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v3.22.2.2

Financial Derivative Instruments (Tables) | 9 Months Ended
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Sep. 30, 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 |  |  |
|  | September 30, 2022 |  | Derivative underlying commodity type as of |
Period (by year) |  | (gallons in millions) (a) |  | September 30, 2022 |
Remainder of 2022 |  | 305 |  |  | WTI crude oil, Brent crude oil, and Heating oil |
2023 |  | 1,084 |  |  | WTI crude oil and Brent crude oil |
2024 |  | 358 |  |  | WTI 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 |  | 9/30/2022 |  | 12/31/2021 |  | 9/30/2022 |  | 12/31/2021
Derivatives designated as hedges (a) |  |  |  |  |  |  |  |  |  |
Fuel derivative contracts (gross) |  | Prepaid expenses and other current assets |  | $ | 371 |  |  | $ | 409 |  |  | $ | — |  |  | $ | — |
Fuel derivative contracts (gross) |  | Other assets |  | 168 |  |  | 287 |  |  | — |  |  | — |
Interest rate derivative contracts |  | Other assets |  | 14 |  |  | — |  |  | — |  |  | — |
Interest rate derivative contracts |  | Other noncurrent liabilities |  | — |  |  | — |  |  | — |  |  | 4 |
Total derivatives designated as hedges |  | $ | 553 |  |  | $ | 696 |  |  | $ | — |  |  | $ | 4 |
Derivatives not designated as hedges (a) |  |  |  |  |  |  |  |  |  |
Fuel derivative contracts (gross) |  | Prepaid expenses and other current assets |  | $ | 26 |  |  | $ | — |  |  | $ | 29 |  |  | $ | — |
Total derivatives |  |  |  | $ | 579 |  |  | $ | 696 |  |  | $ | 29 |  |  | $ | 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 |  | September 30, |  | 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 |  | $ | 96 |  |  | $ | 80 |
Cash collateral deposits held from counterparties for fuel contracts - noncurrent |  | Offset against Other assets |  | 38 |  |  | 95 |
Receivable from third parties for fuel contracts |  | Accounts and other receivables |  | 56 |  |  | 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) |
|  |  |  | September 30, 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 |  | $ | 397 |  |  | $ | (125) |  | (b) | $ | 272 |  |  | $ | 409 |  |  | $ | (80) |  |  | $ | 329 |  |
Fuel derivative contracts |  | Other assets |  | $ | 168 |  |  | $ | (38) |  |  | $ | 130 |  | (a) | $ | 287 |  |  | $ | (95) |  |  | $ | 192 |  | (a)
Interest rate derivative contracts |  | Other assets |  | $ | 14 |  |  | $ | — |  |  | $ | 14 |  | (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) |
|  |  |  | September 30, 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 |  | $ | 125 |  |  | $ | (125) |  | (b) | $ | — |  |  | $ | 80 |  |  | $ | (80) |  |  | $ | — |  |
Fuel derivative contracts |  | Other assets |  | $ | 38 |  |  | $ | (38) |  |  | $ | — |  | (a) | $ | 95 |  |  | $ | (95) |  |  | $ | — |  | (a)
Interest rate derivative contracts |  | Other noncurrent liabilities |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | 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 for the three and nine months ended September 30, 2022 and 2021:
Location and amount recognized in income on cash flow and fair value hedging relationships
|  | Three months ended September 30, 2022 |  | Three months ended September 30, 2021
(in millions) |  | Fuel and oil |  |  |  | Other operating expenses |  | Fuel and oil |  |  |  | Other operating expenses
Total |  | $ | (195) |  |  |  |  | $ | 2 |  |  | $ | 2 |  |  |  |  | $ | 1 |
(Gain) loss on cash flow hedging relationships: |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |
Amount of (gain) loss reclassified from AOCI into income |  | (195) |  |  |  |  | — |  |  | 2 |  |  |  |  | — |
Interest contracts: |  |  |  |  |  |  |  |  |  |  |  |
Amount of loss reclassified from AOCI into income |  | — |  |  |  |  | 2 |  |  | — |  |  |  |  | 1 |
Location and amount recognized in income on cash flow and fair value hedging relationships
|  | Nine months ended September 30, 2022 |  | Nine months ended September 30, 2021
(in millions) |  | Fuel and oil |  | Other (gains)/losses, net |  | Other operating expenses |  | Fuel and oil |  | Other (gains)/losses, net |  | Other operating expenses
Total |  | $ | (703) |  |  | $ | — |  |  | $ | 5 |  |  | $ | 30 |  |  | $ | 6 |  |  | $ | 4 |
(Gain) loss on cash flow hedging relationships |  |  |  |  |  |  |  |  |  |  |  |
Commodity contracts: |  |  |  |  |  |  |  |  |  |  |  |
Amount of (gain) loss reclassified from AOCI into income |  | (703) |  |  | — |  |  | — |  |  | 30 |  |  | 6 |  |  | — |
Interest contracts: |  |  |  |  |  |  |  |  |  |  |  |
Amount of loss reclassified from AOCI into income |  | — |  |  | — |  |  | 5 |  |  | — |  |  | — |  |  | 4 |
Derivatives designated and qualified in cash flow hedging relationships |  |  |
| (Gain) loss recognized in AOCI on derivatives, net of tax
| Three months ended
| September 30,
(in millions) | 2022 |  | 2021
Fuel derivative contracts | $ | 354 |  |  | $ | (128) |
Interest rate derivatives | (2) |  |  | (1) |
Total | $ | 352 |  |  | $ | (129) |
Derivatives designated and qualified in cash flow hedging relationships |  |  |
| (Gain) loss recognized in AOCI on derivatives, net of tax
| Nine months ended
| September 30,
(in millions) | 2022 |  | 2021
Fuel derivative contracts | $ | (438) |  |  | $ | (402) |
Interest rate derivatives | (14) |  |  | (5) |
Total | $ | (452) |  |  | $ | (407) |
Derivative Instruments, Gain (Loss) |
Derivatives not designated as hedges
| (Gain) loss recognized in income on derivatives |  |
| Three months ended |  | Location of gain recognized in income on derivatives
| September 30, |
(in millions) | 2022 |  | 2021 |
Fuel derivative contracts | $ | (38) |  |  | $ | 3 |  |  | Other (gains) losses, net
Derivatives not designated as hedges
| (Gain) loss recognized in income on derivatives |  |
| Nine months ended |  | Location of (gain) loss recognized in income on derivatives
| September 30, |
(in millions) | 2022 |  | 2021 |
Fuel derivative contracts | $ | (23) |  |  | $ | (13) |  |  | Other (gains) losses, net
Premiums Paid for Fuel Derivative Contracts | The following tables present the impact of premiums paid or received for fuel derivative contracts and their location within the unaudited Condensed Consolidated Statement of Comprehensive Income during the period the contract settles:
| Premium (benefit) expense recognized in income on derivatives |  |
| Three months ended |  | Location of premium (benefit) expense recognized in income on derivatives
| September 30, |
(in millions) | 2022 |  | 2021 |
Fuel derivative contracts designated as hedges | $ | 26 |  |  | $ | 14 |  |  | Fuel and oil
Fuel derivative contracts not designated as hedges | (14) |  |  | 11 |  |  | Other (gains) losses, net
| Premium (benefit) expense recognized in income on derivatives |  |
| Nine months ended |  | Location of premium (benefit) expense recognized in income on derivatives
| September 30, |
(in millions) | 2022 |  | 2021 |
Fuel derivative contracts designated as hedges | $ | 79 |  |  | $ | 43 |  |  | Fuel and oil
Fuel derivative contracts not designated as hedges | (14) |  |  | 32 |  |  | 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 September 30, 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 | $ | 134 |  |  | $ | 73 |  |  |  |  | $ | 119 |  |  | $ | 38 |  |  | $ | 67 |  |  | $ | 45 |  |  | $ | 50 |  |  | $ | 10 |  |  | $ | 536 |
Cash collateral held from CP | 134 |  |  | — |  |  |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | — |  |  | 134 |
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 < $8 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.

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- Definition Disclosure of the agreements the Company had with counterparties in which cash deposits/receipts and/or pledged aircraft are required to be posted whenever the net fair value of derivatives associated with those counterparties exceeds specific thresholds. Includes the fair values of fuel derivatives, amounts posted as collateral, and applicable collateral posting threshold amounts at which such postings are triggered. + References No definition available. + Details
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