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Derivative Financial Instruments
 6 Months Ended 12 Months Ended
Jun. 30, 2015
Dec. 31, 2014
Orbitz    
Entity Information [Line Items]    
Derivative Financial Instruments
Derivative Financial Instruments

Interest Rate Hedges

At June 30, 2015, we had the following interest rate swaps outstanding that effectively converts $200.0 million of the term loan from a variable interest rate to a fixed interest rate. We will pay a fixed interest rate on the notional amount and in exchange receive a variable interest rate based on the one-month LIBOR rate. We do not use derivatives for speculative or trading purposes.

Notional Amount
 
Effective Date
 
Maturity Date
 
Fixed Interest
Rate Paid
 
Variable Interest
Rate Received
$100.0 million
 
August 29, 2014
 
August 31, 2016
 
1.11%
 
One-month LIBOR
$100.0 million
 
August 29, 2014
 
August 31, 2016
 
1.15%
 
One-month LIBOR


We entered into interest rate derivative contracts to protect against volatility of future cash flows of the variable interest payments related to our term loan. These derivative contracts are economic hedges and are not designated as cash flow hedges. We mark-to-market these instruments and record the changes in the fair value of these items in Net interest expense in the Company’s Condensed Consolidated Statements of Operations and recognize the unrealized gain or loss in Other non-current assets or liabilities. Unrealized losses of $1.6 million and $2.2 million were recognized at June 30, 2015 and 2014, respectively.

The following table summarizes the location and fair value of derivative instruments on the Company’s Condensed Consolidated Balance Sheets.
 
 
 
Fair Value Measurements as of
 
Balance Sheet Location
 
June 30, 2015
 
December 31, 2014
 
 
 
(in thousands)
Interest rate swaps not designated as hedging instruments
Other non-current liabilities
 
$
1,608

 
$
1,723




Foreign Currency Hedges

We enter into foreign currency contracts to manage our exposure to changes in exchange rates associated with foreign currency receivables, payables and intercompany transactions. We primarily hedge our foreign currency exposure to several currencies in Europe and the Australian dollar. As of June 30, 2015, we had foreign currency contracts outstanding with a total net notional amount of $170.0 million, all of which subsequently matured. The foreign currency contracts do not qualify for hedge accounting treatment; accordingly, changes in the fair value of the foreign currency contracts are reflected in net income as a component of Selling, general and administrative expense in our Condensed Consolidated Statements of Operations.

The following table shows the fair value of our foreign currency hedges:
 
 
 
Fair Value Measurements as of
 
Balance Sheet Location
 
June 30, 2015
 
December 31, 2014
 
 
 
(in thousands)
Asset Derivatives:
 
 
 

 
 

Foreign currency hedges
Other current assets
 
$
—

 
$
4,275

Liability Derivatives:
 
 
 

 
 

Foreign currency hedges
Other current liabilities
 
$
3,993

 
$
—




The following table shows the changes in the fair value of our foreign currency contracts, which were recorded as losses in Selling, general and administrative expense in our Condensed Consolidated Statements of Operations:
 
Three months ended June 30,
 
Six months ended June 30,
 
2015

2014
 
2015
 
2014
 
(in thousands)
 
(in thousands)
Foreign currency hedges (a)
$
(6,884
)

$
(5,236
)
 
$
(3,068
)
 
$
(10,105
)


(a)
We recorded transaction gains associated with the re-measurement and settlement of our foreign denominated assets and liabilities of $5.0 million and $4.1 million for the three months ended June 30, 2015 and 2014, respectively, and $0.4 million and $6.9 million for the six months ended June 30, 2015 and 2014, respectively. These transaction gains were included in Selling, general and administrative expense in our Condensed Consolidated Statements of Operations. The net impact of these transaction gains, together with the losses incurred on our foreign currency hedges, were losses of $1.8 million and $1.1 million for the three months ended June 30, 2015 and 2014, respectively, and $2.7 million and $3.2 million for the six months ended June 30, 2015 and 2014, respectively.

The tables below show the gross and net amounts related to derivatives eligible for offset in the Condensed Consolidated Balance Sheets as of June 30, 2015 and December 31, 2014. The gross asset amount of the derivative listed below is the maximum loss the Company would incur if the counterparties failed to meet their obligation.

 
Gross Amounts of Recognized Liabilities
 
Gross Asset Recognized as an Offset
 
Net Liabilities (Assets)Included in the Condensed Consolidated Balance Sheets
 
(in thousands)
 
 
 
 
 
 
June 30, 2015
$
6,746

 
$
(1,145
)
 
$
5,601

December 31, 2014
$
2,947

 
$
(5,499
)
 
$
(2,552
)
Derivative Financial Instruments

Interest Rate Hedges

At December 31, 2014, we had the following interest rate swaps outstanding that effectively converts $200.0 million of the term loan from a variable to a fixed interest rate. We pay a fixed interest rate on the notional amount and in exchange receive a variable interest rate based on the one-month LIBOR rate. The Company does not use derivatives for speculative or trading purposes.

Notional Amount
 
Effective Date
 
Maturity Date
 
Fixed Interest
Rate Paid
 
Variable Interest
Rate Received
$100.0 million
 
August 29, 2014
 
August 31, 2016
 
1.11%
 
One-month LIBOR
$100.0 million
 
August 29, 2014
 
August 31, 2016
 
1.15%
 
One-month LIBOR


We entered into interest rate derivative contracts to protect against volatility of future cash flows of the variable interest payments related to our term loan. These derivative contracts are economic hedges and are not designated as cash flow hedges. We mark-to-market instruments not designated as hedges and record the changes in the fair value of these items in Net interest expense in the Company’s Consolidated Statement of Operations and recognize the unrealized gain or loss in Other non-current assets or liabilities. An unrealized loss of $1.7 million was recognized at December 31, 2014.

The following table summarizes the location and fair value of our interest rate derivative instruments on the Company’s Consolidated Balance Sheet.
 
 
 
Fair Value Measurement as of
 
Balance Sheet Location
 
December 31, 2014
 
 
 
(in thousands)
Interest rate swaps not designated as hedging instruments
Other non-current liabilities
 
$
1,723



Interest rate swaps previously designated as hedging instruments were terminated in conjunction with the termination of our credit agreement in March 2013. Interest rate swaps designated as hedging instruments were reflected in our Consolidated Balance Sheet at market value. The corresponding market adjustment related to the hedging instrument was recorded to Accumulated other comprehensive income (“AOCI”).

The following table shows the market adjustments recorded during the year ended December 31, 2014:
 
Gain in Other Comprehensive Income/(Loss)
 
(Loss) Reclassified from Accumulated OCI into Interest Expense (Effective Portion)
Gain/(Loss) Recognized in Income (Ineffective Portion and the Amount Excluded from Effectiveness Testing)
 
2014
 
2014
 
2014
 
 
 
(in thousands)
 
Interest rate swaps
$
—

 
$
—

 
$
—



Foreign Currency Hedges

We enter into foreign currency contracts to manage our exposure to changes in the foreign currency associated with foreign currency receivables, payables and intercompany transactions. We primarily hedge our foreign currency exposure to the Pound sterling, Euro, Swiss Franc and the Australian dollar. As of December 31, 2014, we had foreign currency contracts outstanding with a total net notional amount of $190.3 million, all of which subsequently matured in early 2015. The foreign currency contracts do not qualify for hedge accounting treatment; accordingly, changes in the fair value of the foreign currency contracts are reflected in net income as a component of Selling, general and administrative expense in our Consolidated Statement of Operations.

The following table shows the fair value of our foreign currency hedges:
 
 
 
Fair Value Measurements as of
 
Balance Sheet Location
 
December 31, 2014
 
 
 
(in thousands)
Asset Derivatives:
 
 
 
Foreign currency hedges
Other current assets
 
$
4,275

Liability Derivatives:
 
 
 

Foreign currency hedges
Other current liabilities
 
$
—




The following table shows the change in the fair value of our foreign currency contracts which were recorded as a gain/(loss) in Selling, general and administrative expense:
 
Year Ended December 31,
 
2014
 
(in thousands)
Foreign currency hedges (a)
$
6,813



(a)
We recorded transaction gains/(losses) associated with the re-measurement and settlement of our foreign denominated assets and liabilities of $(12.9) million, the year ended December 31, 2014. These transaction gains and losses were included in Selling, general and administrative expense in our Consolidated Statement of Operations. The net impact of these transaction gains and losses, together with the gains/(losses) incurred on our foreign currency hedges, were losses of $6.1 million for the year ended December 31, 2014.

The tables below show the gross and net information related to derivatives eligible for offset in the Consolidated Balance Sheet as of December 31, 2014. The gross asset amount of the derivative listed below is the maximum loss the Company would incur if the counterparties failed to meet their obligation.

 
Gross Amount of Recognized Liabilities
 
Gross Amount Offset in the Consolidated Balance Sheet
 
Net Amount of Liabilities Presented in the Consolidated Balance Sheet
 
(in thousands)
 
 
 
 
 
 
December 31, 2014
$
2,947

 
$
(5,499
)
 
$
(2,552
)