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Derivative Instruments (Tables)
 3 Months Ended
Mar. 31, 2024
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 March 31, 2024 and December 31, 2023 (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 InstrumentsMarch 31, 2024December 31, 2023March 31, 2024December 31, 2023
Interest rate swaps (4)
12$2,680.0 $1,630.03.71%Jun 2025 - Aug 2027$43.9 $0.3 
Interest rate swaptions (5)
—— 1,000.0 —— 2.6 
Cross-currency swaps - Fair Value
3320.0 320.0(6)Oct 2032(53.7)(59.8)
Cross-currency swaps - Net Investment
3280.0 280.0(7)Oct 2032(47.8)(53.2)
Foreign currency forwards24217.8 162.3(8)Apr 2024 - Jun 20252.2 2.7 
$3,497.8 $3,392.3 $(55.4)$(107.4)
Derivatives not Designated as Hedging Instruments
Currency exchange swaps
4$1,476.3 $1,810.6(9)Apr 2024 - May 2024$2.1 $8.9 
$1,476.3 $1,810.6 $2.1 $8.9 
Total of all Derivatives$4,974.1 $5,202.9 $(53.3)$(98.5)
(1)This column represents the number of instruments outstanding as of March 31, 2024.
(2)Weighted average strike rate is calculated using the notional value as of March 31, 2024.
(3)This column represents maturity dates for instruments outstanding as of March 31, 2024.
(4)During the three months ended March 31, 2024, we entered into five variable-to-fixed interest rate swaps when we extended maturity of the 2023 term loans and designated them as cash flow hedges. We also designated five variable-to-fixed interest rate swaps we acquired from Spirit as cash flow hedges to mitigate the interest rate risk associated with the term loans we assumed in conjunction with our merger with Spirit. The acquisition date fair value of these derivatives was $35.1 million in total and will be reclassified from AOCI to interest expense over the remaining life of the term loans on a systematic and rational basis.
(5)There were six interest swaptions equal to $1 billion in notional entered into in March 2023, of which $800 million was terminated in January 2024 in connection with a senior unsecured note issuance. A total termination premium of $3.4 million we received was deferred in other comprehensive income and will be recognized in interest expense over the 10-year tenor of the notes due 2034. The remaining swaption of the $200 million notional expired in January 2024.
(6)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.681%.
(7)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.716%.
(8)Weighted average forward GBP-USD exchange rate of 1.28.
(9)Weighted average exchange rates of 0.86 for EUR-GBP and 1.27 for GBP-USD.
Schedule of Gain (Loss) Recognized on Derivatives in Other Comprehensive Income
The following table summarizes the amount of unrealized gain (loss) on derivatives and foreign currency translation adjustments in other comprehensive income (in thousands):
Three months ended March 31,
Derivatives in Cash Flow Hedging Relationships20242023
Interest rate swaps$9,916 $(1,720)
Foreign currency forwards (570)(5,113)
  Interest rate swaptions1,717 (1,287)
Total derivatives in cash flow hedging relationships$11,063 $(8,120)
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps - Fair Value$(2,141)$5,958 
Total derivatives in fair value hedging relationships$(2,141)$5,958 
Total unrealized gain (loss) on derivatives, net$8,922 $(2,162)
Derivatives in Net Investment Hedging Relationships
Cross-currency swaps - Net Investment$4,873 $— 
Total unrealized gain recorded in foreign currency translation adjustment$4,873 $— 
Schedule 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 March 31,
Derivatives in Cash Flow Hedging Relationships
Location of Gain Recognized in Income
20242023
Interest rate swapsInterest expense$8,932 $1,480 
Foreign currency forwards
Foreign currency and derivative gain, net
2,111 1,431 
Interest rate swaptionsInterest expense(982)— 
Total derivatives in cash flow hedging relationships$10,061 $2,911 
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps - Fair ValueForeign currency and derivative gain, net$461 $294 
Total derivatives in fair value hedging relationships$461 $294 
Derivatives in Net Investment Hedging Relationships
Cross-currency swaps - Net InvestmentForeign currency and derivative gain, net$869 $— 
Total derivatives in net investment hedging relationships$869 $— 
Net increase to net income
$11,391 $3,205 
Schedule of Foreign Currency and Derivative (Loss) Gain
The following table details our foreign currency and derivative gains (losses), net included in income (in thousands):
Three months ended March 31,
20242023
Realized foreign currency and derivative (loss) gain, net:
Loss on the settlement of undesignated derivatives$(15,265)$(345)
Gain on the settlement of designated derivatives reclassified from AOCI3,441 1,725 
(Loss) gain on the settlement of transactions with third parties(6)1,326 
Total realized foreign currency and derivative (loss) gain, net$(11,830)$2,706 
Unrealized foreign currency and derivative gain (loss), net:
Gain (loss) on the change in fair value of undesignated derivatives$2,138 $(782)
Gain on remeasurement of certain assets and liabilities13,738 8,398 
Total unrealized foreign currency and derivative gain, net$15,876 $7,616 
Total foreign currency and derivative gain, net$4,046 $10,322