracts are generally classified as operating activities on the consolidated statements of cash flows. However, due to a financing component on a portion of our previously outstanding interest rate swaps (see Terminated Swaps, Designated Cash Flow Hedges at March 31, 2022 table below), the cash flows related to these contracts are classified as financing activities through the date of termination. May 2022 Transactions: In May 2022, the Company terminated certain of its interest rate swap contracts with effective dates of May 19, 2020, June 15, 2020 and August 14, 2020, (the "Terminated Swaps"), as presented in the Terminated Swaps tables below. As a result of the terminations, the Company received approximately $56.4 million. Simultaneously with the termination of the Terminated Swaps, the Company re-designated all other swaps previously not designated (i.e., swaps with effective dates of May 23, 2018, June 25, 2018, July 31, 2018 and December 24, 2018 (the "Re-designated Swaps")) as cash flow hedges of variable rate debt with an aggregate notional amount of $1.4 billion, as presented in the Designated Cash Flow Hedges table below. In addition to the $1.4 billion Re-designated Swaps, the Company also has $300.0 million of other interest rate swaps designated as cash flow hedges as of June 30, 2022. Accordingly, at June 30, 2022, the Company has a total of $1.7 billion of interest rate swaps designated as cash flow hedges (see Designated Cash Flow Hedges table below). Terminated Swaps: Designated Cash Flow Hedges at March 31, 2022:
Effective Date |  | Notional Amount |  | Fixed Rate Paid |  | Maturity Date(1) |
|  | (in millions) |  |  |  |  |
May 19, 2020 |  | $700.0 |  |  | 1.923% |  | March 23, 2030 | (2)
May 19, 2020 |  | $350.0 |  |  | 2.531% |  | March 23, 2027 | (2)
June 15, 2020 |  | $150.0 |  |  | 2.343% |  | March 23, 2027 | (2)
August 14, 2020 |  | $200.0 |  |  | 1.840% |  | March 23, 2030 | (2)
Total |  | $1,400.0 |  |  |  |  |  |
__________________ (1)Subject to a mandatory early termination date of March 23, 2025. (2)These pay-fixed interest rate swaps were considered hybrid instruments with a financing component and an embedded at-market derivative that was designated as a cash flow hedge. Not Designated Cash Flow Hedges at March 31, 2022:
Effective Date |  | Notional Amount |  | Fixed Rate Received |  | Maturity Date
|  | (in millions) |  |  |  |
May 19, 2020 |  | $700.0 |  |  | 2.915% |  | March 24, 2025
August 14, 2020 |  | $200.0 |  |  | 2.723% |  | March 23, 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 |  | $1,400.0 |  |  |  |  |
The receipt of approximately $56.4 million as a result of the termination was recorded as a reduction of the asset values of the derivatives amounting to $188.7 million and a reduction of the financing component (debt host) of the Terminated Swaps amounting to $131.3 million. At the time of the termination of the Terminated Swaps, there was approximately $180.4 million of unrealized gains recorded in accumulated other comprehensive income (loss) related to these Terminated Swaps. This amount will be amortized as a reduction of interest expense through the remaining term of the swaps unless it becomes probable that the cash flows originally hedged will not occur, in which case the proportionate amount of the gain will be recorded as a reduction to interest expense at that time. In addition, the liability amount of $6.8 million for the Re-designated Swaps (see Designated Cash Flow Hedges table below) at the re-designation date will be amortized as a reduction of interest expense throughout the remaining term of the Re-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 receipt of approximately $56.4 million was classified in the unaudited condensed consolidated statement of cash flows as cash provided by operating activities of $188.7 million reflecting the amount received for the derivative portion of the termination of swaps, and a use of cash in financing activities of $134.5 million reflecting the pay down of the financing component of the Terminated Swaps (inclusive of payments made between April 1, 2022 and the termination date amounting to $3.2 million). Designated Cash Flow Hedges. As of June 30, 2022, the Company had the following designated cash flow hedge pay-fixed interest rate swaps outstanding (all related to the Company's LIBOR-based debt, see Note 5 and Note 6):
Effective Date |  | Notional Amount |  | Fixed Rate Paid |  | Maturity Date |
|  | (in millions) |  |  |  |  |
May 23, 2018 |  | $300.0 |  |  | 2.915% |  | March 24, 2025 |
May 23, 2018 |  | $700.0 |  |  | 2.915% |  | March 24, 2025 | (1)
June 25, 2018 |  | $200.0 |  |  | 2.723% |  | March 23, 2025 | (1)
July 31, 2018 |  | $300.0 |  |  | 2.885% |  | March 23, 2025 | (1)
December 24, 2018 |  | $50.0 |  |  | 2.744% |  | March 23, 2025 | (1)
December 24, 2018 |  | $100.0 |  |  | 2.808% |  | March 23, 2025 | (1)
December 24, 2018 |  | $50.0 |  |  | 2.728% |  | March 23, 2025 | (1)
Total |  | $1,700.0 |  |  |  |  |  |
__________________ (1)Represents the Re-designated Swaps as described in the May 2022 Transactions section above that were previously not designated cash flow hedges at March 31, 2022. Financial Statement Effect of Derivatives Unaudited condensed consolidated statements 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, 2022 and 2021:
|  |  | Three Months Ended
|  |  | June 30,
|  |  |  |  | 2022 |  | 2021
|  |  |  |  | (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |  |  |  |  |
Forward exchange contracts |  |  |  |  |  |  |
Loss recognized in accumulated other comprehensive income |  |  |  |  | $ | (0.4) |  |  | $ | (0.2) |
Loss reclassified from accumulated other comprehensive income into direct operating expense |  |  |  |  | $ | (0.9) |  |  | $ | (0.3) |
Interest rate swaps |  |  |  |  |  |  |
Gain (loss) recognized in accumulated other comprehensive income |  |  |  |  | $ | 36.7 |  |  | $ | (36.2) |
Loss reclassified from accumulated other comprehensive income into interest expense |  |  |  |  | $ | (6.1) |  |  | $ | (3.7) |
Derivatives not designated as cash flow hedges: |  |  |  |  |  |  |
Interest rate swaps |  |  |  |  |  |  |
Loss reclassified from accumulated other comprehensive income into interest expense |  |  |  |  | $ | (5.6) |  |  | $ | (8.4) |
Total direct operating expense on consolidated statements of operations |  |  |  |  | $ | 596.5 |  |  | $ | 486.2 |
Total interest expense on consolidated statements of operations |  |  |  |  | $ | 46.1 |  |  | $ | 41.7 |
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 7). 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. As of June 30, 2022, there were no swaps outstanding that were subject to a master netting arrangement. As of March 31, 2022, the gross amount of swaps in an asset and liability position that were subject to a master netting arrangement was $169.6 million and $147.3 million, respectively, resulting in an asset recorded in other assets - non-current of $32.0 million and a liability recorded in other liabilities - non-current of $9.8 million. As of June 30, 2022 and March 31, 2022, 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, 2022
|  | Other Current Assets |  | Other Non-Current Assets |  | Accounts Payable and Accrued Liabilities |  | Other Non-Current Liabilities
|  | (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |  |  |  |  |  |
Forward exchange contracts |  | $ | 6.3 |  |  | $ | — |  |  | $ | 5.1 |  |  | $ | — |
Interest rate swaps |  | — |  |  | 4.2 |  |  | — |  |  | — |
Fair value of derivatives |  | $ | 6.3 |  |  | $ | 4.2 |  |  | $ | 5.1 |  |  | $ | — |
|  | March 31, 2022
|  | Other Current Assets |  | Other Non-Current Assets |  | Accounts Payable and Accrued Liabilities |  | Other Non-Current Liabilities
|  | (Amounts in millions)
Derivatives designated as cash flow hedges: |  |  |  |  |  |  |  |
Forward exchange contracts |  | $ | 3.5 |  |  | $ | — |  |  | $ | 2.8 |  |  | $ | — |
Interest rate swaps |  | — |  |  | 109.1 |  |  | — |  |  | (39.4) |
Derivatives not designated as cash flow hedges: |  |  |  |  |  |  |  |
Interest rate swaps(1) |  | — |  |  | (77.1) |  |  | — |  |  | 56.8 |
Fair value of derivatives |  | $ | 3.5 |  |  | 32.0 |  |  | $ | 2.8 |  |  | 17.4 |
________________ (1)Includes $88.1 million and $46.0 million included in other non-current assets and other non-current liabilities, respectively, representing the financing element of certain hybrid instruments, which was offset by the pay-variable receive-fixed interest rate swaps outstanding at March 31, 2022. As of June 30, 2022, based on the current release schedule, the Company estimates approximately $0.7 million of gains associated with forward foreign exchange contract cash flow hedges in accumulated other comprehensive income will be reclassified into earnings during the one-year period ending June 30, 2023. As of June 30, 2022, the Company estimates approximately $10.9 million of losses recorded in accumulated other comprehensive income associated with interest rate swap agreement cash flow hedges will be reclassified into interest expense during the one-year period ending June 30, 2023.

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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 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 815 -SubTopic 40 -Section 50 -Paragraph 5 -Subparagraph (f) -URI http://asc.fasb.org/extlink&oid=123477628&loc=d3e90205-114008 + Details
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