Derivative Instruments (Tables)
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9 Months Ended |
Sep. 30, 2017 |
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| Derivative Instruments and Hedging Activities Disclosure [Abstract] |
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| 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, 2017 | | December 31, 2016 | | Current (a) | | Long-term (a) | | Total | | Current (a) | | Long-term (a) | | Total | | in millions | Assets: | | | | | | | | | | | | Cross-currency and interest rate derivative contracts: | | | | | | | | | | | | Liberty Global Group | $ | 318.0 |
| | $ | 1,358.1 |
| | $ | 1,676.1 |
| | $ | 337.5 |
| | $ | 2,123.1 |
| | $ | 2,460.6 |
| LiLAC Group | 10.0 |
| | 44.5 |
| | 54.5 |
| | 6.9 |
| | 139.0 |
| | 145.9 |
| Total cross-currency and interest rate derivative contracts (b) | 328.0 |
| | 1,402.6 |
| | 1,730.6 |
| | 344.4 |
| | 2,262.1 |
| | 2,606.5 |
| Equity-related derivative instruments – Liberty Global Group (c) | — |
| | 567.2 |
| | 567.2 |
| | 37.1 |
| | 486.9 |
| | 524.0 |
| Foreign currency forward and option contracts: | | | | |
|
| | | | | | | Liberty Global Group | 16.9 |
| | 2.4 |
| | 19.3 |
| | 30.7 |
| | 14.1 |
| | 44.8 |
| LiLAC Group | — |
| | — |
| | — |
| | 0.3 |
| | — |
| | 0.3 |
| Total foreign currency forward and option contracts | 16.9 |
| | 2.4 |
| | 19.3 |
| | 31.0 |
| | 14.1 |
| | 45.1 |
| Other – Liberty Global Group | 0.3 |
| | 0.4 |
| | 0.7 |
| | 0.2 |
| | 0.3 |
| | 0.5 |
| Total assets: | | | | | | | | | | | | Liberty Global Group | 335.2 |
| | 1,928.1 |
| | 2,263.3 |
| | 405.5 |
| | 2,624.4 |
| | 3,029.9 |
| LiLAC Group | 10.0 |
| | 44.5 |
| | 54.5 |
| | 7.2 |
| | 139.0 |
| | 146.2 |
| Total | $ | 345.2 |
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| $ | 1,972.6 |
|
| $ | 2,317.8 |
|
| $ | 412.7 |
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| $ | 2,763.4 |
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| $ | 3,176.1 |
| | | | | | | | | | | | | Liabilities: | | | | | | | | | | | | Cross-currency and interest rate derivative contracts: | | | | | | | | | | | | Liberty Global Group | $ | 267.4 |
| | $ | 1,242.1 |
| | $ | 1,509.5 |
| | $ | 239.1 |
| | $ | 999.6 |
| | $ | 1,238.7 |
| LiLAC Group | 27.0 |
| | 17.8 |
| | 44.8 |
| | 24.6 |
| | 28.9 |
| | 53.5 |
| Total cross-currency and interest rate derivative contracts (b) | 294.4 |
| | 1,259.9 |
| | 1,554.3 |
| | 263.7 |
| | 1,028.5 |
| | 1,292.2 |
| Equity-related derivative instruments – Liberty Global Group (c) | 10.7 |
| | — |
| | 10.7 |
| | 8.6 |
| | — |
| | 8.6 |
| Foreign currency forward and option contracts: | | | | | | | | | | | | Liberty Global Group | 15.0 |
| | 0.5 |
| | 15.5 |
| | 4.7 |
| | 0.1 |
| | 4.8 |
| LiLAC Group | 6.5 |
| | 1.0 |
| | 7.5 |
| | 4.2 |
| | — |
| | 4.2 |
| Total foreign currency forward and option contracts | 21.5 |
| | 1.5 |
| | 23.0 |
| | 8.9 |
| | 0.1 |
| | 9.0 |
| Other – Liberty Global Group | — |
| | — |
| | — |
| | — |
| | 0.1 |
| | 0.1 |
| Total liabilities: | | | | | | | | | | | | Liberty Global Group | 293.1 |
| | 1,242.6 |
| | 1,535.7 |
| | 252.4 |
| | 999.8 |
| | 1,252.2 |
| LiLAC Group | 33.5 |
| | 18.8 |
| | 52.3 |
| | 28.8 |
| | 28.9 |
| | 57.7 |
| Total | $ | 326.6 |
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| $ | 1,261.4 |
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| $ | 1,588.0 |
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| $ | 281.2 |
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| $ | 1,028.7 |
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| $ | 1,309.9 |
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| | (a) | Our current derivative liabilities, long-term derivative assets and long-term derivative liabilities are included in other accrued and current liabilities, other assets, net, and other long-term liabilities, respectively, in 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 primary borrowing groups (as defined and described in note 8). The changes in the credit risk valuation adjustments associated with our cross-currency and interest rate derivative contracts resulted in a net gain of $37.3 million and $80.4 million during the three months ended September 30, 2017 and 2016, respectively, and a net gain of $182.6 million and $87.5 million during the nine months ended September 30, 2017 and 2016, 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 6. |
(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, (ii) the share collar (the Sumitomo Collar) with respect to a portion of the shares of Sumitomo held by our company and (iii) the prepaid forward transaction (the Lionsgate Forward) with respect to 2.5 million of the shares of Lionsgate held by our company. The fair values of the ITV Collar, the Sumitomo 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.
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| 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 | | Nine months ended | | September 30, | | September 30, | | 2017 | | 2016 | | 2017 | | 2016 | | in millions | Cross-currency and interest rate derivative contracts: | | | | | |
| | Liberty Global Group | $ | (289.2 | ) | | $ | (300.1 | ) | | $ | (1,099.9 | ) | | $ | (235.7 | ) | LiLAC Group | (70.5 | ) | | (52.4 | ) | | (107.8 | ) | | (233.6 | ) | Total cross-currency and interest rate derivative contracts | (359.7 | ) | | (352.5 | ) | | (1,207.7 | ) | | (469.3 | ) | Equity-related derivative instruments – Liberty Global Group: | | | | | |
| | ITV Collar | 44.2 |
| | (46.8 | ) | | 154.4 |
| | 466.9 |
| Sumitomo Collar | (29.5 | ) | | (38.8 | ) | | (50.8 | ) | | 96.2 |
| Lionsgate Forward | (7.3 | ) | | (0.1 | ) | | (9.3 | ) | | 21.9 |
| Other | 1.2 |
| | 0.7 |
| | (4.2 | ) | | 1.6 |
| Total equity-related derivative instruments | 8.6 |
| | (85.0 | ) | | 90.1 |
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| 586.6 |
| Foreign currency forward contracts: | | | | | |
| | Liberty Global Group | (6.4 | ) | | 2.6 |
| | (25.0 | ) | | 0.7 |
| LiLAC Group | (8.1 | ) | | (1.4 | ) | | (7.3 | ) | | (10.3 | ) | Total foreign currency forward contracts | (14.5 | ) | | 1.2 |
| | (32.3 | ) | | (9.6 | ) | Other – Liberty Global Group | (0.3 | ) | | (0.1 | ) | | 0.4 |
| | (0.8 | ) | | | | | | | | | Total Liberty Global Group | (287.3 | ) | | (382.6 | ) | | (1,034.4 | ) | | 350.8 |
| Total LiLAC Group | (78.6 | ) | | (53.8 | ) | | (115.1 | ) | | (243.9 | ) | Total | $ | (365.9 | ) |
| $ | (436.4 | ) |
| $ | (1,149.5 | ) |
| $ | 106.9 |
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| 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 foreign currency forward contracts that are used to hedge capital expenditures, the net cash received or paid is classified as an adjustment to capital expenditures in our condensed consolidated statements of 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 classification of these net cash inflows (outflows) is as follows: | | | | | | | | | | Nine months ended | | September 30, | | 2017 | | 2016 | | in millions | Operating activities: | | | | Liberty Global Group | $ | 143.6 |
| | $ | 24.2 |
| LiLAC Group | (23.7 | ) | | 0.5 |
| Total operating activities | 119.9 |
| | 24.7 |
| Investing activities: | | | | Liberty Global Group | (0.5 | ) | | — |
| LiLAC Group | (2.6 | ) | | (1.7 | ) | Total investing activities | (3.1 | ) | | (1.7 | ) | Financing activities – Liberty Global Group | (104.3 | ) | | (39.5 | ) | Total cash inflows (outflows): | | | | Liberty Global Group | 38.8 |
| | (15.3 | ) | LiLAC Group | (26.3 | ) | | (1.2 | ) | Total | $ | 12.5 |
| | $ | (16.5 | ) |
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| 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, 2017: | | | | | | | | Borrowing group | | Notional amount due from counterparty | | Weighted average remaining life | | | in millions | | in years | | | | | | Virgin Media (a) | $ | 8,745.5 |
| | 4.8 | | | | | | UPC Holding (a) | $ | 4,661.9 |
| | 6.8 | | | | | | Unitymedia | $ | 316.5 |
| | 5.3 | | | | | | Telenet (a) | $ | 5,410.5 |
| | 6.4 | | | | | | C&W (a) | $ | 2,925.0 |
| | 6.6 | | | | | | Liberty Puerto Rico | $ | 675.0 |
| | 3.5 |
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(a) Includes forward-starting 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, 2017: | | | | | | | | | | | | | | 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 |
| | | 5.3 | | | | $ | 8,933.0 |
| | £ | 5,844.3 |
| | (a) (b) | 6.0 | | | | £ | 30.3 |
| | $ | 50.0 |
| | (a) | 2.0 | | | | | | | | | | | | UPC Holding | | $ | 2,390.0 |
| | € | 1,973.7 |
| | | 6.1 | | | | € | 379.2 |
| | $ | 425.0 |
| | (a) | 6.9 | | | | $ | 1,000.0 |
| | CHF | 922.0 |
| | (b) | 6.4 | | | | € | 2,415.2 |
| | CHF | 2,781.0 |
| | | 5.4 | | | | € | 418.5 |
| | CZK | 11,521.8 |
| | | 2.8 | | | | € | 488.0 |
| | HUF | 138,437.5 |
| | | 4.3 | | | | € | 851.6 |
| | PLN | 3,604.5 |
| | | 4.0 | | | | € | 225.9 |
| | RON | 650.0 |
| | | 4.4 | | | | | | | | | | | | Unitymedia | | $ | 3,305.0 |
| | € | 2,562.1 |
| | | 6.0 | | | | € | 89.4 |
| | $ | 100.0 |
| | | 5.3 | | | | | | | | | | | | Telenet | | $ | 2,300.0 |
| | € | 2,067.6 |
| | | 7.4 | | | | € | 520.1 |
| | $ | 595.0 |
| | (a) | 6.8 | | | | | | | | | | | | C&W | | $ | 108.3 |
| | JMD | 13,817.5 |
| | | 5.3 | | | | $ | 35.4 |
| | COP | 106,000.0 |
| | | 4.8 | | | | £ | 146.7 |
| | $ | 194.3 |
| | | 1.5 | | | | | | | | | | | | VTR Finance | | $ | 1,400.0 |
| | CLP | 951,390.0 |
| | | 4.6 |
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| | (a) | 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, 2017, the total U.S. dollar equivalents of the notional amounts of these derivative instruments for the Virgin Media, UPC Holding and Telenet borrowing groups were $515.6 million, $447.6 million and $613.8 million, respectively. |
(b) Includes certain derivative instruments that are “forward-starting,” such that the initial exchange occurs at a date subsequent to September 30, 2017. These instruments are typically entered into in order to extend existing hedges without the need to amend existing contracts.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 (decrease) to borrowing costs at September 30, 2017 (a) | | | | | | | | | Liberty Global Group borrowing groups | 0.03 | % | | Virgin Media | 0.09 | % | | Telenet | 0.04 | % | | Unitymedia | (0.53 | )% | | UPC Holding | 0.69 | % | LiLAC Group borrowing groups | 0.39 | % | | C&W | 0.62 | % | | VTR Finance | (0.52 | )% | | Liberty Puerto Rico | 0.75 | % |
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(a) Represents the effect of derivative instruments in effect at September 30, 2017 and does not include 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, 2017: | | | | | | | | Borrowing group | | Notional amount due from counterparty | | Weighted average remaining life | | | in millions | | in years | | | | | | Virgin Media (a) | $ | 7,958.6 |
| | 0.6 | | | | | | UPC Holding (a) | $ | 4,300.0 |
| | 0.8 | | | | | | Unitymedia | $ | 855.0 |
| | 1.0 | | | | | | Telenet (a) | $ | 4,100.0 |
| | 0.8 | | | | | | C&W (a) | $ | 2,925.0 |
| | 0.8 |
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(a) Includes forward-starting derivative instruments.
|