Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Commitment of Foreign Currency Forward Contracts

As at June 30, 2015, the Company was committed to the following foreign currency forward contracts:


					Fair Value /
					Carrying
					Amount
					Of Asset			Expected Maturity
	Contract Amount in		Average		(Liability)			2015		2016		2017
	Foreign Currency		Forward Rate⁽¹⁾		$			$		$		$
Euro		23,137		0.88		(593	)		24,011		2,413		—
Norwegian Kroner		993,500		7.06		(14,809	)		55,440		76,728		8,585
Singapore Dollar		22,442		1.36		53			—		16,537		—

						(15,349	)		79,451		95,678		8,585

(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, 2015, the Company was committed to the following cross currency swaps:


											Fair Value /
											Carrying
Notional	Notional		Floating Rate Receivable								Amount of
Amount	Amount		Reference					Fixed Rate			Asset /			Remaining
NOK	USD		Rate		Margin			Payable			(Liability)			Term (years)
700,000		122,800		NIBOR		4.75	%		5.52	%		(34,288	)		0.3
500,000		89,710		NIBOR		4.00	%		4.94	%		(26,776	)		0.6
600,000		101,351		NIBOR		5.75	%		7.49	%		(28,252	)		1.6
700,000		125,000		NIBOR		5.25	%		6.88	%		(39,938	)		1.8
800,000		143,536		NIBOR		4.75	%		6.07	%		(44,925	)		2.6
900,000		150,000		NIBOR		4.35	%		6.43	%		(40,398	)		3.2
1,000,000		162,200		NIBOR		4.25	%		6.42	%		(40,604	)		3.6
1,000,000		134,000		NIBOR		3.70	%		5.92	%		(9,063	)		4.9

												(264,244	)

Interest Rate Swap Agreements

As at June 30, 2015, 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		Fixed Interest Rate
	Interest Rate Index		$		$			(years)		(%) ⁽¹⁾
LIBOR-Based Debt:
U.S. Dollar-denominated interest rate swaps ⁽²⁾		LIBOR		3,203,703		(305,934	)		5.8		3.4
U.S. Dollar-denominated interest rate swaps ⁽³⁾		LIBOR		500,000		(20,550	)		0.5		3.1
U.S. Dollar-denominated interest rate swaption ⁽⁴⁾		LIBOR		155,000		(1,365	)		7.5		2.2
U.S. Dollar-denominated interest rate swaption ⁽⁴⁾		LIBOR		155,000		1,958			7.5		3.3
LIBOR-Based Restricted Cash Deposit:
EURIBOR-Based Debt:
Euro-denominated interest rate swaps ^{(5) (6)}		EURIBOR		255,316		(35,874	)		5.5		3.1

						(361,765	)

(1)	Excludes the margins the Company pays on its variable-rate debt, which, as of June 30, 2015, ranged from 0.3% to 3.95%.

(2)	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.

(3)

Interest rate swap with an aggregate principal amount of $180 million is being used to economically hedge expected interest payments on new debt that is planned to be outstanding from 2016 to 2028. The interest rate swap is subject to mandatory early termination in 2015 whereby the swap will be settled based on its fair value at that time. Interest rate swaps with an aggregate principal amount of $320 million are being used to economically hedge expected interest payments on new debt that is planned to be outstanding from 2016 to 2021. These interest rate swaps are subject to mandatory early termination in 2016 whereby the swaps will be settled based on their fair value at that time.

(4)

During June 2015, as part of its hedging program, Teekay LNG entered into an interest rate swaption agreement whereby it has a one-time option in April 2017 to enter into an interest rate swap at a fixed rate of 3.34% with a third party, and the third party has a one-time option in April 2017 to require Teekay LNG to enter into an interest swap at a fixed rate of 2.15%. If Teekay LNG or the third party exercises its option, there will be a cash settlement in April 2017 for the fair value of the interest rate swap, in lieu of taking delivery of the actual interest rate swap.

(5)	Principal amount reduces monthly to 70.1 million Euros ($78.1 million) by the maturity dates of the swap agreements.

(6)	Principal amount is the U.S. Dollar equivalent of 229.2 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
	Prepaids							Portion of
	and		Derivative		Accrued			Derivative			Derivative
	Other		Assets		Liabilities			Liabilities			Liabilities
As at June 30, 2015
Derivatives not designated as a cash flow hedge:
Foreign currency contracts		88		556		—			(13,797	)		(2,196	)
Interest rate swap agreements		—		6,769		(19,016	)		(119,334	)		(230,184	)
Cross currency swap agreements		—		—		(2,538	)		(74,705	)		(187,001	)
Stock purchase warrants		—		11,051		—			—			—

		88		18,376		(21,554	)		(207,836	)		(419,381	)

As at December 31, 2014
Derivatives not designated as a cash flow hedge:
Foreign currency contracts		—		—		—			(14,218	)		(4,189	)
Interest rate swap agreements		—		5,101		(22,656	)		(148,006	)		(240,171	)
Cross currency swap agreements		—		—		(1,835	)		(41,733	)		(177,822	)
Stock purchase warrants		—		9,314		—			—			—

		—		14,415		(24,491	)		(203,957	)		(422,182	)

Effect of Gain (Loss) on Derivatives Not Designated as Hedging Instruments

The effect of the gains and (losses) on derivatives not designated as hedging instruments in the consolidated statements of income (loss) are as follows:


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2015			2014			2015			2014
	$			$			$			$
Realized (losses) gains relating to:
Interest rate swap agreements		(27,205	)		(30,755	)		(55,094	)		(60,245	)
Interest rate swap agreement terminations		—			—			—			1,000
Foreign currency forward contracts		(4,232	)		110			(9,660	)		(1,175	)

		(31,437	)		(30,645	)		(64,754	)		(60,420	)

Unrealized gains (losses) relating to:
Interest rate swap agreements		83,986			(39,096	)		40,326			(64,494	)
Foreign currency forward contracts		9,386			(1,926	)		3,057			1,125
Stock purchase warrants		1,817			(3,664	)		1,737			1,210

		95,189			(44,686	)		45,120			(62,159	)

Total realized and unrealized gains (losses) on derivative instruments		63,752			(75,331	)		(19,634	)		(122,579	)

Effect of Gains (Losses) on Cross Currency Swaps

The effect of the gains (losses) on cross currency swaps on the consolidated statements of income (loss) is as follows:


	Three Months Ended						Six Months Ended
	June 30,						June 30,
	2015			2014			2015			2014
	$			$			$			$
Realized losses		(3,771	)		(144	)		(7,934	)		(289	)
Unrealized gains (losses)		13,501			(24,803	)		(42,152	)		(11,481	)

Total realized and unrealized gains (losses) on cross currency swaps		9,730			(24,947	)		(50,086	)		(11,770	)