Financial Derivative Instruments (Tables)

12 Months Ended

Dec. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Volume of Fuel Hedging

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

	Maximum fuel hedged as of
	December 31, 2020	Derivative underlying commodity type as of
Period (by year)	(gallons in millions) (a)	December 31, 2020
2021	1,283	WTI crude oil and Brent crude oil
2022	1,220	WTI crude oil and Brent crude oil
2023	643	WTI crude oil and Brent crude oil
Beyond 2023	101	WTI 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 fluctuate.

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 Consolidated Balance Sheet:

		Asset derivatives				Liability derivatives
	Balance Sheet	Fair value at		Fair value at		Fair value at		Fair value at
(in millions)	location	12/31/2020		12/31/2019		12/31/2020		12/31/2019
Derivatives designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	9	$	48	$	—	$	—
Fuel derivative contracts (gross)	Other assets	121		62		—		—
Interest rate derivative contracts	Other assets	—		2		—		—
Interest rate derivative contracts	Accrued liabilities	—		—		—		5
Interest rate derivative contracts	Other noncurrent liabilities	—		—		6		1
Total derivatives designated as hedges		$	130	$	112	$	6	$	6
Derivatives not designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	4	$	—	$	—	$	—
Total derivatives		$	134	$	112	$	6	$	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.

Cash Collateral Deposits Due To Or From Third Parties and Net Unrealized Losses

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

	Balance Sheet	December 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	$	3	$	10
Cash collateral deposits held from counterparties for fuel contracts - noncurrent	Offset against Other assets	31		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)
		December 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	$	13	$	(3)	$	10		$	48	$	(10)	$	38
Fuel derivative contracts	Other assets	$	121	$	(31)	$	90	(a)	$	62	$	(15)	$	47	(a)
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 Consolidated Balance Sheet in Note 16.

Offsetting Liabilities

Offsetting of derivative liabilities
(in millions)
		(i)		(ii)		(iii) = (i) + (ii)			(i)		(ii)		(iii) = (i) + (ii)
		December 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	$	3	$	(3)	$	—		$	10	$	(10)	$	—
Fuel derivative contracts	Other assets	$	31	$	(31)	$	—	(a)	$	15	$	(15)	$	—	(a)
Interest rate derivative contracts	Accrued liabilities	$	—	$	—	$	—		$	5	$	—	$	5
Interest rate derivative contracts	Other noncurrent liabilities	$	6	$	—	$	6		$	1	$	—	$	1

(a) The net amounts of derivative assets and liabilities are reconciled to the individual line item amounts presented in the Consolidated Balance Sheet in Note 16.

Derivatives in Cash Flow Hedging Relationships

The following tables present the impact of derivative instruments and their location within the Consolidated Statement of Income (Loss) for the year ended December 31, 2020 and 2019:

Location and amount recognized in income on cash flow and fair value hedging relationships
	Year ended December 31, 2020						Year ended December 31, 2019
(in millions)	Fuel and oil		Other (gains)/losses, net		Interest expense		Fuel and oil		Interest expense
Total	$	70	$	39	$	6	$	48	$	29
Loss on cash flow hedging relationships
Commodity contracts:
Amount of loss reclassified from AOCI into income	70		39		—		48		—
Interest contracts:
Amount of loss reclassified from AOCI into income	—		—		1		—		5
Impact of fair value hedging relationships:
Interest contracts:
Hedged items	—		—		11		—		22
Derivatives designated as hedging instruments	—		—		(6)		—		2

Derivatives designated and qualified in cash flow hedging relationships
	Loss recognized in AOCI on derivatives, net of tax
	Year ended
	December 31,
(in millions)	2020		2019
Fuel derivative contracts	$	80	$	90
Interest rate derivatives	26		29
Total	$	106	$	119

Derivatives Not in Cash Flow Hedging Relationships

Derivatives not designated as hedges
	Loss recognized in income on derivatives
	Year ended
	December 31,				Location of loss recognized in income on derivatives
(in millions)	2020		2019
Fuel derivative contracts	$	1	$	—	Other (gains) losses, net
Interest rate derivatives	28		—		Other (gains) losses, net
Total	$	29	$	—

Premiums Paid for Fuel Derivative Contracts

The following table presents the impact of premiums paid for fuel derivative contracts and their location within the Consolidated Statement of Income (Loss) during the period the contract settles:

	Premium expense recognized in income on derivatives
	Year ended December 31,						Location of premium expense recognized in income on derivatives
(in millions)	2020		2019		2018
Fuel derivative contracts designated as hedges	$	64	$	95	$	135	Fuel and oil
Fuel derivative contracts not designated as hedges	$	34	$	—	$	—	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 December 31, 2020, at which such postings are triggered:

Counterparty (CP)

(in millions)

A

B

C

D

E

F

Other (a)

Total

Fair value of fuel derivatives

$

33

$

15

$

33

$

14

$

17

$

11

$

11

$

134

Cash collateral held from CP

34

—

—

—

—

—

—

34

Letters of credit (LC)

—

—

—

—

—

—

—

—

Option to substitute LC for cash

N/A

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)

(150) to (550)(b)

N/A

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)

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

(f)

(f)

Cash is received from CP

(f)

(f)

(f)

(f)

(f)

(f)

Cash can be pledged to CP as collateral

(200) to (600)

N/A

(150) to (550)

(150) to (550)

N/A

N/A

(a) Individual counterparties with fair value of fuel derivatives <$10 million.

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

(c) The Company has the option to substitute letters of credit for 100 percent of cash collateral requirement.

(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.