Financial Derivative Instruments (Tables)

3 Months Ended

Mar. 31, 2022

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
	March 31, 2022	Derivative underlying commodity type as of
Period (by year)	(gallons in millions) (a)	March 31, 2022
Remainder of 2022	915	WTI crude oil and Brent crude oil
2023	769	WTI crude oil and Brent crude oil
2024	358	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 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 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	3/31/2022		12/31/2021		3/31/2022		12/31/2021
Derivatives designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	849	$	409	$	—	$	—
Fuel derivative contracts (gross)	Other assets	470		287		—		—
Interest rate derivative contracts	Other assets	3		—		—		—
Interest rate derivative contracts	Other noncurrent liabilities	—		—		1		4
Total derivatives designated as hedges		$	1,322	$	696	$	1	$	4
Derivatives not designated as hedges (a)
Fuel derivative contracts (gross)	Prepaid expenses and other current assets	$	—	$	—	$	46	$	—
Total derivatives		$	1,322	$	696	$	47	$	4

(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 4.

Offsetting Assets

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	2022		2021
Cash collateral deposits held from counterparties for fuel contracts - current	Offset against Prepaid expenses and other current assets	$	410	$	80
Cash collateral deposits held from counterparties for fuel contracts - noncurrent	Offset against Other assets	150		95
Receivable from third parties for fuel contracts	Accounts and other receivables	111		8

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, 2022								December 31, 2021
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	$	849	$	(456)	(b)	$	393		$	409	$	(80)	$	329
Fuel derivative contracts	Other assets	$	470	$	(150)		$	320	(a)	$	287	$	(95)	$	192	(a)
Interest rate derivative contracts	Other assets	$	3	$	—		$	3	(a)	$	—	$	—	$	—	(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 9.

(b) Includes the current portion of cash collateral deposits held from counterparties and derivative liability associated with fuel contracts.

Offsetting Liabilities

Offsetting of derivative liabilities
(in millions)
		(i)		(ii)			(iii) = (i) + (ii)			(i)		(ii)		(iii) = (i) + (ii)
		March 31, 2022								December 31, 2021
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	$	456	$	(456)	(b)	$	—		$	80	$	(80)	$	—
Fuel derivative contracts	Other assets	$	150	$	(150)		$	—	(a)	$	95	$	(95)	$	—	(a)
Interest rate derivative contracts	Other noncurrent liabilities	$	1	$	—		$	1		$	4	$	—	$	4

(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 9.

(b) Includes the current portion of cash collateral deposits held from counterparties and derivative liability associated with fuel contracts.

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

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, 2022 and 2021:

Location and amount recognized in income on cash flow and fair value hedging relationships
	Three months ended March 31, 2022						Three months ended March 31, 2021
(in millions)	Fuel and oil		Other (gains)/losses, net		Other operating expenses		Fuel and oil		Other (gains)/losses, net		Interest expense
Total	$	(203)	$	—	$	2	$	16	$	6	$	1
(Gain) loss on cash flow hedging relationships:
Commodity contracts:
Amount of (gain) loss reclassified from AOCI into income	(203)		—		—		16		6		—
Interest contracts:
Amount of loss reclassified from AOCI into income	—		—		2		—		—		1

Derivatives designated and qualified in cash flow hedging relationships
	Gain recognized in AOCI on derivatives, net of tax
	Three months ended
	March 31,
(in millions)	2022		2021
Fuel derivative contracts	$	654	$	84
Interest rate derivatives	4		9
Total	$	658	$	93

Derivative Instruments, Gain (Loss)

Derivatives not designated as hedges
	(Gain) loss recognized in income on derivatives
	Three months ended				Location of (gain) loss recognized in income on derivatives
	March 31,
(in millions)	2022		2021
Fuel derivative contracts	$	34	$	(5)	Other (gains) losses, net

Premiums Paid for Fuel Derivative Contracts

The following

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

	Premium expense recognized in income on derivatives
	Three months ended				Location of premium expense recognized in income on derivatives
	March 31,
(in millions)	2022		2021
Fuel derivative contracts designated as hedges	$	26	$	14	Fuel and oil
Fuel derivative contracts not designated as hedges	—		11		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, 2022, at which such postings are triggered:

Counterparty (CP)

(in millions)

A

B

C

D

E

F

G

Other (a)

Total

Fair value of fuel derivatives

$

315

$

161

$

303

$

124

$

146

$

96

$

101

$

27

$

1,273

Cash collateral held from CP

341

25

84

19

58

33

—

—

560

Option to substitute LC for cash

N/A

N/A

(b)

(b)

(b)

N/A

(b)

If credit rating is investment grade, fair value of fuel derivative level at which:

Cash is provided to CP

>(100)

>(50)

>(75)

>(125)

>(40)

>(65)

>(100)

Cash is received from CP

>0(c)

>150(c)

>250(c)

>125(c)

>100(c)

>70(c)

>100(c)

If credit rating is non-investment grade, fair value of fuel derivative level at which:

Cash is received from CP

(d)

(d)

(d)

(d)

(d)

(d)

(d)

(a) Individual counterparties with fair value of fuel derivatives < $16 million.

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

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

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