Quarterly report pursuant to Section 13 or 15(d)

Derivative Instruments And Hedging Strategies

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Derivative Instruments And Hedging Strategies
6 Months Ended
Jun. 30, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments And Hedging Strategies
DERIVATIVE INSTRUMENTS AND HEDGING STRATEGIES
Derivative instruments are classified as either assets or liabilities based on their individual fair values. Derivative assets and liabilities are included in other receivables and other current liabilities, respectively, in the accompanying condensed consolidated balance sheets. The fair values of the Company’s derivative instruments as of June 30, 2015 were as follows (in thousands):
 
Derivative
Asset
 
Derivative
Liability
 
 
 
 
Options on equities and equity indices
$

 
$
1,175

Forward currency exchange, option and future contracts

 
82

Interest rate swap agreements

 
341

Commodity swap, option and future contracts:
 
 
 
Exchange traded
472

 
873

Non-exchange traded
259

 

 
$
731

 
$
2,471


Cash Flow Hedges. Certain of the Company's 50% or less owned companies have interest rate swap agreements designated as cash flow hedges. By entering into these interest rate swap agreements, the Company's 50% or less owned companies have converted the variable LIBOR component of certain of their outstanding borrowings to a fixed interest rate. As of June 30, 2015, the interest rate swaps held by the Company's 50% or less owned companies were as follows:
MexMar had four interest rate swap agreements with maturities in 2023 that call for MexMar to pay a fixed rate of interest ranging from 1.71% to 2.05% on the aggregate amortized notional value of $124.5 million and receive a variable interest rate based on LIBOR on the aggregate amortized notional value.
Sea-Cat Crewzer II had an interest rate swap agreement maturing in 2019 that calls for Sea-Cat Crewzer II to pay a fixed rate of interest of 1.52% on the amortized notional value of $26.8 million and receive a variable interest rate based on LIBOR on the amortized notional value.
Sea-Cat Crewzer had an interest rate swap agreement maturing in 2019 that calls for Sea-Cat Crewzer to pay a fixed rate of interest of 1.52% on the amortized notional value of $23.8 million and receive a variable interest rate based on LIBOR on the amortized notional value.
SCFCo had two interest rate swap agreements with maturities in 2015 that call for SCFCo to pay a fixed rate of interest ranging from 1.53% to 1.62% on the aggregate amortized notional value of $13.2 million and receive a variable interest rate based on LIBOR on the aggregate amortized notional value.
SeaJon had an interest rate swap agreement maturing in 2017 that calls for SeaJon to pay a fixed interest rate of 2.79% on the amortized notional value of $33.9 million and receive a variable interest rate based on LIBOR on the amortized notional value.
Other Derivative Instruments. The Company recognized gains (losses) on derivative instruments not designated as hedging instruments for the six months ended June 30 as follows (in thousands):
 
2015
 
2014
Options on equities and equity indices
$
(442
)
 
$
22

Forward currency exchange, option and future contracts
(302
)
 
187

Interest rate swap agreements
(5
)
 
(135
)
Commodity swap, option and future contracts:
 
 
 
Exchange traded
(2,271
)
 
950

Non-exchange traded
1,450

 
(1,167
)
 
$
(1,570
)
 
$
(143
)

The Company holds positions in publicly traded equity options that convey the right or obligation to engage in a future transaction on the underlying equity security or index. The Company’s investment in equity options primarily includes positions in energy, marine, transportation and other related businesses. These contracts are typically entered into to mitigate the risk of changes in the market value of marketable security positions that the Company is either about to acquire, has acquired or is about to dispose.
The Company enters and settles forward currency exchange, option and future contracts with respect to various foreign currencies. As of June 30, 2015, the outstanding forward currency exchange contracts translated into a net purchase of foreign currencies with an aggregate U.S. dollar equivalent of $2.5 million. These contracts enable the Company to buy currencies in the future at fixed exchange rates, which could offset possible consequences of changes in currency exchange rates with respect to the Company’s business conducted outside of the United States. The Company generally does not enter into contracts with forward settlement dates beyond twelve to eighteen months.
The Company and certain of its 50% or less owned companies have entered into interest rate swap agreements for the general purpose of providing protection against increases in interest rates, which might lead to higher interest costs. As of June 30, 2015, the interest rate swaps held by the Company or its 50% or less owned companies were as follows:
The Company had an interest rate swap agreement maturing in 2018 that calls for the Company to pay a fixed interest rate of 3.00% on the amortized notional value of $8.1 million and receive a variable interest rate based on Euribor on the amortized notional value.
OSV Partners had two interest rate swap agreements with maturities in 2020 that call for OSV Partners to pay a fixed rate of interest ranging from 1.89% to 2.27% on the aggregate amortized notional value of $45.6 million and receive a variable interest rate based on LIBOR on the aggregate amortized notional value.
Dynamic Offshore had an interest rate swap agreement maturing in 2018 that calls for Dynamic Offshore to pay a fixed interest rate of 1.30% on the amortized notional value of $88.5 million and receive a variable interest rate based on LIBOR on the amortized notional value.
Dorian had six interest rate swap agreements with maturities ranging from 2018 to 2020 that call for Dorian to a pay fixed rate of interest ranging from 2.96% to 5.40% on the aggregate amortized notional value of $116.5 million and receive a variable interest rate based on LIBOR on the aggregate amortized notional value.
The Company enters and settles positions in various exchange and non-exchange traded commodity swap, option and future contracts. ICP enters into exchange traded positions (primarily corn, ethanol and natural gas) to protect its raw material and finished goods inventory balance from market changes. VA&E enters into exchange traded positions to protect its fixed price future purchase and sale contracts for sugar as well as its inventory balances from market changes. As of June 30, 2015, the net market exposure to these commodities under these contracts was not material.