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Derivative Instruments (Tables)
 9 Months Ended
Sep. 30, 2023
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Financial Instruments
The following table summarizes the terms and fair values of our derivative financial instruments at September 30, 2023 and December 31, 2022 (dollars in millions):
Derivative Type
Number of Instruments(1)
Notional Amount as of
Weighted Average Strike Rate (2)
Maturity Date (3)
Fair Value - asset (liability) as of
Derivatives Designated as Hedging InstrumentsSeptember 30, 2023December 31, 2022September 30, 2023December 31, 2022
Interest rate swaps
9$1,630.0 $250.04.26%Jan 2024 - Jan 2026$1.3 $5.6 
Interest rate swaptions61,000.0 — (4)Feb 203421.7 — 
Cross-currency swaps
3320.0 320.0(5)Oct 2032(38.6)(33.3)
Foreign currency forwards26160.7 185.5(6)Oct 2023 - Dec 202410.1 16.1 
$3,110.7 $755.5 $(5.5)$(11.6)
Derivatives not Designated as Hedging Instruments
Currency exchange swaps
6$1,650.6 $2,427.7(7)Oct 2023$6.6 $58.8 
Cross-currency swaps3280.0 280.0(5)Oct 2032(34.7)(29.5)
$1,930.6 $2,707.7 $(28.1)$29.3 
Total of all Derivatives$5,041.3 $3,463.2 $(33.6)$17.7 

(1)This column represents the number of instruments outstanding as of September 30, 2023.
(2)Weighted average strike rate is calculated using the notional value as of September 30, 2023.
(3)This column represents maturity dates for instruments outstanding as of September 30, 2023.
(4)Represent purchased payer swaptions with a strike rate of 3.75% and sold payer swaptions with a strike rate of 4.25%.
(5)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.697%.
(6)Weighted average forward GBP-USD exchange rate of 1.31.
(7)Weighted average EUR-GBP exchange rates each of 0.86.
Schedule of Gain (Loss) Recognized on Derivatives in Other Comprehensive Income
The following table summarizes the amount of unrealized gain (loss) on derivatives in other comprehensive income (in thousands):
Three months ended
September 30,		Nine months ended
September 30,
Derivatives in Cash Flow Hedging Relationships2023202220232022
Cross-currency swaps$— $— $— $(5,091)
Interest rate swaps(7,172)30,838 (5,328)100,229 
Foreign currency forwards 3,156 11,076 (6,039)23,920 
  Interest rate swaptions15,126 — 18,679 — 
Total derivatives in cash flow hedging relationships$11,110 $41,914 $7,312 $119,058 
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps$(3,917)$— $(8,691)$— 
Total derivatives in fair value hedging relationships$(3,917)$— $(8,691)$— 
Total unrealized gain (loss) on derivatives$7,193 $41,914 $(1,379)$119,058 
Summary of Gain (Loss) on Derivatives Reclassified from Accumulated Other Comprehensive Income (Loss)
The following table summarizes the amount of gain (loss) on derivatives reclassified from AOCI (in thousands):
Three months ended
September 30,		Nine months ended
September 30,
Derivatives in Cash Flow Hedging RelationshipsLocation of Gain (Loss) Recognized in Income2023202220232022
Cross-currency swaps
Foreign currency and derivative (loss) gain, net
$— $2,784 $— $30,425 
Interest rate swapsInterest expense5,316 (1,286)10,055 (5,969)
Foreign currency forwards
Foreign currency and derivative (loss) gain, net
1,662 — 3,985 — 
Interest rate swaptionsInterest expense(2,250)— (4,609)— 
Total derivatives in cash flow hedging relationships$4,728 $1,498 $9,431 $24,456 
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps
Foreign currency and derivative (loss) gain, net
$570 $— $1,054 $— 
Total derivatives in fair value hedging relationships$570 $— $1,054 $— 
Net increase to net income $5,298 $1,498 $10,485 $24,456 
Schedule of Foreign Currency and Derivative (Loss) Gain
The following table details our foreign currency and derivative gains (losses), net included in income (in thousands):
Three months ended
September 30,		Nine months ended
September 30,
2023202220232022
Realized foreign currency and derivative gain (loss), net:
Gain on the settlement of undesignated derivatives$11,432 $4,050 $10,106 $80,677 
Gain on the settlement of designated derivatives reclassified from AOCI2,233 2,784 5,039 30,425 
Gain (loss) on the settlement of transactions with third parties410 (111)1,685 (41)
Total realized foreign currency and derivative gain, net$14,075 $6,723 $16,830 $111,061 
Unrealized foreign currency and derivative gain (loss), net:
Gain (loss) on the change in fair value of undesignated derivatives$12,910 $(24,488)$4,734 $35,506 
Loss on remeasurement of certain assets and liabilities(29,798)(5,128)(16,607)(162,570)
Total unrealized foreign currency and derivative loss, net$(16,888)$(29,616)$(11,873)$(127,064)
Total foreign currency and derivative (loss) gain, net$(2,813)$(22,893)$4,957 $(16,003)