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Fair Value Measurements (Tables) | 9 Months Ended
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Sep. 30, 2021
Fair Value Disclosures [Abstract] |
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). (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 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 |

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- Definition Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3). + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (b) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -Subparagraph (a) -URI http://asc.fasb.org/extlink&oid=123874694&loc=d3e19207-110258 + Details
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