XML 24 R16.htm IDEA: XBRL DOCUMENT v3.19.2
Derivative Instruments
 6 Months Ended
Jun. 30, 2019
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments
Derivative Instruments
Interest rate swap agreements

The Company uses derivative instruments in accordance with its overall risk management policies. The Company enters into interest rate swap agreements which exchange a receipt of floating interest for a payment of fixed interest to reduce the Company’s exposure to interest rate variability on its outstanding floating-rate debt. The Company has not designated, for accounting purposes, its interest rate swaps as cash flow hedges of its U.S. Dollar LIBOR-denominated borrowings.

As at June 30, 2019, the Company was committed to the following interest rate swap agreements:
 
 
Interest Rate
 
Notional Amount
 
Fair Value / Carrying Amount of Asset
 
Remaining Term
 
Fixed Interest Rate
 
 Index
 
$
 
$
 
(years)
 
(%) (1)
LIBOR-Based Debt:
 
 
 
 
 
 
 
 
 
 
 
U.S. Dollar-denominated interest rate swaps (2)
LIBOR
 
69,422

 
 
292

 
 
1.5
 
1.46
U.S. Dollar-denominated interest rate swaps
LIBOR
 
150,000

 
 
610

 
 
1.5
 
1.55
U.S. Dollar-denominated interest rate swaps
LIBOR
 
50,000

 
 
506

 
 
1.5
 
1.16
 
(1)
Excludes the margin the Company pays on its variable-rate debt, which, as of June 30, 2019, ranged from 0.30% to 3.50%.
(2)
Notional amount reduces quarterly.

The Company is potentially exposed to credit loss in the event of non-performance by the counterparty to the interest rate swap agreements in the event that the fair value results in an asset being recorded. In order to minimize counterparty risk, the Company only enters into interest rate swap agreements with counterparties that are rated A– or better by Standard & Poor’s or A3 or better by Moody’s at the time transactions are entered into.
Forward freight agreements
The Company uses forward freight agreements (or FFAs) in non-hedge-related transactions to increase or decrease its exposure to spot market rates, within defined limits. Net gains and losses from FFAs are recorded within realized and unrealized gain (loss) on derivative instruments in the Company's consolidated statements of loss.
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 portion of derivative assets
 
Derivative assets
 
Accounts receivable (Accrued liabilities)
 
Current portion of derivative liabilities
 
$
 
$
 
$
 
$
As at June 30, 2019


 


 

 


     Interest rate swap agreements
1,168

 
240

 
487

 
—

     Forward freight agreements
61

 
—

 
—

 
—

 
1,229

 
240

 
487

 
—

 
 
 
 
 
 
 
 
As at December 31, 2018
 
 
 
 
 
 
 
     Interest rate swap agreements
2,905

 
2,973

 
422

 
—

Forward freight agreements
—

 
—

 
(3
)
 
(57
)
 
2,905

 
2,973

 
419

 
(57
)


Realized and unrealized gains (losses) relating to the interest rate swaps and FFAs are recognized in earnings and reported in realized and unrealized gain (loss) on derivative instruments in the Company’s consolidated statements of loss as follows:
 
Three Months Ended
 
Three Months Ended
 
June 30, 2019
 
June 30, 2018
 
Realized gains (losses)
Unrealized (losses) gains
Total
 
Realized gains (losses)
Unrealized
gains
Total
 
$
$
$
 
$
$
$
Interest rate swap agreements
829

(2,699
)
(1,870
)
 
674

426

1,100

Forward freight agreements
(29
)
121

92

 
(18
)
34

16

 
800

(2,578
)
(1,778
)
 
656

460

1,116

 
 
 
 
 
 
 
 
 
Six Months Ended
 
Six Months Ended
 
June 30, 2019
 
June 30, 2018
 
Realized gains (losses)
Unrealized (losses) gains
Total
 
Realized gains
(losses)
Unrealized gains
Total
 
$
$
$
 
$
$
$
Interest rate swap agreements
1,783

(4,470
)
(2,687
)
 
864

3,249

4,113

Forward freight agreements
(42
)
104

62

 
(18
)
34

16

 
1,741

(4,366
)
(2,625
)
 
846

3,283

4,129