Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2019						December 31, 2018
	Current		Long-term		Total		Current		Long-term		Total
	in millions
Assets (a):
Cross-currency and interest rate derivative contracts (b)	$	406.7	$	2,115.0	$	2,521.7	$	372.7	$	1,370.1	$	1,742.8
Equity-related derivative instruments (c)	—		736.3		736.3		13.9		732.4		746.3
Foreign currency forward and option contracts	11.9		2.8		14.7		7.2		—		7.2
Other	0.2		0.1		0.3		0.4		—		0.4
Total	$	418.8	$	2,854.2	$	3,273.0	$	394.2	$	2,102.5	$	2,496.7
Liabilities (a):
Cross-currency and interest rate derivative contracts (b)	$	397.0	$	1,185.6	$	1,582.6	$	326.5	$	1,042.2	$	1,368.7
Equity-related derivative instruments (c)	0.6		—		0.6		1.4		—		1.4
Foreign currency forward and option contracts	0.3		—		0.3		0.5		—		0.5
Other	—		0.1		0.1		—		0.1		0.1
Total	$	397.9	$	1,185.7	$	1,583.6	$	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 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 9). The changes in the credit risk valuation adjustments associated with our cross-currency and interest rate derivative contracts resulted in net losses of $14.1 million and $23.9 million during the three months ended September 30, 2019 and 2018, respectively, and $84.8 million and $51.8 million during the nine months ended September 30, 2019 and 2018, respectively. These amounts are included in realized and unrealized gains on derivative instruments, net, in our condensed consolidated statements of operations. For further information regarding our fair value measurements, see note 7.

(c) Our equity-related derivative instruments primarily include the fair value of (i) the share collar (the ITV Collar) with respect to ITV shares held by our company and (ii) the Lionsgate Forward, as defined and described below. 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 on derivative instruments, net, are as follows:

	Three months ended						Nine months ended
	September 30,						September 30,
	2019			2018			2019			2018
	in millions
Cross-currency and interest rate derivative contracts	$	567.3		$	(18.4	)	$	549.1		$	489.8
Equity-related derivative instruments:
ITV Collar	(106.8		)	76.5			(7.0		)	16.5
Lionsgate Forward	5.5			0.2			15.1			12.6
Sumitomo Collar	—			—			—			(11.8		)
Other	0.5			0.2			0.9			2.4
Total equity-related derivative instruments	(100.8		)	76.9			9.0			19.7
Foreign currency forward and option contracts	116.3			6.7			94.1			20.6
Other	(0.7		)	0.3			—			(0.4		)
Total	$	582.1		$	65.5		$	652.2		$	529.7

Schedule of Cash Received (Paid) Related to Derivative Instruments Statement of Cash Flows Location

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. For derivative contracts that are terminated prior to maturity, the cash paid or received upon termination that relates to future periods is classified as a financing activity. The following table sets forth the classification of the net cash inflows of our derivative instruments:

	Nine months ended
	September 30,
	2019			2018
	in millions
Operating activities	$	(73.1	)	$	34.3
Financing activities	136.9			46.6
Total	$	63.8		$	80.9

Schedule of Derivative Instruments

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 September 30, 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	$	20,206.4	(a)	2.9	$	11,211.3	(a)	4.6
UPC Holding	$	7,735.3	(a)	3.7	$	5,171.9		6.1
Telenet	$	3,668.5	(a)	4.5	$	1,555.9		4.0

_______________ 

(a) Includes forward-starting derivative instruments.

The following table sets forth certain information regarding our swaptions at September 30, 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	$	6,565.9	£	1.2	2.40%
	$	468.7	€	0.8	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 September 30, 2019:

Borrowing group	Notional amount due from counterparty		Weighted average remaining life
	in millions		in years
Virgin Media	$	4,506.1	0.8
Telenet	$	2,075.0	0.8

The following table sets forth the total notional amounts and the related weighted average remaining contractual lives of our cross-currency swap contracts at September 30, 2019:

Borrowing group	Notional amount due from counterparty		Notional amount due to counterparty			Weighted average remaining life
	in millions					in years
Virgin Media	$	400.0	€	339.6		3.3
	$	8,036.4	£	5,451.8	(a)	4.8
	£	2,365.8	$	3,400.0	(b)	5.3
UPC Holding	$	2,420.0	€	1,999.4		4.8
	$	1,200.0	CHF	1,107.5	(a)	5.5
	€	2,824.4	CHF	3,221.2	(a)	4.6
	€	742.8	PLN	3,149.5		2.2
	€	78.0	HUF	19,500.0		2.3
	HUF	19,500.0	€	61.0		2.3
Telenet	$	3,670.0	€	3,243.6	(a)	5.8
	€	1,431.2	$	1,600.0	(b)	5.7

_______________ 

(a) Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to September 30, 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 September 30, 2019, the total U.S. dollar equivalent of the notional amounts of these derivative instruments was $4.5 billion.

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:

Borrowing group	Decrease to borrowing costs at September 30, 2019 (a)
Virgin Media	(0.44	)%
UPC Holding	(0.83	)%
Telenet	(0.54	)%
Total decrease to borrowing costs	(0.51	)%

_______________ 

(a)

Represents the effect of derivative instruments in effect at September 30, 2019 and does not include forward-starting derivative instruments or swaptions.