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Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2013
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Commitment of Foreign Currency Forward Contracts | As at June 30, 2013, the Company was committed to the following foreign currency forward contracts:
|  | Contract Amount in Foreign Currency (millions) |  |  | Average Forward Rate (1) |  |  | Fair Value / Carrying Amount of Asset (Liability) |  |  | Expected Maturity |
|  |  |  | Hedge |  |  | Non-hedge |  |  | 2013 |  |  | 2014 |
|  |  |  | $ |  |  | $ |  |  | $ |  |  | $ |
|  |  |  | (in millions of U.S. Dollars) |  |  | (in millions of U.S. Dollars) |
Norwegian Kroner |  |  | 1,039.4 |  |  |  | 5.97 |  |  |  | — |  |  |  | (4.3 | ) |  |  | 106.1 |  |  |  | 68.1 |
Euro |  |  | 2.0 |  |  |  | 0.75 |  |  |  | — |  |  |  | (0.1 | ) |  |  | 2.7 |  |  |  | — |
Canadian Dollar |  |  | 10.5 |  |  |  | 1.03 |  |  |  | (0.1 | ) |  |  | (0.1 | ) |  |  | 10.2 |  |  |  | — |
British Pound |  |  | 1.8 |  |  |  | 0.63 |  |  |  | (0.1 | ) |  |  | — |  |  |  | 2.9 |  |  |  | — |
|  |  |  |  |  |  |  |  |  |  | (0.2 | ) |  |  | (4.5 | ) |  |  | 121.9 |  |  |  | 68.1 |
(1) | Average contractual exchange rate represents the contracted amount of foreign currency one U.S. Dollar will buy.
Commitment of Cross Currency Swaps | As at June 30, 2013, the Company was committed to the following cross currency swaps:
|  | Notional |  |  | Floating Rate Receivable |  |  | Floating Rate Payable |  |  |  |  |  | Fair Value / Carrying Amount |  |  | Remaining |
Notional Amount NOK |  | Amount USD |  |  | Reference Rate |  |  | Margin |  |  | Reference Rate |  |  | Margin |  |  | Fixed Rate Payable |  |  | of Asset / (Liability) |  |  | Term (years) |
211,500 |  |  | 34,721 | (1) |  |  | NIBOR |  |  |  | 4.75 | % |  |  | LIBOR | (2) |  |  | 5.04 | % |  |  |  |  |  |  | 120 |  |  |  | 0.4 |
700,000 |  |  | 122,800 |  |  |  | NIBOR |  |  |  | 4.75 | % |  |  |  |  |  |  |  |  |  |  | 5.52 | % |  |  | (7,734 | ) |  |  | 2.3 |
500,000 |  |  | 89,710 |  |  |  | NIBOR |  |  |  | 4.00 | % |  |  |  |  |  |  |  |  |  |  | 4.80 | % |  |  | (7,328 | ) |  |  | 2.6 |
600,000 |  |  | 101,351 |  |  |  | NIBOR |  |  |  | 5.75 | % |  |  |  |  |  |  |  |  |  |  | 7.49 | % |  |  | (4,716 | ) |  |  | 3.6 |
700,000 |  |  | 125,000 |  |  |  | NIBOR |  |  |  | 5.25 | % |  |  |  |  |  |  |  |  |  |  | 6.88 | % |  |  | (11,677 | ) |  |  | 3.8 |
800,000 |  |  | 143,536 |  |  |  | NIBOR |  |  |  | 4.75 | % |  |  |  |  |  |  |  |  |  |  | 5.93 | % |  |  | (9,628 | ) |  |  | 4.6 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (40,963 | ) |  |  |  |
(1) | Teekay Offshore partially terminated the cross currency swap in connection with its repurchase in January 2013 of NOK 388.5 million of Teekay Offshore’s original NOK 600 million bond issue (see note 7).
(2) | LIBOR subsequently fixed at 1.1%, subject to a LIBOR rate receivable cap of 3.5% (see next section).
Interest Rate Swap Agreements | As at June 30, 2013, the Company was committed to the following interest rate swap agreements related to its LIBOR-based debt, restricted cash deposits and EURIBOR-based debt, whereby certain of the Company’s floating-rate debt and restricted cash deposits were swapped with fixed-rate obligations or fixed-rate deposits:
|  |  |  |  |  |  |  | Fair Value / Carrying Amount of Asset / (Liability) |  |  |  |  |  |  |
|  |  |  |  |  |  |  |  | Weighted- Average Remaining Term |  |  |  |
|  |  |  |  |  |  |  |  |  | Fixed Interest Rate |
|  | Interest Rate Index |  |  | Principal Amount |  |  |  |
|  |  |  |  | $ |  |  | $ |  |  | (years) |  |  | (%) (1) |
LIBOR-Based Debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Dollar-denominated interest rate swaps (2) |  |  | LIBOR |  |  |  | 408,143 |  |  |  | (79,307 | ) |  |  | 23.6 |  |  |  | 4.9 |
U.S. Dollar-denominated interest rate swaps (3) |  |  | LIBOR |  |  |  | 2,923,688 |  |  |  | (391,903 | ) |  |  | 7.0 |  |  |  | 4.2 |
U.S. Dollar-denominated interest rate swaps (4) |  |  | LIBOR |  |  |  | 713,672 |  |  |  | 8,661 |  |  |  | 3.2 |  |  |  | 1.4 |
U.S. Dollar-denominated interest rate swaps (5) |  |  | LIBOR |  |  |  | 98,500 |  |  |  | (415 | ) |  |  | 0.4 |  |  |  | 1.1 |
LIBOR-Based Restricted Cash Deposit: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
U.S. Dollar-denominated interest rate swaps (2) |  |  | LIBOR |  |  |  | 469,018 |  |  |  | 108,605 |  |  |  | 23.6 |  |  |  | 4.8 |
EURIBOR-Based Debt: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Euro-denominated interest rate swaps (6) (7) |  |  | EURIBOR |  |  |  | 329,480 |  |  |  | (31,387 | ) |  |  | 7.5 |  |  |  | 3.1 |
|  |  |  |  |  |  |  |  |  |  | (385,746 | ) |  |  |  |  |  |  |  |
(1) | Excludes the margins the Company pays on its variable-rate debt, which, as of June 30, 2013, ranged from 0.3% to 4.5%.
(2) | Principal amount reduces quarterly.
(3) | Principal amount of $200 million is fixed at 2.14%, unless LIBOR exceeds 6%, in which case the Company pays a floating rate of interest.
(4) | Inception date of swaps are 2013 ($413.7 million) and 2014 ($300.0 million).
(5) | The floating LIBOR rate receivable is capped at 3.5%, which effectively results in a fixed rate of 1.12% unless LIBOR exceeds 3.5%, in which case the Company’s related interest rate effectively floats at LIBOR reduced by 2.38%.
(6) | Principal amount reduces monthly to 70.1 million Euros ($91.2 million) by the maturity dates of the swap agreements.
(7) | Principal amount is the U.S. Dollar equivalent of 253.3 million Euros.
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 consolidated balance sheets.
|  | Current |  |  |  |  |  |  |  |  | Current |  |  |  |
|  | Portion of |  |  |  |  |  |  |  |  | Portion of |  |  |  |
|  | Derivative |  |  | Derivative |  |  | Accrued |  |  | Derivative |  |  | Derivative |
|  | Assets |  |  | Assets |  |  | Liabilities |  |  | Liabilities |  |  | Liabilities |
As at June 30, 2013 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as a cash flow hedge: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (142 | ) |  |  | — |
Derivatives not designated as a cash flow hedge: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency contracts |  |  | 161 |  |  |  | 1 |  |  |  | — |  |  |  | (4,238 | ) |  |  | (453 | )
Interest rate swap agreements |  |  | 22,336 |  |  |  | 96,582 |  |  |  | (22,033 | ) |  |  | (175,596 | ) |  |  | (307,035 | )
Cross currency swap agreements |  |  | 909 |  |  |  | — |  |  |  | 222 |  |  |  | (748 | ) |  |  | (41,346 | )
|  |  | 23,406 |  |  |  | 96,583 |  |  |  | (21,811 | ) |  |  | (180,724 | ) |  |  | (348,834 | )
As at December 31, 2012 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as a cash flow hedge: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency contracts |  |  | 441 |  |  |  | — |  |  |  | — |  |  |  | (1 | ) |  |  | — |
Derivatives not designated as a cash flow hedge: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency contracts |  |  | 2,506 |  |  |  | — |  |  |  | — |  |  |  | (60 | ) |  |  | — |
Interest rate swap agreements |  |  | 16,927 |  |  |  | 144,247 |  |  |  | (22,312 | ) |  |  | (115,774 | ) |  |  | (525,225 | )
Cross currency swap agreements |  |  | 11,795 |  |  |  | 4,334 |  |  |  | 719 |  |  |  | — |  |  |  | (2,962 | )
|  |  | 31,669 |  |  |  | 148,581 |  |  |  | (21,593 | ) |  |  | (115,835 | ) |  |  | (528,187 | )
Effect of Gain (Loss) on Derivatives Not Designated as Hedging Instruments | The effect of the gain (loss) on derivatives not designated as hedging instruments in the consolidated statements of income (loss) are as follows:
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
|  | 2013 |  |  | 2012 |  |  | 2013 |  |  | 2012 |
|  | $ |  |  | $ |  |  | $ |  |  | $ |
Realized (losses) gains relating to: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  |  | (30,899 | ) |  |  | (29,669 | ) |  |  | (61,251 | ) |  |  | (60,085 | )
Interest rate swap agreement terminations |  |  | (4,187 | ) |  |  | — |  |  |  | (4,187 | ) |  |  | — |
Foreign currency forward contracts |  |  | (1,873 | ) |  |  | 147 |  |  |  | (1,452 | ) |  |  | 1,384 |
Foinaven embedded derivative |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 11,452 |
|  |  | (36,959 | ) |  |  | (29,522 | ) |  |  | (66,890 | ) |  |  | (47,249 | )
Unrealized gains (losses) relating to: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swap agreements |  |  | 96,911 |  |  |  | (58,425 | ) |  |  | 116,115 |  |  |  | (41,290 | )
Foreign currency forward contracts |  |  | (3,917 | ) |  |  | (6,651 | ) |  |  | (6,979 | ) |  |  | 2,141 |
Foinaven embedded derivative |  |  | — |  |  |  | — |  |  |  | — |  |  |  | (3,385 | )
|  |  | 92,994 |  |  |  | (65,076 | ) |  |  | 109,136 |  |  |  | (42,534 | )
Total realized and unrealized gains (losses) on derivative instruments |  |  | 56,035 |  |  |  | (94,598 | ) |  |  | 42,246 |  |  |  | (89,783 | )
Effect of Gain (Loss) on Cross Currency Swaps | Realized and unrealized gains of the cross currency swaps are recognized in earnings and reported in foreign currency exchange gain (loss) in the consolidated statements of income (loss). The effect of the gain (loss) on cross currency swaps on the consolidated statements of income (loss) is as follows:
|  | Three Months Ended June 30, |  |  | Six Months Ended June 30, |
|  | 2013 |  |  | 2012 |  |  | 2013 |  |  | 2012 |
|  | $ |  |  | $ |  |  | $ |  |  | $ |
Realized gain on partial termination of cross currency swap |  |  | — |  |  |  | — |  |  |  | 6,800 |  |  |  | — |
Realized gains |  |  | 503 |  |  |  | 744 |  |  |  | 1,565 |  |  |  | 1,738 |
Unrealized losses |  |  | (16,399 | ) |  |  | (21,046 | ) |  |  | (54,353 | ) |  |  | (13,167 | )
Total realized and unrealized losses on cross currency swaps |  |  | (15,896 | ) |  |  | (20,302 | ) |  |  | (45,988 | ) |  |  | (11,429 | )

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