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Interest Rate Risk
−Removed: We had significant variable rate debt commitments outstanding as of December 31, 2022, which accrue interest at the LIBO rate plus an applicable margin of 1.75%.
+Added: We had significant variable rate debt commitments outstanding as of December 31, 2023, which accrue interest at the SOFR rate plus an applicable margin of 1.75%.
These on-balance sheet financial instruments expose us to interest rate risk.
−Removed: During the year ended December 31, 2020, we entered into a series of interest rate swaps which fixed the LIBO rate to an annual rate of 0.18% to 0.47% (for an annual effective interest rate of 1.93% to 2.22%, including margin) for an aggregate notional amount of $1,650 million, of which $150 million notional value was still in effect as of December 31, 2022.
−Removed: During the year ended December 31, 2022, we entered into additional interest rate swaps which fixed the LIBO rate to an annual rate of 2.70% to 3.44% (for an annual effective interest rate of 4.45% to 5.19%, including margin) for an aggregate notional amount of $1,000 million.
−Removed: As of December 31, 2022, we had interest rate swaps of an aggregate notional amount of $1,150 million.
−Removed: These interest rate swaps hedge a portion of the interest rate exposure resulting from our Term Loan Facility for periods ranging from three to four years.
+Added: During 2020 and 2022, we entered into a series of interest rate swaps which fixed the LIBOR of our External Debt Facilities.
+Added: In February 2023, we amended our interest rate swaps to replace the interest rate benchmark from the LIBOR to SOFR.
+Added: Other than the foregoing, the material terms of the interest rate swap agreements remained unchanged, and our election to use practical expedients under ASUs 2020-04 and 2021-01 resulted in no material impacts on the consolidated financial statements.
+Added: The aggregate notional amount of our interest rate swaps still in effect as of December 31, 2023 was $1,150 million, and the SOFR is fixed at an annual rate of 0.40% to 3.40% (for an annual effective interest rate of 2.15% to 5.15%, including margin).
+Added: These interest rate swaps hedge a portion of the interest rate exposure resulting from our Term Loan Facility for periods ranging from two to three years.
We classify these instruments as cash flow hedges.
−Removed: Our average variable rate for the remaining notional amount of $1,150 million is a one-month LIBO rate plus an applicable margin of 1.75%.
−Removed: The fair value of our interest rate swaps included on our consolidated balance sheets as of December 31, 2022 is $48 million.
+Added: Our average variable rate for the remaining notional amount of $1,150 million is a one-month SOFR plus an applicable margin of 1.75%.
+Added: The fair value of our interest rate swaps included on our consolidated balance sheets as of December 31, 2023 was $30 million.
Refer to Note 8 – Financial Instruments for further detail.
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Total $ 1,150
−Removed: (1) Includes 1.75% applicable margin on the one-month LIBO rate.
+Added: (1) Includes 1.75% applicable margin on the one-month SOFR.
Based on the unhedged outstanding borrowings under the Term Loan Facility as of December 31, 2023, a 100-basis point increase (decrease) in the interest rates under the Term Loan Facility would result in a $7 million increase (decrease) in interest expense, per annum, on our borrowings.
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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.