Delta Airlines 2011 Annual Report Download - page 50

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Interest Rate Risk
Our exposure to market risk from adverse changes in interest rates is primarily associated with our long-term debt obligations. Market risk associated with
our fixed and variable rate long-term debt relates to the potential reduction in fair value and negative impact to future earnings, respectively, from an increase
in interest rates.
At December 31, 2011, we had $7.7 billion of fixed-rate long-term debt and $6.1 billion of variable-rate long-term debt. An increase of 100 basis points in
average annual interest rates would have decreased the estimated fair value of our fixed-rate long-term debt by $300 million at December 31, 2011 and would
have increased the annual interest expense on our variable-rate long-term debt by $40 million, inclusive of the impact of our interest rate hedge contracts.
Foreign Currency Exchange Risk
We are subject to foreign currency exchange rate risk because we have revenue and expense denominated in foreign currencies with our primary
exposures being the Japanese yen and Canadian dollar. To manage exchange rate risk, we execute both our international revenue and expense transactions in
the same foreign currency to the extent practicable. From time to time, we may also enter into foreign currency option and forward contracts. At
December 31, 2011, we had open foreign currency forward contracts totaling an $89 million liability position. We estimate that a 10% increase or decrease in
the price of the Japanese yen and Canadian dollar in relation to the U.S. dollar would change the projected cash settlement value of our open hedge contracts
by a $90 million gain or $110 million loss, respectively, for the year ending December 31, 2012.
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