Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

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:

	March 31, 2020						December 31, 2019
	Current		Long-term		Total		Current		Long-term		Total
	in millions
Assets (a):
Cross-currency and interest rate derivative contracts (b)	$	339.9	$	1,679.5	$	2,019.4	$	270.8	$	886.4	$	1,157.2
Equity-related derivative instruments (c)	307.0		746.7		1,053.7		55.2		608.2		663.4
Foreign currency forward and option contracts	4.4		0.7		5.1		4.6		1.4		6.0
Other	—		0.1		0.1		0.5		0.4		0.9
Total	$	651.3	$	2,427.0	$	3,078.3	$	331.1	$	1,496.4	$	1,827.5

	March 31, 2020						December 31, 2019
	Current		Long-term		Total		Current		Long-term		Total
	in millions
Liabilities (a):
Cross-currency and interest rate derivative contracts (b)	$	296.4	$	1,045.4	$	1,341.8	$	389.2	$	1,192.3	$	1,581.5
Foreign currency forward and option contracts	1.6		—		1.6		1.2		—		1.2
Other	0.3		0.1		0.4		—		—		—
Total	$	298.3	$	1,045.5	$	1,343.8	$	390.4	$	1,192.3	$	1,582.7

_______________ 

(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 a net gain (loss) of $66.3 million and ($58.1 million) during the three months ended March 31, 2020 and 2019, 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 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 variable prepaid forward transaction (the Lionsgate Forward) with respect to 833,333 of our voting and 833,334 of our non-voting Lionsgate shares. 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 (losses) on derivative instruments, net, are as follows:

	Three months ended March 31,
	2020			2019
	in millions
Cross-currency and interest rate derivative contracts	$	842.3		$	(87.3	)
Equity-related derivative instruments:
ITV Collar	383.4			13.8
Lionsgate Forward	8.3			0.8
Other	(1.3		)	0.2
Total equity-related derivative instruments	390.4			14.8
Foreign currency forward and option contracts	5.7			(10.6		)
Other	(1.1		)	0.3
Total	$	1,237.3		$	(82.8	)

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 outflows of our derivative instruments:

	Three months ended March 31,
	2020			2019
	in millions
Operating activities	$	(213.7	)	$	(135.5	)
Financing activities	(27.4		)	(7.1		)
Total	$	(241.1	)	$	(142.6	)

Schedule of Derivative Instruments

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, 2020:

Borrowing group	Notional amount due from counterparty		Notional amount due to counterparty			Weighted average remaining life
	in millions					in years
Virgin Media	$	10,857.5	£	8,003.6	(a)	5.4
	£	2,296.2	$	3,300.0	(b)	4.8
	€	246.3	$	271.1		2.8
UPC Holding	$	360.0	€	267.9		5.5
	$	1,600.0	CHF	1,476.1	(a)	6.2
	€	2,618.3	CHF	2,941.4	(a)	4.4
	€	707.0	PLN	2,999.5		1.8
Telenet	$	3,940.0	€	3,489.6	(a)	6.8
	€	45.2	$	50.0	(b)	4.8

_______________ 

(a) Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to March 31, 2020. 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 March 31, 2020, the total U.S. dollar equivalent of the notional amount of these derivative instruments was $2.9 billion.

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, 2020:

Borrowing group	Notional amount due from counterparty		Weighted average remaining life
	in millions		in years
Virgin Media	$	4,510.6	0.3
UPC Holding	$	700.0	0.8
Telenet	$	2,295.0	0.8

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, 2020:

	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	$	23,644.2	(a)	3.3	$	10,846.6	(a)	4.2
UPC Holding	$	9,449.4	(a)	4.0	$	4,519.4		5.7
Telenet	$	3,164.6	(a)	5.0	$	1,565.6		3.5

_______________ 

(a) Includes forward-starting derivative instruments.

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	Increase (decrease) to borrowing costs at March 31, 2020 (a)
Virgin Media	0.12	%
UPC Holding	0.13	%
Telenet	(0.12	)%
Total increase to borrowing costs	0.05	%

_______________ 

(a)

Represents the effect of derivative instruments in effect at March 31, 2020 and does not include forward-starting derivative instruments or swaptions.

The following table sets forth certain information regarding our swaptions at March 31, 2020:

Borrowing group	Notional amount		Underlying swap currency	Weighted average option expiration period (a)	Weighted average strike rate (b)
	in millions			in years
Virgin Media	$	4,743.5	£	1.1	2.36%
	$	252.3	€	0.8	1.84%

______________ 

(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.