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Derivatives and Hedging Activities (Tables)

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The effect of net investment hedges on accumulated other comprehensive income and the condensed consolidated statements of operations for the three and nine months ended September 30, 2021 and 2020 was as follows (in thousands):


Amount of gain or (loss) recognized in accumulated other comprehensive income:
		Three Months Ended September 30,				Nine Months Ended September 30,
		2021		2020		2021		2020
Foreign currency debt		$	36,308	$	(130,774)	$	81,290	$	(116,887)
Cross-currency interest rate swaps (included component) (1)		89,494		(78,226)		207,598		(74,419)
Cross-currency interest rate swaps (excluded component) (2)		(2,527)		(16,588)		(27,944)		13,606
Foreign currency forward contracts (included component) (1)		7,858		(1,485)		3,302		(1,485)
Foreign currency forward contracts (excluded component) (3)		(53)		(28)		(27)		(28)
Total		$	131,080	$	(227,101)	$	264,219	$	(179,213)

Amount of gain or (loss) recognized in earnings:
	Location of gain or (loss)	Three Months Ended September 30,				Nine Months Ended September 30,
		2021		2020		2021		2020
Cross-currency interest rate swaps (excluded component) (2)	Interest expense	$	11,863	$	6,613	$	32,478	$	17,161
Foreign currency forward contracts (excluded component) (3)	Interest expense	38		1		242		1
Total		$	11,901	$	6,614	$	32,720	$	17,162

(1)Included component represents foreign exchange spot rates.

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

(3)Excluded component represents foreign currency forward points.

Summary of cash flow hedges

The effect of cash flow hedges on accumulated other comprehensive income and the condensed consolidated statements of operations for the three and nine months ended September 30, 2021 and 2020 was as follows (in thousands):


Amount of gain or (loss) recognized in accumulated other comprehensive income:
		Three Months Ended September 30,				Nine Months Ended September 30,
		2021		2020		2021		2020
Foreign currency forward and option contracts (included component) (1)		$	27,860	$	(40,770)	$	61,067	$	(35,092)
Foreign currency option contracts (excluded component) (2)		—		639		151		2,315
Interest rate locks		7,374		(2,420)		6,135		(29,302)
Total		$	35,234	$	(42,551)	$	67,353	$	(62,079)

Amount of gain or (loss) reclassified from accumulated other comprehensive income to income:
		Three Months Ended September 30,				Nine Months Ended September 30,
	Location of gain or (loss)	2021		2020		2021		2020
Foreign currency forward contracts	Revenues	$	(11,863)	$	2,904	$	(41,397)	$	44,681
Foreign currency forward contracts	Costs and operating expenses	5,872		(1,951)		21,659		(23,449)
Interest rate locks	Interest Expense	(1,101)		(731)		(2,955)		(473)
Total		$	(7,092)	$	222	$	(22,693)	$	20,759

Amount of gain or (loss) excluded from effectiveness testing included in income:
		Three Months Ended September 30,				Nine Months Ended September 30,
	Location of gain or (loss)	2021		2020		2021		2020

Foreign currency option contracts (excluded component) (2)	Revenues	$	—	$	(430)	$	(244)	$	(1,454)
Total		$	—	$	(430)	$	(244)	$	(1,454)

(1)Included component represents foreign exchange spot rates.

(2)Excluded component represents option's time value.

Schedule of derivatives not designated as hedging instruments in the Company's condensed consolidated statements of operations

The following table presents the effect of derivatives not designated as hedging instruments in our condensed consolidated statements of operations (in thousands):


Amount of gain or (loss) recognized in earnings:
		Three Months Ended September 30,				Nine Months Ended September 30,
	Location of gain or (loss)	2021		2020		2021		2020
Embedded derivatives	Revenues	$	1,023	$	(3,308)	$	6,168	$	1,402
Economic hedge of embedded derivatives	Revenues	(1,532)		3,259		(6,024)		(2,342)
Foreign currency forward contracts	Other income (expense)	62,840		(50,022)		127,615		(29,214)
Total		$	62,331	$	(50,071)	$	127,759	$	(30,154)

Schedule of derivative instruments recognized in the Company's condensed consolidated balance sheets

The following table presents the fair value of derivative instruments recognized in our condensed consolidated balance sheets as of September 30, 2021 and December 31, 2020 (in thousands):


	September 30, 2021				December 31, 2020
	Assets (1)		Liabilities (2)		Assets (1)		Liabilities (2)
Designated as hedging instruments:
Cash flow hedges
Foreign currency forward and option contracts	$	19,026	$	10,471	$	351	$	52,804
Interest rate locks	6,273		—		—		—
Net investment hedges
Cross-currency interest rate swaps	31,855		45,140		—		192,939
Foreign currency forward contracts	742		—		—		17,041
Total designated as hedging	57,896		55,611		351		262,784

Not designated as hedging instruments:
Embedded derivatives	6,339		991		3,255		3,858
Economic hedges of embedded derivatives	—		1,999		4,372		12
Foreign currency forward contracts	95,360		17,179		3,721		133,805
Total not designated as hedging	101,699		20,169		11,348		137,675
Total Derivatives	$	159,595	$	75,780	$	11,699	$	400,459

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

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

Schedule of offsetting derivative assets and liabilities

The following table presents information related to these offsetting arrangements as of September 30, 2021 and December 31, 2020 (in thousands):


	Gross Amounts Offset in Consolidated Balance Sheet
	Gross Amounts		Gross Amounts Offset in the Balance Sheet		Net Amounts		Gross Amounts not Offset in the Balance Sheet		Net
September 30, 2021
Derivative assets	$	190,938	$	—	$	190,938	$	(88,534)	$	102,404
Derivative liabilities	93,401		—		93,401		(88,534)		4,867

December 31, 2020
Derivative assets	$	38,447	$	—	$	38,447	$	(35,100)	$	3,347
Derivative liabilities	415,628		—		415,628		(35,100)		380,528

Schedule of offsetting derivative assets and liabilities

The following table presents information related to these offsetting arrangements as of September 30, 2021 and December 31, 2020 (in thousands):


	Gross Amounts Offset in Consolidated Balance Sheet
	Gross Amounts		Gross Amounts Offset in the Balance Sheet		Net Amounts		Gross Amounts not Offset in the Balance Sheet		Net
September 30, 2021
Derivative assets	$	190,938	$	—	$	190,938	$	(88,534)	$	102,404
Derivative liabilities	93,401		—		93,401		(88,534)		4,867

December 31, 2020
Derivative assets	$	38,447	$	—	$	38,447	$	(35,100)	$	3,347
Derivative liabilities	415,628		—		415,628		(35,100)		380,528

- Definition

Tabular disclosure of pertinent information about a derivative or group of derivatives on a disaggregated basis, such as for individual instruments, or small groups of similar instruments. May include a combination of the type of instrument, risks being hedged, notional amount, hedge designation, related hedged item, inception date, maturity date, or other relevant item.

+ References

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+ Details