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Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2015
Financial Instruments  
Schedule of assets and liabilities that are measured at fair value on a recurring basis and are categorized using the fair value hierarchy

 

 

 

Fair Value Measurements as of June 30, 2015

 

 

 

Total

 

Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

 

 

(in thousands of $)

 

Assets

 

 

 

 

 

 

 

 

 

Interest rate swap contracts

 

$
366 

 

—

 

$
366 

 

—

 

Liabilities

 

 

 

 

 

 

 

 

 

Interest rate swap contracts

 

$
23,015 

 

—

 

$
23,015 

 

—

 

 

 

 

Fair Value Measurements as of December 31, 2014

 

 

 

Total

 

Quoted Prices
in Active
Markets for
Identical Assets
(Level 1)

 

Significant
Other
Observable
Inputs
(Level 2)

 

Significant
Unobservable
Inputs
(Level 3)

 

 

 

(in thousands of $)

 

Assets

 

 

 

 

 

 

 

 

 

Interest rate swap contracts

 

$
664 

 

—

 

$
664 

 

—

 

Liabilities

 

 

 

 

 

 

 

 

 

Interest rate swap contracts

 

$
53,420 

 

—

 

$
53,420 

 

—

 

 

Schedule of estimated fair values of the financial instruments

 

 

 

 

As of June 30, 2015

 

As of December 31, 2014

 

 

 

Book Value

 

Fair Value

 

Book Value

 

Fair Value

 

 

 

(in thousands of $)

 

Cash and cash equivalents

 

$
74,135 

 

$
74,135 

 

$
57,730 

 

$
57,730 

 

Restricted cash

 

$
2,824 

 

$
2,824 

 

$
2,824 

 

$
2,824 

 

Accounts receivable, net

 

$
5,183 

 

$
5,183 

 

$
7,904 

 

$
7,904 

 

Due from related parties

 

$
18,792 

 

$
18,792 

 

$
10,597 

 

$
10,597 

 

Series 1 ZIM Notes

 

$
6,427 

 

$
6,427 

 

$
6,274 

 

$
6,274 

 

Series 2 ZIM Notes

 

$
31,700 

 

$
31,700 

 

$
30,923 

 

$
30,923 

 

Equity investment in ZIM

 

$
28,693 

 

$
37,690 

 

$
28,693 

 

$
32,873 

 

Accounts payable

 

$
11,195 

 

$
11,195 

 

$
12,510 

 

$
12,510 

 

Accrued liabilities

 

$
19,281 

 

$
19,281 

 

$
24,705 

 

$
24,705 

 

Long-term debt, including current portion

 

$
2,874,387 

 

$
2,876,290 

 

$
2,951,120 

 

$
2,953,327 

 

Vendor financing, including current portion

 

$
35,673 

 

$
35,492 

 

$
64,367 

 

$
64,026 

 

 

Schedule of estimated fair value of the financial instruments that are not measured at fair value on a recurring basis, categorized based upon the fair value hierarchy

 

The estimated fair value of the financial instruments that are not measured at fair value on a recurring basis, categorized based upon the fair value hierarchy, are as follows (in thousands):

 

 

 

Fair Value Measurements as of June 30, 2015

 

 

 

Total

 

(Level I)

 

(Level II)

 

(Level III)

 

 

 

(in thousands of $)

 

Series 1 ZIM Notes (1)

 

$
6,427 

 

—

 

$
6,427 

 

—

 

Series 2 ZIM Notes (1)

 

$
31,700 

 

—

 

$
31,700 

 

—

 

Equity investment in ZIM (1) 

 

$
37,690 

 

—

 

$
37,690 

 

—

 

Long-term debt, including current portion(2) 

 

$
2,876,290 

 

—

 

$
2,876,290 

 

—

 

Vendor financing, including current portion(3) 

 

$
35,492 

 

—

 

$
35,492 

 

—

 

Accrued liabilities(4) 

 

$
19,281 

 

—

 

$
19,281 

 

—

 

 

 

 

Fair Value Measurements as of December 31, 2014

 

 

 

Total

 

(Level I)

 

(Level II)

 

(Level III)

 

 

 

(in thousands of $)

 

Series 1 ZIM Notes (1)

 

$
6,274 

 

—

 

$
6,274 

 

—

 

Series 2 ZIM Notes (1)

 

$
30,923 

 

—

 

$
30,923 

 

—

 

Equity investment in ZIM (1) 

 

$
32,873 

 

—

 

$
32,873 

 

—

 

Long-term debt, including current portion(2) 

 

$
2,953,327 

 

—

 

$
2,953,327 

 

—

 

Vendor financing, including current portion(3) 

 

$
64,026 

 

—

 

$
64,026 

 

—

 

Accrued liabilities(4) 

 

$
24,705 

 

—

 

$
24,705 

 

—

 

 

(1)

The fair value is estimated based on currently available information on the Company’s counterparty, other contracts with similar terms, remaining maturities and interest rates.

(2)

The fair value of the Company’s debt is estimated based on currently available debt with similar contract terms, interest rate and remaining maturities, as well as taking into account its creditworthiness.

(3)

The fair value of the Company’s Vendor financing is estimated based on currently available financing with similar contract terms, interest rate and remaining maturities, as well as taking into account its creditworthiness.

(4)

The fair value of the Company’s accrued liabilities, which mainly consists of accrued interest on its credit facilities and accrued realized losses on its cash flow interest rate swaps, is estimated based on currently available debt and swap agreements with similar contract terms, interest rates and remaining maturities, as well as taking into account its creditworthiness.

 

Cash Flow Hedges  
Financial Instruments  
Schedule of interest rate swap agreements converting fixed interest rate exposure into floating for fair value interest rate swap hedges and interest rate swap agreements converting floating interest rate exposure into fixed for cash flow interest rate swap hedges

 

The interest rate swap agreements converting floating interest rate exposure into fixed were as follows (in thousands):

 

Counter-party

 

Contract
Trade
Date

 

Effective
Date

 

Termination
Date

 

Notional
Amount
on
Effective
Date

 

Fixed Rate
(Danaos pays)

 

Floating Rate
(Danaos receives)

 

Fair Value
June 30,
2015

 

Fair Value
December 31,
2014

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

RBS

 

03/09/2007

 

3/15/2010

 

3/15/2015

 

$
200,000

 
5.07

% p.a.

USD LIBOR 3M BBA

 

—

 

$
(2,011

)

RBS

 

11/15/2007

 

11/19/2010

 

11/19/2015

 

$
100,000

 
5.12

% p.a.

USD LIBOR 3M BBA

 

$
(1,896

)
(4,246

)

RBS

 

11/16/2007

 

11/22/2010

 

11/22/2015

 

$
100,000

 
5.07

% p.a.

USD LIBOR 3M BBA

 
(1,927

)
(4,248

)

CITI

 

04/17/2007

 

4/17/2008

 

4/17/2015

 

$
200,000

 
5.124

% p.a.

USD LIBOR 3M BBA

 

—

 
(2,895

)

CITI

 

04/20/2007

 

4/20/2010

 

4/20/2015

 

$
200,000

 
5.1775

% p.a.

USD LIBOR 3M BBA

 

—

 
(3,008

)

CITI

 

11/02/2007

 

11/6/2010

 

11/6/2015

 

$
250,000

 
5.1

% p.a.

USD LIBOR 3M BBA

 
(4,296

)
(10,167

)

CITI

 

11/26/2007

 

11/29/2010

 

11/30/2015

 

$
100,000

 
4.98

% p.a.

USD LIBOR 3M BBA

 
(1,979

)
(4,249

)

CITI

 

02/07/2008

 

2/11/2011

 

2/11/2016

 

$
200,000

 
4.695

% p.a.

USD LIBOR 3M BBA

 
(5,422

)
(9,524

)

Eurobank

 

12/06/2007

 

12/10/2010

 

12/10/2015

 

$
200,000

 
4.8125

% p.a.

USD LIBOR 3M BBA

 
(4,048

)
(8,428

)

Eurobank

 

02/11/2008

 

5/31/2011

 

5/31/2015

 

$
200,000

 
4.755

% p.a.

USD LIBOR 3M BBA

 

—

 
(3,763

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

$
(19,568

)

$
(52,539

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

ABN Amro

 

06/06/2013

 

1/4/2016

 

12/31/2016

 

$
325,000

 
1.4975

% p.a.

USD LIBOR 3M BBA

 

$
(1,379

)

$
(617

)

ABN Amro

 

31/05/2013

 

1/4/2016

 

12/31/2016

 

$
250,000

 
1.4125

% p.a.

USD LIBOR 3M BBA

 
(2,068

)
(264

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fair value of swap liabilities

 

 

 

 

 

 

 

 

 

 

 

 

 

$
(23,015

)

$
(53,420

)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Schedule of unrealized and realized losses on interest rate swaps

 

 

 

 

Three months
ended
June 30,

 

Three months
ended
June 30,

 

 

 

2015

 

2014

 

 

 

(in millions)

 

Total realized losses

 

$
(13.7

)

$
(31.0

)

Amortization of deferred realized losses

 
(1.0

)
(1.0

)

Unrealized gains

 
4.5

 
4.6

 

 

 

 

 

 

 

Unrealized and realized losses on cash flow interest rate swaps

 

$
(10.2

)

$
(27.4

)

 

 

 

 

 

 

 

 

 

 

 

Six months
ended
June 30,

 

Six months
ended
June 30,

 

 

 

2015

 

2014

 

 

 

(in millions)

 

Total realized losses

 

$
(34.0

)

$
(63.8

)

Amortization of deferred realized losses

 
(2.0

)
(2.0

)

Unrealized gains

 
8.9

 
10.4

 

 

 

 

 

 

 

Unrealized and realized losses on cash flow interest rate swaps

 

$
(27.1

)

$
(55.4

)

 

 

 

 

 

 

 

 

 

Fair Value Hedges  
Financial Instruments  
Schedule of interest rate swap agreements converting fixed interest rate exposure into floating for fair value interest rate swap hedges and interest rate swap agreements converting floating interest rate exposure into fixed for cash flow interest rate swap hedges

 

 

The interest rate swap agreements converting fixed interest rate exposure into floating were as follows (in thousands):

 

Counter
party

 

Contract
trade Date

 

Effective
Date

 

Termination
Date

 

Notional
Amount
on
Effective
Date

 

Fixed Rate
(Danaos
receives)

 

Floating Rate
(Danaos pays)

 

Fair Value
June 30,
2015

 

Fair Value
December 31,
2014

 

RBS

 

11/15/2004

 

12/15/2004

 

8/27/2016

 

$
60,528 

 
5.0125 

% p.a.

USD LIBOR 3M BBA + 0.835% p.a.

 

$
160 

 

$
302 

 

RBS

 

11/15/2004

 

11/17/2004

 

11/2/2016

 

$
62,342 

 
5.0125 

% p.a.

USD LIBOR 3M BBA + 0.855% p.a.

 
206 

 
362 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total fair value

 

 

 

 

 

 

 

 

 

 

 

 

 

$
366 

 

$
664 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Schedule of unrealized and realized losses on interest rate swaps

 

 

 

 

Three months
ended
June 30,
2015

 

Three months
ended
June 30,
2014

 

 

 

(in millions)

 

Unrealized losses on swap asset

 

$
(0.1

)

$
(0.2

)

Reclassification of fair value of hedged debt to Statement of Income

 
0.1

 
0.1

 

Realized gains

 
0.1

 
0.2

 

 

 

 

 

 

 

Unrealized and realized gains on fair value interest rate swaps

 

$
0.1

 

$
0.1

 

 

 

 

 

 

 

 

 

 

 

 

Six months
ended
June 30,
2015

 

Six months
ended
June 30,
2014

 

 

 

(in millions)

 

Unrealized losses on swap asset

 

$
(0.3

)

$
(0.5

)

Reclassification of fair value of hedged debt to Statement of Income

 
0.3

 
0.3

 

Realized gains

 
0.3

 
0.5

 

 

 

 

 

 

 

Unrealized and realized gains on fair value interest rate swaps

 

$
0.3

 

$
0.3