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Derivative Instruments (Tables)
9 Months Ended
Sep. 30, 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 September 30, 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 InstrumentsSeptember 30, 2024December 31, 2023September 30, 2024December 31, 2023
Interest rate swaps (4)
12$2,680.0 $1,630.03.71%Jun 2025 - Aug 2027$13.9 $0.3 
Interest rate swaptions (5)
— 1,000.0 — 2.6 
Cross-currency swaps - Fair Value
3320.0 320.0(6)Oct 2032(59.5)(59.8)
Cross-currency swaps - Net Investment
3280.0 280.0(7)Oct 2032(52.8)(53.2)
Foreign currency forwards31357.6 162.3(8)Oct 2024 - Jun 2026(15.2)2.7 
$3,637.6 $3,392.3 $(113.6)$(107.4)
Derivatives not Designated as Hedging Instruments
Currency exchange swaps
3$1,251.0 $1,810.6(9)Oct 2024$(28.9)$8.9 
$1,251.0 $1,810.6 $(28.9)$8.9 
Total of all Derivatives$4,888.6 $5,202.9 $(142.5)$(98.5)
(1)This column represents the number of instruments outstanding as of September 30, 2024.
(2)Weighted average strike rate is calculated using the notional value as of September 30, 2024.
(3)This column represents maturity dates for instruments outstanding as of September 30, 2024.
(4)During the nine months ended September 30, 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.
(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 $200 million notional expired in January 2024.
(6)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.681%.
(7)USD fixed rate of 5.625% and EUR weighted average fixed rate of 4.716%.
(8)Weighted average forward GBP-USD exchange rate of 1.28.
(9)Weighted average exchange rates of 0.84 for EUR-GBP and 1.31 for GBP-USD.
Schedule of Gain (Loss) Recognized on Derivatives in Other Comprehensive Income
The following table summarizes the amount of unrealized gain (loss) on derivatives and foreign currency translation adjustments in other comprehensive income (in thousands):
Three months ended
September 30,
Nine months ended
 September 30,
Derivatives in Cash Flow Hedging Relationships2024202320242023
Interest rate swaps$(30,051)$(7,172)$(18,206)$(5,328)
Foreign currency forwards (17,414)3,156 (17,947)(6,039)
Interest rate swaptions640 15,126 2,284 18,679 
Total derivatives in cash flow hedging relationships$(46,825)$11,110 $(33,869)$7,312 
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps - Fair Value$351 $(3,917)$3,641 $(8,691)
Total derivatives in fair value hedging relationships$351 $(3,917)$3,641 $(8,691)
Total unrealized (loss) gain on derivatives, net$(46,474)$7,193 $(30,228)$(1,379)
Derivatives and Non-derivatives in Net Investment Hedging Relationships
Cross-currency swaps - Net Investment$(12,715)$— $(1,094)$— 
Foreign currency debt(2,232)— (2,232)— 
Total unrealized loss recorded in foreign currency translation adjustment$(14,947)$— $(3,326)$— 
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
September 30,
Nine months ended
 September 30,
Derivatives in Cash Flow Hedging Relationships
Location of Gain Recognized in Income
2024202320242023
Interest rate swapsInterest$8,316 $5,316 $25,836 $10,055 
Foreign currency forwardsForeign currency and derivative (loss) gain, net739 1,662 4,419 3,985 
Interest rate swaptionsInterest82 (2,250)(827)(4,609)
Total derivatives in cash flow hedging relationships$9,137 $4,728 $29,428 $9,431 
Derivatives in Fair Value Hedging Relationships
Cross-currency swaps - Fair ValueForeign currency and derivative (loss) gain, net$98 $570 $1,097 $1,054 
Total derivatives in fair value hedging relationships$98 $570 $1,097 $1,054 
Derivatives in Net Investment Hedging Relationships
Cross-currency swaps - Net Investment (excluded component)Foreign currency and derivative (loss) gain, net$549 $— $2,356 $— 
Total derivatives in net investment hedging relationships$549 $— $2,356 $— 
Net increase to net income
$9,784 $5,298 $32,881 $10,485 
Schedule of Foreign Currency and Derivative (Loss) Gain
The following table details our foreign currency and derivative gains (losses), net included in income (in thousands):
Three months ended
September 30,
Nine months ended
 September 30,
2024202320242023
Realized foreign currency and derivative (loss) gain, net:
(Loss) gain on the settlement of undesignated derivatives$(34,164)$11,432 $(54,548)$10,106 
Gain on the settlement of designated derivatives reclassified from AOCI1,386 2,233 7,872 5,039 
(Loss) gain on the settlement of transactions with third parties(18)410 (33)1,685 
Total realized foreign currency and derivative (loss) gain, net$(32,796)$14,075 $(46,709)$16,830 
Unrealized foreign currency and derivative (loss) gain, net:
(Loss) gain on the change in fair value of undesignated derivatives$(28,915)$12,910 $(23,369)$4,734 
Gain (loss) on remeasurement of certain assets and liabilities60,039 (29,798)72,963 (16,607)
Total unrealized foreign currency and derivative gain (loss), net$31,124 $(16,888)$49,594 $(11,873)
Total foreign currency and derivative (loss) gain, net$(1,672)$(2,813)$2,885 $4,957