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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2021

Assets and Liabilities Measured at Fair Value on a Recurring Basis

The following tables present the Company’s assets and liabilities that are measured at fair value on a recurring basis at September 30, 2021, and December 31, 2020:


			Fair value measurements at reporting date using:
			Quoted prices in active markets for identical assets		Significant other observable inputs		Significant unobservable inputs
Description	September 30, 2021		(Level 1)		(Level 2)		(Level 3)
Assets	(in millions)
Cash equivalents:
Cash equivalents (a)	$	12,790	$	12,790	$	—	$	—
Commercial paper	90		—		90		—


Time deposits	100		—		100		—
Short-term investments:
Treasury bills	2,249		2,249		—		—


Time deposits	775		—		775		—

Fuel derivatives:
Option contracts (b)	681		—		—		681
Interest rate derivatives (see Note 4)	1		—		1		—
Other available-for-sale securities	260		260		—		—
Total assets	$	16,946	$	15,299	$	966	$	681
Liabilities
Interest rate derivatives (see Note 4)	$	(2)	$	—	$	(2)	$	—

(a) Cash equivalents are primarily composed of money market investments.

(b) In the unaudited Condensed Consolidated Balance Sheet amounts are presented as an asset. See Note 4.


			Fair value measurements at reporting date using:
			Quoted prices in active markets for identical assets		Significant other observable inputs		Significant unobservable inputs
Description	December 31, 2020		(Level 1)		(Level 2)		(Level 3)
Assets	(in millions)
Cash equivalents:
Cash equivalents (a)	$	10,663	$	10,663	$	—	$	—
Commercial paper	90		—		90		—
Certificates of deposit	10		—		10		—
Time deposits	300		—		300		—
Short-term investments:
Treasury bills	1,800		1,800		—		—
Certificates of deposit	46		—		46		—
Time deposits	425		—		425		—



Fuel derivatives:


Option contracts (b)	134		—		—		134


Other available-for-sale securities	259		259		—		—
Total assets	$	13,727	$	12,722	$	871	$	134
Liabilities






Interest rate derivatives (see Note 4)	$	(6)	$	—	$	(6)	$	—

(a) Cash equivalents are primarily composed of money market investments.

(b) In the unaudited Condensed Consolidated Balance Sheet amounts are presented as an asset. See Note 4.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following tables present the Company’s activity for items measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2021:


Fair value measurements using significant unobservable inputs (Level 3)
(in millions)	Fuel derivatives
Balance at June 30, 2021	$	502
Total gains (losses) for the period
Included in earnings	(3)		(a)
Included in other comprehensive income	166
Purchases	41		(b)
Sales	(7)		(b)
Settlements	(18)
Balance at September 30, 2021	$	681
The amount of total gains for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at September 30, 2021	$	4	(a)
The amount of total gains for the period included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets still held at September 30, 2021	$	177

(a) Included in Other (gains) losses, net, within the unaudited Condensed Consolidated Statement of Comprehensive Income (Loss).

(b) The purchase and sale of fuel derivatives are recorded gross based on the structure of the derivative instrument and whether a contract with multiple derivatives was purchased as a single instrument or separate instruments.


Fair value measurements using significant unobservable inputs (Level 3)
(in millions)	Fuel derivatives
Balance at December 31, 2020	$	134
Total gains for the period
Included in earnings	6		(a)
Included in other comprehensive income	533
Purchases	41		(b)
Sales	(7)		(b)
Settlements	(26)
Balance at September 30, 2021	$	681
The amount of total gains for the period included in earnings attributable to the change in unrealized gains or losses relating to assets still held at September 30, 2021	$	10	(a)
The amount of total gains for the period included in other comprehensive income attributable to the change in unrealized gains or losses relating to assets still held at September 30, 2021	$	510

(a) Included in Other (gains) losses, net, within the unaudited Condensed Consolidated Statement of Comprehensive Income (Loss).

Fair Value Valuation Techniques

The following table presents a range and weighted average of the unobservable inputs utilized in the fair value measurements of the Company’s fuel derivatives classified as Level 3 at September 30, 2021:


Quantitative information about Level 3 fair value measurements
	Valuation technique	Unobservable input	Period (by year)	Range	Weighted Average (a)
Fuel derivatives	Option model	Implied volatility	Fourth quarter 2021	22-37%	30	%
			2022	30-43%	35	%
			2023	28-34%	31	%
			2024	26-31%	28	%

(a) Implied volatility weighted by the notional amount (barrels of fuel) that will settle in respective period.

Fair value, by Balance Sheet Grouping

The carrying amounts and estimated fair values of the Company’s short-term and long-term debt (including current maturities), as well as the applicable fair value hierarchy tier, at September 30, 2021, are presented in the table below. The fair values of the Company’s publicly held long-term debt are determined based on inputs that are readily available in public markets or can be derived from information available in publicly quoted markets; therefore, the Company has categorized these agreements as Level 2. All privately held debt agreements are categorized as Level 3. The Company has determined the estimated fair value of this debt to be Level 3, as certain inputs used to determine the fair value of these agreements are unobservable. The Company utilizes indicative pricing from counterparties and a discounted cash flow method to estimate the fair value of the Level 3 items.


(in millions)	Carrying value		Estimated fair value		Fair value level hierarchy
2.75% Notes due 2022	$	300	$	307	Level 2
Pass Through Certificates due 2022 - 6.24%	71		73		Level 2
4.75% Notes due 2023	1,250		1,331		Level 2
1.25% Convertible Notes due 2025	1,932		3,326		Level 2
5.25% Notes due 2025	1,550		1,755		Level 2
Term Loan Agreement payable through 2025 - 1.53%	100		100		Level 3
3.00% Notes due 2026	300		320		Level 2
Term Loan Agreement payable through 2026 - 1.31%	149		147		Level 3
3.45% Notes due 2027	300		324		Level 2
5.125% Notes due 2027	2,000		2,341		Level 2
7.375% Debentures due 2027	117		143		Level 2
Term Loan Agreement payable through 2028 - 1.53%	165		165		Level 3
2.625% Notes due 2030	500		508		Level 2
1.000% Payroll Support Program Loan due April 2030	976		941		Level 3
1.000% Payroll Support Program Loan due January 2031	566		537		Level 3
1.000% Payroll Support Program Loan due April 2031	526		492		Level 3

Schedule of Debt

The following table details the equity and liability component recognized related to the Convertible Notes as of September 30, 2021, and December 31, 2020:


(in millions)	September 30, 2021		December 31, 2020
Carrying amount of equity component	$	361	$	403
Liability component:
Principal amount	$	2,221	$	2,300
Unamortized debt discount	(289)		(355)
Net carrying amount	$	1,932	$	1,945