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Financial Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

The following table provides information about the Company’s volume of fuel hedging on an economic basis:



	Maximum fuel hedged as of
	March 31, 2020	Derivative underlying commodity type as of
Period (by year)	(gallons in millions) (a)	March 31, 2020
Remainder of 2020	976	WTI crude oil, Brent crude oil, and Heating oil
2021	1,283	WTI crude oil and Brent crude oil
2022	930	WTI crude oil and Brent crude oil
Beyond 2022	529	WTI crude oil and Brent crude oil

(a) Due to the types of derivatives utilized by the Company and different price levels of those contracts, these volumes represent the maximum economic hedge in place and may vary significantly as market prices and the Company's flight schedule fluctuates.

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following table presents the location of all assets and liabilities associated with the Company’s derivative instruments within the unaudited Condensed Consolidated Balance Sheet:



		Asset derivatives				Liability derivatives
	Balance Sheet	Fair value at		Fair value at		Fair value at		Fair value at
(in millions)	location	3/31/2020		12/31/2019		3/31/2020		12/31/2019
Derivatives designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	5	$	48	$	—	$	—
Fuel derivative contracts (gross)	Other assets	79		62		—		—
Interest rate derivative contracts	Prepaid expenses and other current assets	4		—		—		—
Interest rate derivative contracts	Other assets	—		2		—		—
Interest rate derivative contracts	Accrued liabilities	—		—		14		5
Interest rate derivative contracts	Other noncurrent liabilities	—		—		16		1
Total derivatives designated as hedges		$	88	$	112	$	30	$	6
Derivatives not designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	1	$	—	$	—	$	—
Interest rate derivative contracts	Accrued liabilities	—		—		41		—
Interest rate derivative contracts	Other noncurrent liabilities	—		—		—		—
Total derivatives not designated as hedges		$	1	$	—	$	41	$	—
Total derivatives		$	89	$	112	$	71	$	6

(a) Represents the position of each trade before consideration of offsetting positions with each counterparty and does not include the impact of cash collateral deposits provided to or received from counterparties. See discussion of credit risk and collateral following in this Note.

Schedule of Derivative Instruments Statements of Financial Performance and Financial Position, Location

The following table presents the amounts recorded on the unaudited Condensed Consolidated Balance Sheet related to fair value hedges:



Balance Sheet location of hedged item	Carrying amount of the hedged liabilities				Cumulative amount of fair value hedging adjustment included in the carrying amount of the hedged liabilities (a)
	March 31,				March 31,
(in millions)	2020		2019		2020		2019
Current maturities of long-term debt	$	504	$	300	$	4	$	2
Long-term debt less current maturities	—		495		18		13
	$	504	$	795	$	22	$	15

(a) At March 31, 2020 and 2019, these amounts include the cumulative amount of fair value hedging adjustments remaining for which hedge accounting has been discontinued of $18 million and $20 million, respectively.

Cash Collateral Deposits Due To or From Third Parties

In addition, the Company had the following amounts associated with fuel derivative instruments and hedging activities in its unaudited Condensed Consolidated Balance Sheet:



	Balance Sheet	March 31,		December 31,
(in millions)	location	2020		2019
Cash collateral deposits held from counterparties for fuel contracts - current	Offset against Prepaid expenses and other current assets	$	1	$	10
Cash collateral deposits held from counterparties for fuel contracts - noncurrent	Offset against Other assets	19		15

Offsetting Assets

The Company has the following recognized financial assets and financial liabilities resulting from those transactions that meet the scope of the disclosure requirements as necessitated by applicable accounting guidance for balance sheet offsetting:



Offsetting of derivative assets
(in millions)
		(i)		(ii)			(iii) = (i) + (ii)			(i)		(ii)			(iii) = (i) + (ii)
		March 31, 2020								December 31, 2019
Description	Balance Sheet location	Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet			Net amounts of assets presented in the Balance Sheet			Gross amounts of recognized assets		Gross amounts offset in the Balance Sheet			Net amounts of assets presented in the Balance Sheet
Fuel derivative contracts	Prepaid expenses and other current assets	$	6	$	(1	)	$	5		$	48	$	(10	)	$	38
Fuel derivative contracts	Other assets	$	79	$	(19	)	$	60	(a)	$	62	$	(15	)	$	47	(a)
Interest rate derivative contracts	Prepaid expenses and other current assets	$	4	$	—		$	4		$	—	$	—		$	—
Interest rate derivative contracts	Other assets	$	—	$	—		$	—	(a)	$	2	$	—		$	2	(a)

(a) The net amounts of derivative assets and liabilities are reconciled to the individual line item amounts presented in the unaudited Condensed Consolidated Balance Sheet in Note 10.

Offsetting Liabilities



Offsetting of derivative liabilities
(in millions)
		(i)		(ii)			(iii) = (i) + (ii)			(i)		(ii)			(iii) = (i) + (ii)
		March 31, 2020								December 31, 2019
Description	Balance Sheet location	Gross amounts of recognized liabilities		Gross amounts offset in the Balance Sheet			Net amounts of liabilities presented in the Balance Sheet			Gross amounts of recognized liabilities		Gross amounts offset in the Balance Sheet			Net amounts of liabilities presented in the Balance Sheet
Fuel derivative contracts	Prepaid expenses and other current assets	$	1	$	(1	)	$	—		$	10	$	(10	)	$	—
Fuel derivative contracts	Other assets	$	19	$	(19	)	$	—	(a)	$	15	$	(15	)	$	—	(a)
Interest rate derivative contracts	Accrued liabilities	$	55	$	—		$	55	(a)	$	5	$	—		$	5	(a)
Interest rate derivative contracts	Other noncurrent liabilities	$	16	$	—		$	16		$	1	$	—		$	1

(a) The net amounts of derivative assets and liabilities are reconciled to the individual line item amounts presented in the unaudited Condensed Consolidated Balance Sheet in Note 10.

Schedule Of Derivative Instruments In Hedging Relationships Gain Loss In Statement Of Financial Performance

The following tables present the impact of derivative instruments and their location within the unaudited Condensed Consolidated Statement of Comprehensive Income (Loss) for the three months ended March 31, 2020 and 2019:



Location and amount recognized in income on cash flow and fair value hedging relationships
	Three months ended March 31, 2020							Three months ended March 31, 2019
(in millions)	Fuel and oil		Other (gains)/losses, net		Interest expense			Fuel and oil		Interest expense
Total	$	22	$	2	$	2		$	11	$	8

Loss on cash flow hedging relationships:
Commodity contracts:
Amount of loss reclassified from AOCI into income	22		2		—			11		—
Interest contracts:
Amount of loss reclassified from AOCI into income	—		—		—			—		1

Impact of fair value hedging relationships:
Interest contracts:
Hedged items	—		—		4			—		6
Derivatives designated as hedging instruments	—		—		(2		)	—		1

Derivatives in Cash Flow Hedging Relationships



Derivatives designated and qualified in cash flow hedging relationships
	(Gain) loss recognized in AOCI on derivatives, net of tax
	Three months ended
	March 31,
(in millions)	2020		2019
Fuel derivative contracts	$	84	$	(68	)
Interest rate derivatives	32		12
Total	$	116	$	(56	)

Derivatives Not in Cash Flow Hedging Relationships



Derivatives not designated as hedges
	Loss recognized in income on derivatives
	Loss recognized in income on derivatives
	Three months ended				Location of loss recognized in income on derivatives
	March 31,
(in millions)	2020		2019
Interest rate derivatives	$	24	$	—	Other (gains) losses, net

Fair Values of Fuel Derivatives, Amounts Posted as Collateral, and Collateral Posting Threshold Amounts

The following table provides the fair values of fuel derivatives, amounts posted as collateral, and applicable collateral posting threshold amounts as of March 31, 2020, at which such postings are triggered:

Counterparty (CP)

(in millions)

Other (a)

Total

Fair value of fuel derivatives

Cash collateral held from CP

—

Letters of credit (LC)

—

Option to substitute LC for cash

N/A

(75) to (150) or >(550)(b)

(125) to (150) or >(550)(c)

(c)

N/A

If credit rating is investment

grade, fair value of fuel

derivative level at which:

Cash is provided to CP

>(100)

>(50)

(75) to (150) or >(550)(d)

(125) to (150) or >(550)(d)

>(40)

>(65)(d)

Cash is received from CP

>0(d)

>150(d)

>250(d)

>125(d)

>100(d)

>70(d)

Cash can be pledged to

CP as collateral

(200) to (600)(e)

N/A

(150) to (550)(b)

N/A

If credit rating is non-investment

grade, fair value of fuel derivative level at which:

Cash is provided to CP

(0) to (200) or >(600)

(f)

(0) to (150) or >(550)

(f)

Cash is received from CP

(f)

Cash can be pledged to

CP as collateral

(200) to (600)

N/A

(150) to (550)

N/A

(a) Individual counterparties with fair value of fuel derivatives < $8 million.

(b) The Company has the option of providing cash or letters of credit as collateral.

(d) Thresholds may vary based on changes in credit ratings within investment grade.

(e) The Company has the option of providing cash as collateral.

(f) Cash collateral is provided at 100 percent of fair value of fuel derivative contracts.