Derivative Instruments

9 Months Ended

Sep. 30, 2023

Derivative Instruments

Derivative Instruments

14. Derivative Instruments

Derivatives Designated as Hedging Instruments

Net Investment Hedges

In September 2022, we entered into cross-currency interest rate swaps, which effectively convert a portion of our U.S. dollar-denominated fixed-rate debt to foreign currency-denominated fixed-rate debt in order to hedge the currency exposure associated with our net investment in foreign subsidiaries. As of September 30, 2023, we had cross-currency interest rate swaps outstanding with notional amounts of $1.55 billion and maturity dates ranging through 2028.

The effect of these net investment hedges on accumulated other comprehensive income and the condensed consolidated income statements for the three and nine months ended September 30, 2023 and 2022 was as follows (in thousands):

		Three Months Ended September 30,				Nine Months Ended September 30,
		2023		2022		2023		2022
Cross-currency interest rate swaps (included component) (1)		$	(52,698)	$	(26,141)	$	(53,853)	$	(26,141)
Cross-currency interest rate swaps (excluded component) (2)			14,006		28,848		28,423		28,848
Total		$	(38,692)	$	2,707	$	(25,430)	$	2,707
	Location of	Three Months Ended September 30,				Nine Months Ended September 30,
	gain or (loss)	2023		2022		2023		2022
Cross-currency interest rate swaps (excluded component) (2)	Interest expense	$	5,505	$	650	$	16,699	$	650

(1) Included component represents foreign exchange spot rates.

(2) Excluded component represents cross-currency basis spread and interest rates.

Cash Flow Hedges  

As of September 30, 2023, we had derivatives designated as cash flow hedges on 50% of the Euro Term Loan Facilities (€750 million notional amount) and 68% of the USD term loan ($740 million notional amount). Amounts reported in accumulated other comprehensive loss related to interest rate swaps are reclassified to interest expense as interest payments are made on our debt. As of September 30, 2023, we estimate that an additional $11.7 million will be reclassified as a decrease to interest expense during the nine months ended September 30, 2023, when the hedged forecasted transactions impact earnings.

The effect of these cash flow hedges on accumulated other comprehensive income and the condensed consolidated income statements for the three and nine months ended September 30, 2023 and 2022 was as follows (in thousands):

	Three Months Ended September 30,				Nine Months Ended September 30,
	2023		2022		2023		2022
Interest rate swaps	$	(538)	$	5,692	$	(12,912)	$	5,012

	Location of	Three Months Ended September 30,				Nine Months Ended September 30,
	gain or (loss)	2023		2022		2023		2022
Interest rate swaps	Interest expense	$	3,845	$	478	$	6,688	$	539

Fair Value of Derivative Instruments

The subsequent table presents the fair value of derivative instruments recognized in our condensed consolidated balance sheets as of September 30, 2023 and December 31, 2022 (in thousands):

	September 30, 2023				December 31, 2022
	Assets (1)		Liabilities (2)		Assets (1)		Liabilities (2)
Cross-currency interest rate swaps	$	1,698	$	84,890	$	—	$	108,621
Interest rate swaps		30,784		—		17,120		252
	$	32,482	$	84,890	$	17,120	$	108,873

(1) As presented in our condensed consolidated balance sheets within other assets.

(2) As presented in our condensed consolidated balance sheets within accounts payable and other accrued liabilities.