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Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2016
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 March 31, 2016, and December 31, 2015:

 
 
 
 
Fair value measurements at reporting date using:
 
 
 
 
Quoted prices in
active markets
for identical assets
 
Significant
other observable
inputs
 
Significant
unobservable
inputs
Description
 
March 31, 2016
 
(Level 1)
 
(Level 2)
 
(Level 3)
Assets
 
(in millions)
Cash equivalents
 
 
 
 
 
 
 
 
Cash equivalents (a)
 
$
2,183

 
$
2,183

 
$
—

 
$
—

Commercial paper
 
125

 
—

 
125

 
—

Certificates of deposit
 
10

 
—

 
10

 
—

Eurodollar time deposits
 
70

 
—

 
70

 
—

Short-term investments:
 
 
 
 
 
 
 
 
Treasury bills
 
968

 
968

 
—

 
—

Certificates of deposit
 
226

 
—

 
226

 
—

Interest rate derivatives
 
16

 
—

 
16

 
—

Fuel derivatives:
 
 
 
 
 
 
 
 
Swap contracts (b)
 
28

 
—

 
28

 
—

Swap contracts (c)
 
644

 
—

 
644

 
—

Option contracts (b)
 
47

 
—

 
—

 
47

Option contracts (c)
 
702

 
—

 
—

 
702

Other available-for-sale securities
 
89

 
63

 
—

 
26

Total assets
 
$
5,108

 
$
3,214

 
$
1,119

 
$
775

Liabilities
 
 
 
 
 
 
 
 
Fuel derivatives:
 
 
 
 
 
 
 
 
Swap contracts (c)
 
$
(599
)
 
$
—

 
$
(599
)
 
$
—

Option contracts (b)
 
(45
)
 
—

 
—

 
(45
)
     Option contracts (c)
 
(2,185
)
 
—

 
—

 
(2,185
)
Interest rate derivatives
 
(46
)
 
—

 
(46
)
 
—

Total liabilities
 
$
(2,875
)
 
$
—

 
$
(645
)
 
$
(2,230
)
(a) Cash equivalents are primarily composed of money market investments.
(b) In the unaudited Condensed Consolidated Balance Sheet amounts are presented as a net asset. See Note 3.
(c) In the unaudited Condensed Consolidated Balance Sheet amounts are presented as a net liability. See Note 3.

 
 
 
 
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, 2015
 
(Level 1)
 
(Level 2)
 
(Level 3)
Assets
 
(in millions)
Cash equivalents
 
 
 
 
 
 
 
 
Cash equivalents (a)
 
$
1,337

 
$
1,337

 
$
—

 
$
—

Commercial paper
 
200

 
—

 
200

 
—

Certificates of deposit
 
13

 
—

 
13

 
—

Eurodollar time deposits
 
33

 
—

 
33

 
—

Short-term investments:
 
 
 
 
 
 
 
 
Treasury bills
 
1,248

 
1,248

 
—

 
—

Certificates of deposit
 
220

 
—

 
220

 
—

Interest rate derivatives (see Note 3)
 
2

 
—

 
2

 
—

Fuel derivatives:
 
 
 
 
 
 
 
 
Swap contracts (b)
 
38

 
—

 
38

 
—

Swap contracts (c)
 
931

 
—

 
931

 
—

Option contracts (b)
 
10

 
—

 
—

 
10

Option contracts (c)
 
956

 
—

 
—

 
956

Other available-for-sale securities
 
93

 
66

 
—

 
27

Total assets
 
$
5,081

 
$
2,651

 
$
1,437

 
$
993

Liabilities
 
 
 
 
 
 
 
 
Fuel derivatives:
 
 
 
 
 
 
 
 
Swap contracts (c)
 
$
(774
)
 
$
—

 
$
(774
)
 
$
—

Option contracts (b)
 
(26
)
 
—

 
—

 
(26
)
Option contracts (c)
 
(2,616
)
 
—

 
—

 
(2,616
)
Interest rate derivatives (see Note 3)
 
(49
)
 
—

 
(49
)
 
—

Total liabilities
 
$
(3,465
)
 
$
—

 
$
(823
)
 
$
(2,642
)
(a) Cash equivalents are primarily composed of money market investments.
(b) In the unaudited Consolidated Balance Sheet amounts are presented as a net asset. See Note 3.
(c) In the unaudited Consolidated Balance Sheet amounts are presented as a net liability. See Note 3.
Fair Value Assets And Liabilities Measured On Recurring Basis Unobservable Input Reconciliation
The following table presents the Company’s activity for items measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three months ended March 31, 2016:

 
Fair value measurements using significant
unobservable inputs (Level 3)
 
Fuel
 
Other
 
 
(in millions)
derivatives
 
securities
 
Total
Balance at December 31, 2015
$
(1,676
)
 
$
27

 
$
(1,649
)
Total losses (realized or unrealized)
 

 
 

 
 

Included in earnings
(34
)
 
—

 
(34
)
Included in other comprehensive income
(52
)
 
(1
)
 
(53
)
Purchases
71

(a)
—

 
71

Sales
(29
)
(a)
—

 
(29
)
Settlements
239

 
—

 
239

Balance at March 31, 2016
$
(1,481
)
 
$
26

 
$
(1,455
)
The amount of total losses for the period
  included in earnings attributable to the
  change in unrealized gains or losses relating
  to assets still held at March 31, 2016
$
21

 
$
—

 
$
21

(a) 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 is purchased as a single instrument or separate instruments.
Fair Value Valuation Techniques
The following table presents a range of the unobservable inputs utilized in the fair value measurements of the Company’s fuel derivatives classified as Level 3 at March 31, 2016:

Quantitative information about Level 3 fair value measurements
 
Valuation technique
Unobservable input
Period (by year)
Range
Fuel derivatives
Option model
Implied volatility
Second quarter 2016
22-42%
 
 
 
Third quarter 2016
33-43%
 
 
 
Fourth quarter 2016
32-43%
 
 
 
2017
28-41%
 
 
 
2018
23-32%
Fair value, by Balance Sheet Grouping
The carrying amounts and estimated fair values of the Company’s long-term debt (including current maturities), as well as the applicable fair value hierarchy tier, at March 31, 2016, 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. Six of the Company’s debt agreements are not publicly held. 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
5.75% Notes due 2016
$
305

 
$
314

 
Level 2
5.25% Convertible Senior Notes due 2016
111

 
335

 
Level 2
5.125% Notes due 2017
307

 
317

 
Level 2
French Credit Agreements due 2018 - 1.53%
25

 
25

 
Level 3
Fixed-rate 737 Aircraft Notes payable through 2018 - 7.02%
15

 
15

 
Level 3
2.75% Notes due 2019
303

 
312

 
Level 2
Term Loan Agreement due 2019 - 6.315%
134

 
138

 
Level 3
Term Loan Agreement due 2019 - 4.84%
32

 
34

 
Level 3
2.65% Notes due 2020
514

 
526

 
Level 2
Term Loan Agreement due 2020 - 5.223%
318

 
313

 
Level 3
Floating-rate 737 Aircraft Notes payable through 2020
245

 
242

 
Level 3
Pass Through Certificates due 2022 - 6.24%
331

 
374

 
Level 2
7.375% Debentures due 2027
131

 
159

 
Level 2