XML 26 R16.htm IDEA: XBRL DOCUMENT
v3.5.0.2

Fair Value Measurements and Derivative Instruments | 9 Months Ended
--- | ---
Sep. 30, 2016
Fair Value Disclosures [Abstract] |
Fair Value Measurements and Derivative Instruments | Fair Value Measurements and Derivative Instruments Fair Value Measurements The estimated fair value of our financial instruments that are not measured at fair value, categorized based upon the fair value hierarchy, are as follows (in thousands):
|  | Fair Value Measurements at September 30, 2016 Using |  | Fair Value Measurements at December 31, 2015 Using
Description |  | Total Carrying Amount |  | Total Fair Value |  | Level 1(1) |  | Level 2(2) |  | Level 3(3) |  | Total Carrying Amount |  | Total Fair Value |  | Level 1(1) |  | Level 2(2) |  | Level 3(3)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Cash and cash equivalents(4) |  | $ | 178,428 |  |  | $ | 178,428 |  |  | $ | 178,428 |  |  | $ | — |  |  | $ | — |  |  | $ | 121,565 |  |  | $ | 121,565 |  |  | $ | 121,565 |  |  | $ | — |  |  | $ | — |
Total Assets |  | $ | 178,428 |  |  | $ | 178,428 |  |  | $ | 178,428 |  |  | $ | — |  |  | $ | — |  |  | $ | 121,565 |  |  | $ | 121,565 |  |  | $ | 121,565 |  |  | $ | — |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Long-term debt (including current portion of long-term debt)(5) |  | $ | 9,675,483 |  |  | $ | 10,225,707 |  |  | $ | 1,232,284 |  |  | $ | 8,993,423 |  |  | $ | — |  |  | $ | 8,478,473 |  |  | $ | 8,895,009 |  |  | $ | 1,536,629 |  |  | $ | 7,358,380 |  |  | $ | — |
Total Liabilities |  | $ | 9,675,483 |  |  | $ | 10,225,707 |  |  | $ | 1,232,284 |  |  | $ | 8,993,423 |  |  | $ | — |  |  | $ | 8,478,473 |  |  | $ | 8,895,009 |  |  | $ | 1,536,629 |  |  | $ | 7,358,380 |  |  | $ | — |
(1) Inputs based on quoted prices (unadjusted) in active markets for identical assets or liabilities that we have the ability to access. Valuation of these items does not entail a significant amount of judgment. (2) Inputs other than quoted prices included within Level 1 that are observable for the liability, either directly or indirectly. For unsecured revolving credit facilities and unsecured term loans, fair value is determined utilizing the income valuation approach. This valuation model takes into account the contract terms of our debt such as the debt maturity and the interest rate on the debt. The valuation model also takes into account the creditworthiness of the Company. (3) Inputs that are unobservable. The Company did not use any Level 3 inputs as of September 30, 2016 and December 31, 2015. (4) Consists of cash and marketable securities with original maturities of less than 90 days. (5) Consists of unsecured revolving credit facilities, senior notes, senior debentures and term loans. Does not include our capital lease obligations. Other Financial Instruments The carrying amounts of accounts receivable, accounts payable, accrued interest and accrued expenses approximate fair value at September 30, 2016 and December 31, 2015. Assets and liabilities that are recorded at fair value have been categorized based upon the fair value hierarchy. The following table presents information about the Company’s financial instruments recorded at fair value on a recurring basis (in thousands):
|  | Fair Value Measurements at September 30, 2016 Using |  | Fair Value Measurements at December 31, 2015 Using
Description |  | Total |  | Level 1(1) |  | Level 2(2) |  | Level 3(3) |  | Total |  | Level 1(1) |  | Level 2(2) |  | Level 3(3)
Assets: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative financial instruments(4) |  | $ | 36,697 |  |  | $ | — |  |  | $ | 36,697 |  |  | $ | — |  |  | $ | 134,574 |  |  | $ | — |  |  | $ | 134,574 |  |  | $ | — |
Investments(5) |  | $ | 3,669 |  |  | 3,669 |  |  | — |  |  | — |  |  | $ | 3,965 |  |  | 3,965 |  |  | — |  |  | — |
Total Assets |  | $ | 40,366 |  |  | $ | 3,669 |  |  | $ | 36,697 |  |  | $ | — |  |  | $ | 138,539 |  |  | $ | 3,965 |  |  | $ | 134,574 |  |  | $ | — |
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivative financial instruments(6) |  | $ | 507,202 |  |  | $ | — |  |  | $ | 507,202 |  |  | $ | — |  |  | $ | 1,044,292 |  |  | $ | — |  |  | $ | 1,044,292 |  |  | $ | — |
Total Liabilities |  | $ | 507,202 |  |  | $ | — |  |  | $ | 507,202 |  |  | $ | — |  |  | $ | 1,044,292 |  |  | $ | — |  |  | $ | 1,044,292 |  |  | $ | — |
(1) Inputs based on quoted prices (unadjusted) in active markets for identical assets or liabilities that we have the ability to access. Valuation of these items does not entail a significant amount of judgment. (2) Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. For foreign currency forward contracts, interest rate swaps, cross currency swaps and fuel swaps, fair value is derived using valuation models that utilize the income valuation approach. These valuation models take into account the contract terms, such as maturity, as well as other inputs, such as foreign exchange rates and curves, fuel types, fuel curves and interest rate yield curves. Fair value for foreign currency collar options is determined by using standard option pricing models with inputs based on the options’ contract terms, such as exercise price and maturity, and readily available public market data, such as foreign exchange curves, foreign exchange volatility levels and discount rates. All derivative instrument fair values take into account the creditworthiness of the counterparty and the Company. (3) Inputs that are unobservable. The Company did not use any Level 3 inputs as of September 30, 2016 and December 31, 2015. (4) Consists of foreign currency forward contracts, interest rate swaps and fuel swaps. Please refer to the “Fair Value of Derivative Instruments” table for breakdown by instrument type. (5) Consists of exchange-traded equity securities and mutual funds reported within Other assets in our consolidated balance sheets. (6) Consists of foreign currency forward contracts, interest rate swaps and fuel swaps. Please refer to the “Fair Value of Derivative Instruments” table for breakdown by instrument type. The reported fair values are based on a variety of factors and assumptions. Accordingly, the fair values may not represent actual values of the financial instruments that could have been realized as of September 30, 2016 or December 31, 2015, or that will be realized in the future, and do not include expenses that could be incurred in an actual sale or settlement. We have master International Swaps and Derivatives Association (“ISDA”) agreements in place with our derivative instrument counterparties. These ISDA agreements provide for final close out netting with our counterparties for all positions in the case of default or termination of the ISDA agreement. We have determined that our ISDA agreements provide us with rights of setoff on the fair value of derivative instruments in a gain position and those in a loss position with the same counterparty. We have elected not to offset such derivative instrument fair values in our consolidated balance sheets. As of September 30, 2016 and December 31, 2015, no cash collateral was received or pledged under our ISDA agreements. See Credit Related Contingent Features for further discussion on contingent collateral requirements for our derivative instruments. The following table presents information about the Company’s offsetting of financial assets under master netting agreements with derivative counterparties:
|  | Gross Amounts not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
|  | As of September 30, 2016 |  | As of December 31, 2015
|  | Gross Amount of Derivative Assets Presented in the Consolidated Balance Sheet |  | Gross Amount of Eligible Offsetting Recognized Derivative Liabilities |  | Cash Collateral Received |  | Net Amount of Derivative Assets |  | Gross Amount of Derivative Assets Presented in the Consolidated Balance Sheet |  | Gross Amount of Eligible Offsetting Recognized Derivative Assets |  | Cash Collateral Received |  | Net Amount of Derivative Assets
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives subject to master netting agreements |  | $ | 36,697 |  |  | $ | (34,517 | ) |  | $ | — |  |  | $ | 2,180 |  |  | $ | 134,574 |  |  | $ | (129,815 | ) |  | $ | — |  |  | $ | 4,759 |
Total |  | $ | 36,697 |  |  | $ | (34,517 | ) |  | $ | — |  |  | $ | 2,180 |  |  | $ | 134,574 |  |  | $ | (129,815 | ) |  | $ | — |  |  | $ | 4,759 |
The following table presents information about the Company’s offsetting of financial liabilities under master netting agreements with derivative counterparties:
|  | Gross Amounts not Offset in the Consolidated Balance Sheet that are Subject to Master Netting Agreements
|  | As of September 30, 2016 |  | As of December 31, 2015
|  | Gross Amount of Derivative Liabilities Presented in the Consolidated Balance Sheet |  | Gross Amount of Eligible Offsetting Recognized Derivative Assets |  | Cash Collateral Pledged |  | Net Amount of Derivative Liabilities |  | Gross Amount of Derivative Liabilities Presented in the Consolidated Balance Sheet |  | Gross Amount of Eligible Offsetting Recognized Derivative Liabilities |  | Cash Collateral Pledged |  | Net Amount of Derivative Liabilities
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Derivatives subject to master netting agreements |  | $ | (507,202 | ) |  | $ | 34,517 |  |  | $ | — |  |  | $ | (472,685 | ) |  | $ | (1,044,292 | ) |  | $ | 129,815 |  |  | $ | — |  |  | $ | (914,477 | )
Total |  | $ | (507,202 | ) |  | $ | 34,517 |  |  | $ | — |  |  | $ | (472,685 | ) |  | $ | (1,044,292 | ) |  | $ | 129,815 |  |  | $ | — |  |  | $ | (914,477 | )
Concentrations of Credit Risk We monitor our credit risk associated with financial and other institutions with which we conduct significant business and, to minimize these risks, we select counterparties with credit risks acceptable to us and we seek to limit our exposure to an individual counterparty. Credit risk, including but not limited to counterparty nonperformance under derivative instruments, our credit facilities and new ship progress payment guarantees, is not considered significant, as we primarily conduct business with large, well-established financial institutions, insurance companies and export credit agencies many of which we have long-term relationships with and which have credit risks acceptable to us or where the credit risk is spread out among a large number of counterparties. As of September 30, 2016, we had counterparty credit risk exposure under our derivative instruments of approximately $2.3 million, which was limited to the cost of replacing the contracts in the event of non-performance by the counterparties to the contracts, the majority of which are currently our lending banks. As of December 31, 2015, we had counterparty credit risk exposure under our derivative instruments of approximately $4.8 million, which was limited to the cost of replacing the contracts in the event of non-performance by the counterparties to the contracts, the majority of which are currently our lending banks. We do not anticipate nonperformance by any of our significant counterparties. In addition, we have established guidelines we follow regarding credit ratings and instrument maturities to maintain safety and liquidity. We do not normally require collateral or other security to support credit relationships; however, in certain circumstances this option is available to us. Derivative Instruments We are exposed to market risk attributable to changes in interest rates, foreign currency exchange rates and fuel prices. We manage these risks through a combination of our normal operating and financing activities and through the use of derivative financial instruments pursuant to our hedging practices and policies. The financial impact of these hedging instruments is primarily offset by corresponding changes in the underlying exposures being hedged. We achieve this by closely matching the notional amount, term and conditions of the derivative instrument with the underlying risk being hedged. Although certain of our derivative financial instruments do not qualify or are not accounted for under hedge accounting, we do not hold or issue derivative financial instruments for trading or other speculative purposes. We monitor our derivative positions using techniques including market valuations and sensitivity analyses. We enter into various forward, swap and option contracts to manage our interest rate exposure and to limit our exposure to fluctuations in foreign currency exchange rates and fuel prices. These instruments are recorded on the balance sheet at their fair value and the vast majority are designated as hedges. We also use non-derivative financial instruments designated as hedges of our net investment in our foreign operations and investments. At inception of the hedge relationship, a derivative instrument that hedges the exposure to changes in the fair value of a firm commitment or a recognized asset or liability is designated as a fair value hedge. A derivative instrument that hedges a forecasted transaction or the variability of cash flows related to a recognized asset or liability is designated as a cash flow hedge. Changes in the fair value of derivatives that are designated as fair value hedges are offset against changes in the fair value of the underlying hedged assets, liabilities or firm commitments. Gains and losses on derivatives that are designated as cash flow hedges are recorded as a component of Accumulated other comprehensive loss until the underlying hedged transactions are recognized in earnings. The foreign currency transaction gain or loss of our non-derivative financial instruments and the changes in the fair value of derivatives designated as hedges of our net investment in foreign operations and investments are recognized as a component of Accumulated other comprehensive loss along with the associated foreign currency translation adjustment of the foreign operation. On an ongoing basis, we assess whether derivatives used in hedging transactions are “highly effective” in offsetting changes in the fair value or cash flow of hedged items. We use the long-haul method to assess hedge effectiveness using regression analysis for each hedge relationship under our interest rate, foreign currency and fuel hedging programs. We apply the same methodology on a consistent basis for assessing hedge effectiveness to all hedges within each hedging program (i.e. interest rate, foreign currency and fuel). We perform regression analyses over an observation period of up to three years, utilizing market data relevant to the hedge horizon of each hedge relationship. High effectiveness is achieved when a statistically valid relationship reflects a high degree of offset and correlation between the changes in the fair values of the derivative instrument and the hedged item. The determination of ineffectiveness is based on the amount of dollar offset between the change in fair value of the derivative instrument and the change in fair value of the hedged item at the end of the reporting period. If it is determined that a derivative is not highly effective as a hedge or hedge accounting is discontinued, any change in fair value of the derivative since the last date at which it was determined to be effective is recognized in earnings. In addition, the ineffective portion of our highly effective hedges is immediately recognized in earnings and reported in Other income in our consolidated statements of comprehensive income (loss). Cash flows from derivative instruments that are designated as fair value or cash flow hedges are classified in the same category as the cash flows from the underlying hedged items. In the event that hedge accounting is discontinued, cash flows subsequent to the date of discontinuance are classified within investing activities. Cash flows from derivative instruments not designated as hedging instruments are classified as investing activities. We consider the classification of the underlying hedged item’s cash flows in determining the classification for the designated derivative instrument’s cash flows. We classify derivative instrument cash flows from hedges of benchmark interest rate or hedges of fuel expense as operating activities due to the nature of the hedged item. Likewise, we classify derivative instrument cash flows from hedges of foreign currency risk on our newbuild ship payments as investing activities and derivative instrument cash flows from hedges of foreign currency risk on debt payments as financing activities. Interest Rate Risk Our exposure to market risk for changes in interest rates relates to our long-term debt obligations including future interest payments. At September 30, 2016 and December 31, 2015, approximately 41.4% and 31.2%, respectively, of our long-term debt was effectively fixed. We use interest rate swap agreements to modify our exposure to interest rate movements and to manage our interest expense. Market risk associated with our long-term fixed rate debt is the potential increase in fair value resulting from a decrease in interest rates. We use interest rate swap agreements that effectively convert a portion of our fixed-rate debt to a floating-rate basis to manage this risk. At September 30, 2016 and December 31, 2015, we maintained interest rate swap agreements on the following fixed-rate debt instruments:
Debt Instrument | Swap Notional as of September 30, 2016 (In thousands) | Maturity | Debt Fixed Rate | Swap Floating Rate: LIBOR plus | All-in Swap Floating Rate as of September 30, 2016
Oasis of the Seas term loan | $ | 192,500 |  | October 2021 | 5.41% | 3.87% | 4.78%
Unsecured senior notes | 650,000 |  | November 2022 | 5.25% | 3.63% | 4.45%
| $ | 842,500 |  |  |  |  |
These interest rate swap agreements are accounted for as fair value hedges. Market risk associated with our long-term floating rate debt is the potential increase in interest expense from an increase in interest rates. We use interest rate swap agreements that effectively convert a portion of our floating-rate debt to a fixed-rate basis to manage this risk. At September 30, 2016 and December 31, 2015, we maintained interest rate swap agreements on the following floating-rate debt instruments:
Debt Instrument | Swap Notional as of September 30, 2016 (In thousands) | Maturity | Debt Floating Rate | All-in Swap Fixed Rate
Celebrity Reflection term loan | $ | 463,604 |  | October 2024 | LIBOR plus | 0.40% | 2.85%
Quantum of the Seas term loan | 643,125 |  | October 2026 | LIBOR plus | 1.30% | 3.74%
Anthem of the Seas term loan | 664,583 |  | April 2027 | LIBOR plus | 1.30% | 3.86%
Ovation of the Seas term loan | 830,000 |  | April 2028 | LIBOR plus | 1.00% | 3.16%
Harmony of the Seas term loan (1) | 778,966 |  | May 2028 | EURIBOR plus | 1.15% | 2.26%
| $ | 3,380,278 |  |  |  |  |
(1) Interest rate swap agreements hedging the Euro-denominated term loan for Harmony of the Seas include EURIBOR zero-floors matching the hedged debt EURIBOR zero-floor. Amount presented is based on the exchange rate as of September 30, 2016. These interest rate swap agreements are accounted for as cash flow hedges. The notional amount of interest rate swap agreements related to outstanding debt and on our current unfunded financing arrangements as of September 30, 2016 and December 31, 2015 was $4.2 billion and $4.3 billion, respectively. Foreign Currency Exchange Rate Risk Derivative Instruments Our primary exposure to foreign currency exchange rate risk relates to our ship construction contracts denominated in Euros, our foreign currency denominated debt and our international business operations. We enter into foreign currency forward contracts, collar options and cross currency swap agreements to manage portions of the exposure to movements in foreign currency exchange rates. As of September 30, 2016, the aggregate cost of our ships on firm order, not including the TUI Cruises' ships on order and those subject to conditions to effectiveness, was approximately $5.3 billion, of which we had deposited $282.0 million as of such date. At September 30, 2016 and December 31, 2015, approximately 56.1% and 58.2%, respectively, of the aggregate cost of the ships under construction was exposed to fluctuations in the Euro exchange rate. The majority of our foreign currency forward contracts, collar options and cross currency swap agreements are accounted for as cash flow, fair value or net investment hedges depending on the designation of the related hedge. On a regular basis, we enter into foreign currency forward contracts and, from time to time, we utilize cross-currency swap agreements to minimize the volatility resulting from the remeasurement of net monetary assets and liabilities denominated in a currency other than our functional currency or the functional currencies of our foreign subsidiaries. During the third quarter of 2016, we maintained an average of approximately $801.9 million of these foreign currency forward contracts. These instruments are not designated as hedging instruments. Changes in the fair value of the foreign currency forward contracts resulted in a loss, of approximately $2.5 million and $32.7 million during the quarters ended September 30, 2016 and September 30, 2015, respectively, and approximately $11.8 million and $49.6 million, during the nine months ended September 30, 2016 and September 30, 2015, respectively, that were recognized in earnings within Other income in our consolidated statements of comprehensive income (loss). The notional amount of outstanding foreign exchange contracts including our forward contracts as of September 30, 2016 and December 31, 2015 was $1.4 billion and $2.4 billion, respectively. Non-Derivative Instruments We also address the exposure of our investments in foreign operations by denominating a portion of our debt in our subsidiaries’ and investments’ functional currencies and designating it as a hedge of these subsidiaries and investments. We had designated debt as a hedge of our net investments in TUI Cruises of approximately €290.0 million, or approximately $325.8 million, as of September 30, 2016. Fuel Price Risk Our exposure to market risk for changes in fuel prices relates primarily to the consumption of fuel on our ships. We use fuel swap agreements to mitigate the financial impact of fluctuations in fuel prices. Our fuel swap agreements are accounted for as cash flow hedges. At September 30, 2016, we have hedged the variability in future cash flows for certain forecasted fuel transactions occurring through 2020. As of September 30, 2016 and December 31, 2015, we had the following outstanding fuel swap agreements:
| Fuel Swap Agreements
| As of September 30, 2016 |  | As of December 31, 2015
| (metric tons)
2016 | 231,000 |  |  | 930,000 |
2017 | 799,000 |  |  | 854,000 |
2018 | 616,000 |  |  | 583,000 |
2019 | 521,000 |  |  | 231,000 |
2020 | 307,000 |  |  | — |
| Fuel Swap Agreements
| As of September 30, 2016 |  | As of December 31, 2015
| (% hedged)
Projected fuel purchases: |  |  |  |  |
2016 | 68 | % |  | 65 | %
2017 | 60 | % |  | 59 | %
2018 | 45 | % |  | 40 | %
2019 | 36 | % |  | 15 | %
2020 | 20 | % |  | — |
At September 30, 2016 and December 31, 2015, $196.2 million and $321.0 million, respectively, of estimated unrealized net loss associated with our cash flow hedges pertaining to fuel swap agreements were expected to be reclassified to earnings from Accumulated other comprehensive loss within the next twelve months. Reclassification is expected to occur as the result of fuel consumption associated with our hedged forecasted fuel purchases. The fair value and line item caption of derivative instruments recorded within our consolidated balance sheets were as follows:
|  | Fair Value of Derivative Instruments
|  | Asset Derivatives |  | Liability Derivatives
|  | Balance Sheet Location |  | As of September 30, 2016 |  | As of December 31, 2015 |  | Balance Sheet Location |  | As of September 30, 2016 |  | As of December 31, 2015
|  |  | Fair Value |  | Fair Value |  |  | Fair Value |  | Fair Value
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |
Derivatives designated as hedging instruments under ASC 815-20(1) |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Other assets |  | $ | 15,371 |  |  | $ | — |  |  | Other long-term liabilities |  | $ | 139,322 |  |  | $ | 67,371 |
Foreign currency forward contracts |  | Derivative financial instruments |  | — |  |  | 93,996 |  |  | Derivative financial instruments |  | 136 |  |  | 320,873 |
Foreign currency forward contracts |  | Other assets |  | 6,926 |  |  | — |  |  | Other long-term liabilities |  | 7,392 |  |  | — |
Fuel swaps |  | Derivative financial instruments |  | — |  |  | — |  |  | Derivative financial instruments |  | 183,470 |  |  | 307,475 |
Fuel swaps |  | Other assets |  | 13,038 |  |  | — |  |  | Other long-term liabilities |  | 149,110 |  |  | 325,055 |
Total derivatives designated as hedging instruments under 815-20 |  |  |  | 35,335 |  |  | 93,996 |  |  |  |  | 479,430 |  |  | 1,020,774 |
Derivatives not designated as hedging instruments under ASC 815-20 |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  | Derivative financial instruments |  | $ | — |  |  | $ | 32,339 |  |  | Derivative financial instruments |  | $ | — |  |  | $ | — |
Fuel swaps |  | Derivative financial instruments |  | 928 |  |  | 8,239 |  |  | Derivative financial instruments |  | 18,271 |  |  | 23,518 |
Fuel swaps |  | Other Assets |  | 434 |  |  | — |  |  | Other long-term liabilities |  | 9,501 |  |  | — |
Total derivatives not designated as hedging instruments under 815-20 |  |  |  | 1,362 |  |  | 40,578 |  |  |  |  | 27,772 |  |  | 23,518 |
Total derivatives |  |  |  | $ | 36,697 |  |  | $ | 134,574 |  |  |  |  | $ | 507,202 |  |  | $ | 1,044,292 |
(1) Accounting Standard Codification 815-20 “Derivatives and Hedging.” The carrying value and line item caption of non-derivative instruments designated as hedging instruments recorded within our consolidated balance sheets were as follows:
|  |  |  | Carrying Value
Non-derivative instrument designated as hedging instrument under ASC 815-20 |  | Balance Sheet Location |  | As of September 30, 2016 |  | As of December 31, 2015
(In thousands) |  |  |  |  |  |
Foreign currency debt |  | Current portion of long-term debt |  | $ | 65,595 |  |  | $ | — |
Foreign currency debt |  | Long-term debt |  | 260,191 |  |  | — |
|  |  |  | $ | 325,786 |  |  | $ | — |
The effect of derivative instruments qualifying and designated as hedging instruments and the related hedged items in fair value hedges on the consolidated statements of comprehensive income (loss) was as follows:
Derivatives and Related Hedged Items under ASC 815-20 Fair Value Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative and Hedged Item |  | Amount of Gain (Loss) Recognized in Income on Derivative |  | Amount of Gain (Loss) Recognized in Income on Hedged Item
Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015 |  | Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Interest expense, net of interest capitalized |  | $ | 1,737 |  |  | $ | 2,793 |  |  | $ | 6,075 |  |  | $ | 8,640 |  |  | $ | — |  |  | $ | 3,968 |  |  | $ | 7,203 |  |  | $ | 11,775 |
Interest rate swaps |  | Other income |  | (7,662 | ) |  | 22,341 |  |  | 28,592 |  |  | 21,780 |  |  | 7,423 |  |  | (20,252 | ) |  | (24,878 | ) |  | (18,245 | )
|  |  |  | $ | (5,925 | ) |  | $ | 25,134 |  |  | $ | 34,667 |  |  | $ | 30,420 |  |  | $ | 7,423 |  |  | $ | (16,284 | ) |  | $ | (17,675 | ) |  | $ | (6,470 | )
The effect of derivative instruments qualifying and designated as cash flow hedging instruments on the consolidated financial statements was as follows:
Derivatives under ASC 815-20 Cash Flow Hedging Relationships |  | Amount of Gain (Loss) Recognized in Accumulated Other Comprehensive Income (Loss) on Derivative (Effective Portion) |  | Location of Gain (Loss) Reclassified from Accumulated Other Comprehensive Loss into Income (Effective Portion) |  | Amount of Gain (Loss) Reclassified from Accumulated Other Comprehensive Income (Loss) into Income (Effective Portion)
Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015 |  |  | Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | $ | 6,598 |  |  | $ | (68,956 | ) |  | $ | (126,505 | ) |  | $ | (75,104 | ) |  | Interest expense, net of interest capitalized |  | $ | (11,953 | ) |  | $ | (10,276 | ) |  | $ | (32,019 | ) |  | $ | (27,024 | )
Foreign currency forward contracts |  | 11,405 |  |  | (619 | ) |  | 22,715 |  |  | (131,211 | ) |  | Depreciation and amortization expenses |  | (2,710 | ) |  | (752 | ) |  | (5,408 | ) |  | (2,153 | )
Foreign currency forward contracts |  | — |  |  | — |  |  | — |  |  | — |  |  | Other income |  | (3,465 | ) |  | (239 | ) |  | (10,206 | ) |  | (715 | )
Foreign currency forward contracts |  | — |  |  | — |  |  | — |  |  | — |  |  | Other operating |  | — |  |  | — |  |  | (207 | ) |  | — |
Foreign currency collar options |  | — |  |  | 34 |  |  | — |  |  | (64,559 | ) |  | Depreciation and amortization expenses |  | (601 | ) |  | (568 | ) |  | (1,806 | ) |  | (1,003 | )
Fuel swaps |  | — |  |  | — |  |  | — |  |  | — |  |  | Other income |  | 2,760 |  |  | — |  |  | 9,356 |  |  | — |
Fuel swaps |  | (3,090 | ) |  | (230,761 | ) |  | 94,640 |  |  | (213,072 | ) |  | Fuel |  | (64,654 | ) |  | (65,975 | ) |  | (223,484 | ) |  | (172,083 | )
|  | $ | 14,913 |  |  | $ | (300,302 | ) |  | $ | (9,150 | ) |  | $ | (483,946 | ) |  |  |  | $ | (80,623 | ) |  | $ | (77,810 | ) |  | $ | (263,774 | ) |  | $ | (202,978 | )
Derivatives under ASC 815-20 Cash Flow Hedging Relationships |  | Location of Gain (Loss) Recognized in Income on Derivative (Ineffective Portion and Amount Excluded from Effectiveness Testing) |  | Amount of Gain (Loss) Recognized in Income on Derivative (Ineffective Portion and Amount Excluded from Effectiveness Testing)
Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Interest rate swaps |  | Other income |  | 90 |  |  | (617 | ) |  | (1,152 | ) |  | (395 | )
Foreign currency forward contracts |  | Other income |  | — |  |  | — |  |  | (57 | ) |  | — |
Fuel swaps |  | Other income |  | (8 | ) |  | (2,353 | ) |  | (3,949 | ) |  | (2,771 | )
|  |  |  | $ | 82 |  |  | $ | (2,970 | ) |  | $ | (5,158 | ) |  | $ | (3,166 | )
The effect of non-derivative instruments qualifying and designated as net investment hedging instruments on the consolidated financial statements was as follows:
|  | Amount of Gain (Loss) Recognized in Other Comprehensive Income (Loss) (Effective Portion)
Non-derivative instruments under ASC 815-20 Net Investment Hedging Relationships |  | Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |
Foreign Currency Debt |  | $ | (3,382 | ) |  | $ | (436 | ) |  | $ | 1,313 |  |  | $ | 8,955 |
|  | $ | (3,382 | ) |  | $ | (436 | ) |  | $ | 1,313 |  |  | $ | 8,955 |
There was no amount recognized in income (ineffective portion and amount excluded from effectiveness testing) for the quarters and nine months ended September 30, 2016 and September 30, 2015, respectively. The effect of derivatives not designated as hedging instruments on the consolidated financial statements was as follows:
|  |  |  | Amount of Gain (Loss) Recognized in Income on Derivatives
Derivatives Not Designated as Hedging Instruments under ASC 815-20 |  | Location of Gain (Loss) Recognized in Income on Derivatives |  | Quarter Ended September 30, 2016 |  | Quarter Ended September 30, 2015 |  | Nine Months Ended September 30, 2016 |  | Nine Months Ended September 30, 2015
(In thousands) |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign currency forward contracts |  | Other income |  | $ | (2,464 | ) |  | $ | (32,705 | ) |  | $ | (11,712 | ) |  | $ | (49,607 | )
Fuel swaps |  | Other income |  | (1,172 | ) |  | (76 | ) |  | (1,224 | ) |  | (191 | )
|  |  |  | $ | (3,636 | ) |  | $ | (32,781 | ) |  | $ | (12,936 | ) |  | $ | (49,798 | )
Credit Related Contingent Features Our current interest rate derivative instruments may require us to post collateral if our Standard & Poor’s and Moody’s credit ratings remain below specified levels. Specifically, if on the fifth anniversary of executing a derivative instrument, or on any succeeding fifth-year anniversary, our credit ratings for our senior unsecured debt were to be rated below BBB- by Standard & Poor’s and Baa3 by Moody’s, then the counterparty may periodically demand that we post collateral in an amount equal to the difference between (i) the net market value of all derivative transactions with such counterparty that have reached their fifth year anniversary, to the extent negative, and (ii) the applicable minimum call amount. The amount of collateral required to be posted following such event will change as, and to the extent, our net liability position increases or decreases by more than the applicable minimum call amount. If our credit rating for our senior unsecured debt is subsequently equal to or above BBB- by Standard & Poor’s or Baa3 by Moody’s, then any collateral posted at such time will be released to us and we will no longer be required to post collateral unless we meet the collateral trigger requirement at the next fifth-year anniversary. Currently, our senior unsecured debt credit rating is BB+ with a stable outlook by Standard & Poor’s and Ba1 with a positive outlook by Moody’s. We currently have seven interest rate derivative hedges that have a term of at least five years. As of September 30, 2016, none of these instruments had reached their fifth anniversary and, accordingly, we were not required to post any collateral as of such date. During the next twelve months, four of our interest rate derivative hedges will reach their fifth anniversary, with the first such anniversary to occur on November 2016. If each of these four interest rate hedges had already reached its fifth anniversary as of September 30, 2016, our maximum collateral exposure would have been $96.8 million. Similarly, our maximum collateral exposure as of December 31, 2015, would have been $14.6 million if all hedges scheduled to reach their fifth anniversary date within one year had instead reached their fifth anniversary as of December 31, 2015.

X
- Definition The entire disclosure for derivatives and fair value of assets and liabilities. + References No definition available. + Details
Name: | us-gaap_DerivativesAndFairValueTextBlock
Namespace Prefix: | us-gaap_
Data Type: | nonnum:textBlockItemType
Balance Type: | na
Period Type: | duration

X
- References No definition available. + Details
Name: | us-gaap_FairValueDisclosuresAbstract
Namespace Prefix: | us-gaap_
Data Type: | xbrli:stringItemType
Balance Type: | na
Period Type: | duration