XML 42 R35.htm IDEA: XBRL DOCUMENT v3.10.0.1
Derivative Instruments and Hedging Activities (Tables)
 6 Months Ended
Jun. 30, 2018
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Commitment of Cross Currency Swaps
As at June 30, 2018, the Company was committed to the following cross-currency swaps:
 
 
 
 
 
 
 
 
 
 
Fair Value /
Carrying
Amount of
Asset /
(Liability)
$
 
 
Notional
Amount
NOK
 
Notional
Amount
USD
 
Floating Rate Receivable
 
 
 
 
 
 
 
Reference
Rate
 
Margin
 
Fixed Rate
Payable
 
 
Remaining
Term (years)
900,000
 
150,000

 
NIBOR
 
4.35%
 
6.43%
 
(40,214
)
 
0.2
1,000,000
 
134,000

 
NIBOR
 
3.70%
 
5.92%
 
(10,761
)
 
1.9
1,200,000
 
146,500

 
NIBOR
 
6.00%
 
7.72%
 
6,449

 
3.3
 
 
 
 
 
 
 
 
 
 
(44,526
)
 
 
Interest Rate Swap Agreements
As at June 30, 2018, the Company was committed to the following interest rate swap agreements related to its LIBOR-based debt and EURIBOR-based debt, whereby certain of the Company’s floating-rate debt were swapped with fixed-rate obligations: 
 
Interest
Rate
Index
 
Principal
Amount
 
Fair Value /
Carrying
Amount of
Asset /
(Liability)
$
 
Weighted-
Average
Remaining
Term
(years)
 
Fixed
Interest
Rate
(%) (1)
LIBOR-Based Debt:
 
 
 
 
 
 
 
 
 
U.S. Dollar-denominated interest rate swaps (2)
LIBOR
 
1,256,827

 
(14,623
)
 
4.1
 
2.9

EURIBOR-Based Debt:
 
 
 
 
 
 
 
 
 
Euro-denominated interest rate swaps (3)
EURIBOR
 
217,621

 
(26,107
)
 
2.5
 
3.1

 
 
 
 
 
(40,730
)
 
 
 
 

(1)
Excludes the margins the Company pays on its variable-rate debt, which, as of June 30, 2018, ranged from 0.3% to 4.0%.
(2)
Includes interest rate swaps with the notional amount reducing quarterly or semi-annually. Two interest rate swaps are subject to mandatory early termination in 2020 and 2021, at which time the swaps will be settled based on their fair value.
(3)
Principal amount is the U.S. Dollar equivalent of 186.2 million Euros. Principal amount reduces monthly to 70.1 million Euros ($81.9 million) by the maturity dates of the swap agreements. Certain of these Euro-denominated interest rate swaps are subject to mandatory early termination in 2018 whereby the swaps will be settled based on their fair value at that time. Certain of these interest rate swaps were terminated in July 2018.
Location and Fair Value Amounts of Derivative Instruments
The following table presents the location and fair value amounts of derivative instruments, segregated by type of contract, on the Company’s unaudited consolidated balance sheets.
 
Prepaid Expenses and Other
 
Other Non-Current Assets
 
Accrued
Liabilities and Other
 
Current
Portion of
Derivative
Liabilities
 
Derivative
Liabilities
 
$
 
$
 
$
 
$
 
$
As at June 30, 2018
 
 
 
 
 
 
 
 
 
Derivatives designated as a cash flow hedge:
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
515

 
5,594

 
—

 
—

 
—

Derivatives not designated as a cash flow hedge:
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
3,053

 
5,869

 
(3,385
)
 
(22,812
)
 
(29,564
)
Cross-currency swap agreements
—

 
7,212

 
(645
)
 
(42,284
)
 
(8,809
)
Stock purchase warrants
—

 
35,271

 
—

 
—

 
—

Forward freight agreements
34

 
—

 
—

 
(16
)
 
—

 
3,602

 
53,946

 
(4,030
)
 
(65,112
)
 
(38,373
)
As at December 31, 2017
 
 
 
 
 
 
 
 
 
Derivatives designated as a cash flow hedge:
 
 
 
 
 
 
 
 
 
Interest rate swap agreements
—

 
1,037

 
(18
)
 
(751
)
 
(7
)
Derivatives not designated as a cash flow hedge:
 
 
 
 
 
 
 
 
 
Foreign currency contracts
96

 
—

 
—

 
(15
)
 
—

Interest rate swap agreements
1,124

 
4,319

 
(4,836
)
 
(35,134
)
 
(38,213
)
Cross-currency swap agreements
—

 
5,042

 
(810
)
 
(44,523
)
 
(10,168
)
Stock purchase warrants
—

 
30,749

 
—

 
—

 
—

 
1,220

 
41,147

 
(5,664
)
 
(80,423
)
 
(48,388
)
Schedule of Cash Flow Hedges
For the periods indicated, the following table presents the effective portion of gains (losses) on interest rate swap agreements designated and qualifying as cash flow hedges (excluding such agreements in equity-accounted investments):

Three Months Ended June 30, 2018
 
Effective Portion
 
Effective Portion
Ineffective
 
Recognized in AOCI(1)
 
Reclassified from AOCI(2)
Portion(3)
 
$
 
$
$
 
1,534
 
2
—
Interest expense
1,534
 
2
—
 
 
 
 
 
 
Three Months Ended June 30, 2017
 
Effective Portion
 
Effective Portion
Ineffective
 
Recognized in AOCI(1)
 
Reclassified from AOCI(2)
Portion(3)
 
(1,508)
 
(706)
(821)
Interest expense
(1,508)
 
(706)
(821)
 
 
 
Six Months Ended June 30, 2018
 
Effective Portion
 
Effective Portion
Ineffective
 
Recognized in AOCI(1)
 
Reclassified from AOCI(2)
Portion(3)
 
$
 
$
$
 
5,090
 
(248)
740
Interest expense
5,090
 
(248)
740
 
 
 
 
 
 
Six Months Ended June 30, 2017
 
Effective Portion
 
Effective Portion
Ineffective
 
Recognized in AOCI(1)
 
Reclassified from AOCI(2)
Portion(3)
 
(1,562)
 
(762)
(754)
Interest expense
(1,562)
 
(762)
(754)
 

(1) Recognized in accumulated other comprehensive income (loss) (or AOCI).
(2) Recorded in AOCI during the term of the hedging relationship and reclassified to earnings.
(3) Recognized in the ineffective portion of gains (losses) on derivative instruments designated and qualifying as cash flow hedges.
Effect of Gain (Loss) on Derivatives Not Designated as Hedging Instruments
The effect of the (losses) and gains on derivatives not designated as hedging instruments in the unaudited consolidated statements of loss is as follows:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2018
 
2017
 
2018
 
2017
 
$
 
$
 
$
 
$
Realized (losses) gains relating to:
 
 
 
 
 
 
 
Interest rate swap agreements
(4,031
)
 
(15,914
)
 
(8,840
)
 
(32,470
)
Interest rate swap agreement terminations
—

 
(1,005
)
 
—

 
(610
)
Foreign currency forward contracts
—

 
(618
)
 
—

 
(971
)
Time charter swap agreement
—

 
360

 
—

 
1,106

Forward freight agreements
(18
)
 
80

 
(18
)
 
113

 
(4,049
)
 
(17,097
)
 
(8,858
)
 
(32,832
)
Unrealized gains (losses) relating to:
 
 
 
 
 
 
 
Interest rate swap agreements
8,532

 
(15,517
)
 
24,451

 
(6,394
)
Foreign currency forward contracts
—

 
2,808

 
—

 
3,648

Stock purchase warrants
6,206

 
(332
)
 
4,522

 
(575
)
Time charter swap agreement
—

 
(402
)
 
—

 
(875
)
Forward freight agreements
34

 
(30
)
 
34

 
(17
)
 
14,772

 
(13,473
)
 
29,007

 
(4,213
)
Total realized and unrealized gains (losses) on derivative instruments
10,723

 
(30,570
)
 
20,149

 
(37,045
)
Effect of Gains (Losses) on Cross Currency Swaps
The effect of the gains and losses on cross-currency swaps on the consolidated statements of loss is as follows:
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2018
 
2017
 
2018
 
2017
 
$
 
$
 
$
 
$
Realized losses on maturity and termination of cross-currency swaps
—

 
(25,733
)
 
—

 
(25,733
)
Realized losses
(1,798
)
 
(5,394
)
 
(3,182
)
 
(12,135
)
Unrealized (losses) gains
(16,566
)
 
43,017

 
5,768

 
50,096

Total realized and unrealized (losses) gains on cross-currency swaps
(18,364
)
 
11,890

 
2,586

 
12,228