Delta Airlines 2011 Annual Report Download - page 68

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Common Stock. Common stock is valued at the closing price reported on the active market on which the individual securities are traded.
Mutual and Commingled Funds. These funds are valued using the net asset value divided by the number of shares outstanding, which is based on quoted
market prices of the underlying assets owned by the fund.
Alternative Investments. The valuation of alternative investments requires significant judgment due to the absence of quoted market prices as well as the
inherent lack of liquidity and the long-term nature of these assets. Accordingly, these assets are generally classified in Level 3. Alternative investments
include private equity, real estate, energy and timberland. Investments are valued based on valuation models where one or more of the significant inputs into
the model cannot be observed and which require the development of assumptions. We also assess the potential for adjustment to the fair value of these
investments due to the lag in the availability of data. In these cases, we solicit preliminary valuation updates at year-end from the investment managers and
use that information and corroborating data from public markets to determine any needed adjustments to fair value.
Fixed Income. Investments include corporate bonds, government bonds, collateralized mortgage obligations and other asset backed securities. These
investments are generally valued at the bid price or the average of the bid and ask price. Prices are based on pricing models, quoted prices of securities with
similar characteristics, or broker quotes.
Hedge Funds. Our hedge fund investments are primarily made through shares of limited partnerships or similar limited liability structures for which a
liquid secondary market does not exist. Hedge funds are considered Level 3 assets. Hedge funds are valued monthly by a third-party administrator that has
been appointed by the fund's general partner.
Foreign Currency Derivatives. Our foreign currency derivatives consist of various forward contracts and are valued based on data readily observable in
public markets.
Cash Equivalents and Other. These investments primarily consist of short term investment funds which are valued using the net asset value. Cash is not
included in the table above.
Changes in Level 3. The following table shows the changes in our benefit plan assets classified in Level 3:
(in millions) Private Equity Real Estate Hedge Funds Common Stock Fixed Income Total
Balance at January 1, 2010 $ 1,216 $ 336 $ — $ 35 $ 46 $ 1,633
Actual return on plan assets:
Related to assets still held at the reporting date 160 34 — (1) 1 194
Related to assets sold during the period 64 4 — — 4 72
Purchases and settlements, net 53 22 — (2) (11) 62
Transfers to Level 3 66 — — — — 66
Balance at December 31, 2010 1,559 396 — 32 40 2,027
Actual return on plan assets:
Related to assets still held at the reporting date 36 20 (8) 3 (10) 41
Related to assets sold during the period 42 5 — (6) 12 53
Purchases and settlements, net (17) 3 440 6 (31) 401
Balance at December 31, 2011 $ 1,620 $ 424 $ 432 $ 35 $ 11 $ 2,522
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