In general, we enter into derivative instruments to protect against (i) increases in the interest rates on our variable-rate debt, (ii) foreign currency movements, particularly with respect to borrowings that are denominated in a currency other than the functional currency of the borrowing entity, and (iii) decreases in the market prices of certain publicly traded securities that we own. In this regard, through our subsidiaries, we have entered into various derivative instruments to manage interest rate exposure and foreign currency exposure primarily with respect to the U.S. dollar ($), the euro (€) the British pound sterling (£) and the Swiss franc (CHF). Generally, we do not apply hedge accounting to our derivative instruments. Accordingly, changes in the fair values of most of our derivative instruments are recorded in realized and unrealized gains or losses on derivative instruments, net, in our condensed consolidated statements of operations.


	September 30, 2023						December 31, 2022
	Current		Long-term		Total		Current		Long-term		Total
	in millions

Assets (a):
Cross-currency and interest rate derivative contracts (b)	$	554.8	$	802.0	$	1,356.8	$	381.4	$	1,087.6	$	1,469.0
Equity-related derivative instruments (c)	—		229.1		229.1		—		—		—
Foreign currency forward and option contracts	1.8		1.6		3.4		1.0		—		1.0
Other	0.2		—		0.2		0.3		—		0.3
Total	$	556.8	$	1,032.7	$	1,589.5	$	382.7	$	1,087.6	$	1,470.3

Liabilities (a):
Cross-currency and interest rate derivative contracts (b)	$	239.0	$	533.5	$	772.5	$	286.5	$	449.0	$	735.5
Equity-related derivative instruments (c)	87.3		—		87.3		—		—		—
Foreign currency forward and option contracts	1.5		0.5		2.0		10.3		1.3		11.6

Total	$	327.8	$	534.0	$	861.8	$	296.8	$	450.3	$	747.1

(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 $6.9 million and $16.3 million during the three months ended September 30, 2023 and 2022, respectively, and a net gain (loss) of $15.3 million and ($7.0 million) during the nine months ended September 30, 2023 and 2022, 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 include the Vodafone Collar. The fair value of the Vodafone 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 arrangements.


	Three months ended September 30,				Nine months ended September 30,
	2023		2022		2023		2022
	in millions

Equity-related derivative instruments	$	(22.0)	$	—	$	145.0	$	—

Cross-currency and interest rate derivative contracts	195.1		549.3		38.8		1,640.6



Foreign currency forward and option contracts	4.0		(2.4)		10.0		28.9
Other	—		—		—		(0.7)
Total	$	177.1	$	546.9	$	193.8	$	1,668.8

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. The following table sets forth the classification of the net cash inflows (outflows) of our derivative instruments:

We are exposed to the risk that the counterparties to the derivative instruments of our subsidiary borrowing groups will default on their obligations to us. We manage these credit risks through the evaluation and monitoring of the creditworthiness of, and concentration of risk with, the respective counterparties. In this regard, credit risk associated with our derivative instruments is spread across a relatively broad counterparty base of banks and financial institutions, however notwithstanding, given the size of our derivative portfolio, the default of certain counterparties could have a significant impact on our consolidated statements of operations. Collateral is generally not posted by either party under our derivative instruments. At September 30, 2023, our exposure to counterparty credit risk included derivative assets with an aggregate fair value of $726.4 million.

We generally match the denomination of our subsidiaries’ borrowings with the functional currency of the supporting operations or, when it is more cost effective, we provide for an economic hedge against foreign currency exchange rate movements by using derivative instruments to synthetically convert unmatched debt into the applicable underlying currency. At September 30, 2023, substantially all of our debt was either directly or synthetically matched to the applicable functional currencies of the underlying operations. 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, 2023:


	Notional amount due from counterparty		Notional amount due to counterparty			Weighted average remaining life
	in millions					in years





UPC Holding	$	250.0	€	220.6		2.0
	$	4,275.0	CHF	3,912.7	(a)	5.0
	€	1,952.6	CHF	2,176.5		3.5








Telenet	$	3,940.0	€	3,489.6	(a)	3.3
	€	45.2	$	50.0	(b)	1.3

_______________

(a)Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to September 30, 2023. 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.


			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	$	3,370.1	(a)		2.8		$	3,219.0			2.9

Telenet	$	1,461.3			3.6		$	285.6			1.3

Other (b)			$	—		—			$	48.9		2.0

Our basis swaps involve the exchange of attributes used to calculate our floating interest rates, including (i) the benchmark rate, (ii) the underlying currency and/or (iii) the borrowing period. We typically enter into these swaps to optimize our interest rate profile based on our current evaluations of yield curves, our risk management policies and other factors. 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, 2023:

From time to time, we enter into interest rate cap, floor and collar agreements. Purchased interest rate caps and collars lock in a maximum interest rate if variable rates rise, but also allow our company to benefit, to a limited extent in the case of collars, from declines in market rates. Purchased interest rate floors protect us from interest rates falling below a certain level, generally to match a floating rate floor on a debt instrument. At September 30, 2023, we had no interest rate collar agreements, and the total U.S. dollar equivalents of the notional amounts of our purchased interest rate caps and floors were $1.2 billion and $5.8 billion, respectively.

Certain of our subsidiaries enter into foreign currency forward and option contracts with respect to non-functional currency exposure. As of September 30, 2023, the total U.S. dollar equivalent of the notional amounts of our foreign currency forward and option contracts was $491.2 million.

Vodafone Collar and Vodafone Collar Loan. As part of the Vodafone Collar Transaction, on February 11, 2023, we entered into the Vodafone Collar with respect to all 1,335 million of our Vodafone shares. The Vodafone Collar is comprised of (i) purchase put options that we can exercise and (ii) written call options exercisable by the counterparty. The Vodafone Collar effectively hedges the value of our investment in Vodafone shares from potential losses due to market price decreases below the put option price while retaining a portion of the gains from market price increases up to the call option price. For additional information regarding our investment in Vodafone, see note 5.

The Vodafone Collar Transaction also provided us with the ability to effectively finance the purchase of the Vodafone shares. In this regard, on February 11, 2023, we borrowed €1,143.6 million ($1,219.8 million at the transaction date) under the Vodafone Collar Loan. At September 30, 2023, borrowings under the Vodafone Collar Loan were collateralized by our Vodafone shares. The Vodafone Collar Loan has a face value of €1,258.0 million ($1,341.8 million at the transaction date) and was issued at a discount of €114.4 million ($122.0 million at the transaction date) with a zero coupon rate and an average implied yield of 295 basis points (2.95%). The Vodafone Collar Loan has settlement dates from July 2025 to December 2026, contains no financial covenants and provides for customary representations and warranties, events of default and certain adjustment and termination events. Under the terms of the Vodafone Collar, the counterparty has the right to re-use the pledged Vodafone shares, but we have the right to recall the shares that are re-used by the counterparty subject to certain costs. In addition, we will retain a portion of the dividends on the Vodafone shares, dependent on the value of the collar on the ex-dividend date.