Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

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							Fixed Interest Rate
			$		$			(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	)