Derivative Instruments (Tables)

9 Months Ended

Sep. 30, 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:

	September 30, 2020						December 31, 2019
	Current		Long-term		Total		Current		Long-term		Total
	in millions
Assets (a):
Cross-currency and interest rate derivative contracts (b)	$	97.6	$	431.9	$	529.5	$	270.8	$	886.4	$	1,157.2
Equity-related derivative instruments (c)	302.7		437.0		739.7		55.2		608.2		663.4
Foreign currency forward and option contracts	30.4		0.3		30.7		4.6		1.4		6.0
Other	—		0.3		0.3		0.5		0.4		0.9
Total	$	430.7	$	869.5	$	1,300.2	$	331.1	$	1,496.4	$	1,827.5
Liabilities (a):
Cross-currency and interest rate derivative contracts (b)	$	179.7	$	962.5	$	1,142.2	$	389.2	$	1,192.3	$	1,581.5
Foreign currency forward and option contracts	37.5		—		37.5		1.2		—		1.2
Other	0.1		—		0.1		—		—		—
Total	$	217.3	$	962.5	$	1,179.8	$	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 $222.6 million and ($14.1 million) during the three months ended September 30, 2020 and 2019, respectively, and $294.3 million and ($84.8 million) during the nine months ended September 30, 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 ITV Collar and, as of December 31, 2019, the Lionsgate Forward, as defined and described below. The fair value of the ITV Collar does 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 arrangement.

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 September 30,						Nine months ended September 30,
	2020			2019			2020			2019
	in millions
Cross-currency and interest rate derivative contracts	$	(755.4	)	$	567.3		$	(222.5	)	$	549.1
Equity-related derivative instruments:
ITV Collar	82.9			(106.8		)	433.2			(7.0		)
Lionsgate Forward	(5.7		)	5.5			0.8			15.1
Other	(0.1		)	0.5			20.7			0.9
Total equity-related derivative instruments	77.1			(100.8		)	454.7			9.0
Foreign currency forward and option contracts	(39.2		)	116.3			(31.8		)	94.1
Other	(0.3		)	(0.7		)	(0.6		)	—
Total	$	(717.8	)	$	582.1		$	199.8		$	652.2

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:

	Nine months ended September 30,
	2020			2019
	in millions
Operating activities	$	(215.5	)	$	(73.1	)
Investing activities	(28.7		)	—
Financing activities	72.6			136.9
Total	$	(171.6	)	$	63.8

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 September 30, 2020:

	Notional amount due from counterparty		Notional amount due to counterparty			Weighted average remaining life
	in millions					in years
UPC Holding	$	360.0	€	267.9		5.0
	$	1,600.0	CHF	1,476.1	(a)	5.7
	€	2,618.3	CHF	2,941.4	(a)	3.9
	€	707.0	PLN	2,999.5		3.6
	CHF	740.0	€	701.1		2.3
Telenet	$	3,940.0	€	3,489.6	(a)	6.3
	€	45.2	$	50.0	(b)	4.3

_______________ 

(a) Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to September 30, 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 September 30, 2020, the total U.S. dollar equivalent of the notional amount of these derivative instruments was $52.9 million.

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:

	Increase to borrowing costs at September 30, 2020 (a)
UPC Holding	0.24	%
Telenet	0.31	%
Total increase to borrowing costs	0.26	%

_______________ 

(a)

Represents the effect of derivative instruments in effect at September 30, 2020 and does not include forward-starting 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, 2020:

	Pays fixed rate				Receives fixed rate
	Notional amount			Weighted average remaining life	Notional amount		Weighted average remaining life
	in millions			in years	in millions		in years
UPC Holding	$	10,617.8	(a)	3.8	$	4,772.3	5.2
Telenet	$	3,381.3	(a)	4.5	$	1,672.7	3.0
Other	$	98.8		3.2	$	—	—

_______________ 

(a)

Includes forward-starting derivative instruments.

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, 2020:

	Notional amount due from counterparty		Weighted average remaining life
	in millions		in years
UPC Holding	$	700.0	0.3
Telenet	$	2,295.0	0.3
Other	$	98.8	0.3