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Derivative Instruments and Hedging Activities (Tables) | 6 Months Ended
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Jun. 30, 2017
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Commitment of Foreign Currency Forward Contracts | As at June 30, 2017, the Company was committed to the following foreign currency forward contracts:
|  |  |  |  | Fair Value / Carrying Amount Of Asset (Liability) $ |  | Expected Maturity
| Contract Amount in Foreign Currency |  | Average Forward Rate (1) |  |  | 2017 |  | 2018
|  |  |  | $ |  | $
Euro | 7,500 |  |  | 0.92 |  |  | 449 |  |  | 8,153 |  |  | — |
Norwegian Kroner | 430,000 |  |  | 8.36 |  |  | 204 |  |  | 31,467 |  |  | 19,982 |
|  |  |  |  | 653 |  |  | 39,620 |  |  | 19,982 |
(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, 2017, 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)
420,000 (1)(2) |  | 70,946 |  |  | NIBOR |  | 5.75% |  | 8.84% |  | (23,136 | ) |  | 1.4
800,000 (1)(3) |  | 143,536 |  |  | NIBOR |  | 5.75% |  | 7.58% |  | (52,004 | ) |  | 1.5
900,000 |  | 150,000 |  |  | NIBOR |  | 4.35% |  | 6.43% |  | (45,161 | ) |  | 1.2
1,000,000 |  | 134,000 |  |  | NIBOR |  | 3.70% |  | 5.92% |  | (16,572 | ) |  | 2.9
1,000,000 |  | 162,200 |  |  | NIBOR |  | 4.25% |  | 7.45% |  | (49,720 | ) |  | 1.6
1,200,000 |  | 146,500 |  |  | NIBOR |  | 6.00% |  | 7.70% |  | (171 | ) |  | 4.3
|  |  |  |  |  |  |  |  |  | (186,764 | ) |  |
(1) | Notional amount reduces equally with NOK bond repayments (see Note 7).
(2) | Excludes an economic hedge on the foreign currency exposure for a three percent premium upon maturity of the NOK bonds which exchanges NOK 7.2 million for $1.2 million (see Note 7).
(3) | Excludes an economic hedge on the foreign currency exposure for a three percent premium upon maturity of the NOK bonds which exchanges NOK 19.2 million for $3.4 million (see Note 7).
Interest Rate Swap Agreements | As at June 30, 2017, 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 |  | 2,680,734 |  |  | (247,864 | ) |  | 5.2 |  | 3.3 |
U.S. Dollar-denominated interest rate swaps (3) | LIBOR |  | 517,629 |  |  | (21,329 | ) |  | 3.9 |  | 3.0 |
U.S. Dollar-denominated interest rate swaption (4) | LIBOR |  | 160,000 |  |  | (959 | ) |  | 0.6 |  | 2.0 |
U.S. Dollar-denominated interest rate swaption (4) | LIBOR |  | 160,000 |  |  | 154 |  |  | 0.6 |  | 3.1 |
EURIBOR-Based Debt: |  |  |  |  |  |  |  |  |
Euro-denominated interest rate swaps (5) (6) | EURIBOR |  | 230,343 |  |  | (30,856 | ) |  | 3.5 |  | 3.1 |
|  |  |  |  | (300,854 | ) |  |  |  |
(1) | Excludes the margins the Company pays on its variable-rate debt, which, as of June 30, 2017, ranged from 0.3% to 4.5%.
(2) | Includes interest rate swaps with notional amount reducing quarterly or semi-annually.
(3) | Inception dates range from September 2017 to April 2018. Interest rate swaps with an aggregate principal amount of $320.0 million are being used to economically hedge expected interest payments on new debt that is planned to be outstanding from 2017 to 2024. These interest rate swaps are subject to mandatory early termination in 2017 and 2018 whereby the swaps will be settled based on their fair value at that time.
(4) | During August 2015, as part of its hedging program, Teekay LNG entered into interest rate swaption agreements whereby it has a one-time option in January 2018 to enter into an interest rate swap at a fixed rate of 3.10% with a third party, and the third party has a one-time option in January 2018 to require Teekay LNG to enter into an interest rate swap at a fixed rate of 1.97%. If Teekay LNG or the third party exercises its option, there will be a cash settlement in January 2018 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 ($80.1 million) by the maturity dates of the swap agreements.
(6) | Principal amount is the U.S. Dollar equivalent of 201.6 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 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, 2017 |  |  |  |  |  |  |  |  |
Derivatives designated as a cash flow hedge: |  |  |  |  |  |  |  |  |
Interest rate swap agreements | — |  |  | 496 |  |  | (281 | ) |  | (1,658 | ) |  | (898 | )
Derivatives not designated as a cash flow hedge: |  |  |  |  |  |  |  |  |
Foreign currency contracts | 1,038 |  |  | 3 |  |  | — |  |  | (388 | ) |  | — |
Interest rate swap agreements | 689 |  |  | 3,847 |  |  | (9,213 | ) |  | (65,811 | ) |  | (228,025 | )
Cross currency swap agreements | — |  |  | 1,180 |  |  | (3,160 | ) |  | (35,261 | ) |  | (149,523 | )
Forward freight agreements | 27 |  |  | — |  |  | (17 | ) |  | — |  |  | — |
| 1,754 |  |  | 5,526 |  |  | (12,671 | ) |  | (103,118 | ) |  | (378,446 | )
As at December 31, 2016 |  |  |  |  |  |  |  |  |
Derivatives designated as a cash flow hedge: |  |  |  |  |  |  |  |  |
Interest rate swap agreements | — |  |  | 1,340 |  |  | (363 | ) |  | (1,033 | ) |  | (52 | )
Derivatives not designated as a cash flow hedge: |  |  |  |  |  |  |  |  |
Foreign currency contracts | 119 |  |  | — |  |  | — |  |  | (2,601 | ) |  | (511 | )
Interest rate swap agreements | 212 |  |  | 9,839 |  |  | (11,979 | ) |  | (59,055 | ) |  | (233,901 | )
Cross currency swap agreements | — |  |  | — |  |  | (3,464 | ) |  | (53,124 | ) |  | (180,577 | )
Stock purchase warrants | — |  |  | 575 |  |  | — |  |  | — |  |  | — |
Time-charter swap agreement | 875 |  |  | — |  |  | (667 | ) |  | — |  |  | — |
| 1,206 |  |  | 11,754 |  |  | (16,473 | ) |  | (115,813 | ) |  | (415,041 | )
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:
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) |
Three Months Ended June 30, 2016 |
Effective Portion |  | Effective Portion | Ineffective |
Recognized in AOCI(1) |  | Reclassified from AOCI(2) | Portion(3) |
(5,458) |  | — | 1,291 | Interest expense
(5,458) |  | — | 1,291 |
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) |
Six Months Ended June 30, 2016 |
Effective Portion |  | Effective Portion | Ineffective |
Recognized in AOCI(1) |  | Reclassified from AOCI(2) | Portion(3) |
(14,025) |  | — | (56) | Interest expense
(14,025) |  | — | (56) |
(1) Recognized in accumulated other comprehensive 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,
| 2017 |  | 2016 |  | 2017 |  | 2016
| $ |  | $ |  | $ |  | $
Realized (losses) gains relating to: |  |  |  |  |  |  |
Interest rate swap agreements | (15,914 | ) |  | (22,409 | ) |  | (32,470 | ) |  | (45,589 | )
Interest rate swap agreement terminations | (1,005 | ) |  | — |  |  | (610 | ) |  | (8,140 | )
Foreign currency forward contracts | (618 | ) |  | (2,336 | ) |  | (971 | ) |  | (7,332 | )
Time charter swap agreement | 360 |  |  | 126 |  |  | 1,106 |  |  | 126 |
Forward freight agreements | 80 |  |  | — |  |  | 113 |  |  | — |
| (17,097 | ) |  | (24,619 | ) |  | (32,832 | ) |  | (60,935 | )
Unrealized (losses) gains relating to: |  |  |  |  |  |  |
Interest rate swap agreements | (15,517 | ) |  | (62,817 | ) |  | (6,394 | ) |  | (143,871 | )
Foreign currency forward contracts | 2,808 |  |  | 1,093 |  |  | 3,648 |  |  | 15,064 |
Stock purchase warrants | (332 | ) |  | (4,274 | ) |  | (575 | ) |  | (8,496 | )
Time charter swap agreement | (402 | ) |  | 1,345 |  |  | (875 | ) |  | 1,345 |
Forward freight agreements | (30 | ) |  | — |  |  | (17 | ) |  | — |
| (13,473 | ) |  | (64,653 | ) |  | (4,213 | ) |  | (135,958 | )
Total realized and unrealized losses on derivative instruments | (30,570 | ) |  | (89,272 | ) |  | (37,045 | ) |  | (196,893 | )
Effect of Gains (Losses) on Cross Currency Swaps | The effect of the losses on cross currency swaps on the consolidated statements of loss is as follows:
| Three Months Ended June 30, |  | Six Months Ended June 30,
| 2017 |  | 2016 |  | 2017 |  | 2016
| $ |  | $ |  | $ |  | $
Realized losses on maturity and termination of cross currency swaps | (25,733 | ) |  | — |  |  | (25,733 | ) |  | (32,628 | )
Realized losses | (5,394 | ) |  | (5,000 | ) |  | (12,135 | ) |  | (9,939 | )
Unrealized gains (losses) | 43,017 |  |  | (20,993 | ) |  | 50,096 |  |  | 53,213 |
Total realized and unrealized gains (losses) on cross currency swaps | 11,890 |  |  | (25,993 | ) |  | 12,228 |  |  | 10,646 |

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