Delta Airlines 2011 Annual Report Download - page 70

Download and view the complete annual report

Please find page 70 of the 2011 Delta Airlines annual report below. You can navigate through the pages in the report by either clicking on the pages listed below, or by using the keyword search tool below to find specific information within the annual report.

Page out of 144

  • 1
  • 2
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • 14
  • 15
  • 16
  • 17
  • 18
  • 19
  • 20
  • 21
  • 22
  • 23
  • 24
  • 25
  • 26
  • 27
  • 28
  • 29
  • 30
  • 31
  • 32
  • 33
  • 34
  • 35
  • 36
  • 37
  • 38
  • 39
  • 40
  • 41
  • 42
  • 43
  • 44
  • 45
  • 46
  • 47
  • 48
  • 49
  • 50
  • 51
  • 52
  • 53
  • 54
  • 55
  • 56
  • 57
  • 58
  • 59
  • 60
  • 61
  • 62
  • 63
  • 64
  • 65
  • 66
  • 67
  • 68
  • 69
  • 70
  • 71
  • 72
  • 73
  • 74
  • 75
  • 76
  • 77
  • 78
  • 79
  • 80
  • 81
  • 82
  • 83
  • 84
  • 85
  • 86
  • 87
  • 88
  • 89
  • 90
  • 91
  • 92
  • 93
  • 94
  • 95
  • 96
  • 97
  • 98
  • 99
  • 100
  • 101
  • 102
  • 103
  • 104
  • 105
  • 106
  • 107
  • 108
  • 109
  • 110
  • 111
  • 112
  • 113
  • 114
  • 115
  • 116
  • 117
  • 118
  • 119
  • 120
  • 121
  • 122
  • 123
  • 124
  • 125
  • 126
  • 127
  • 128
  • 129
  • 130
  • 131
  • 132
  • 133
  • 134
  • 135
  • 136
  • 137
  • 138
  • 139
  • 140
  • 141
  • 142
  • 143
  • 144

We also have exposure to market risk from adverse changes in interest rates associated with our cash and cash equivalents and benefit plan obligations.
Market risk associated with our cash and cash equivalents relates to the potential decline in interest income from a decrease in interest rates. Pension,
postretirement, postemployment, and worker's compensation obligation risk relates to the potential increase in our future obligations and expenses from a
decrease in interest rates used to discount these obligations.
Foreign Currency Exchange Rate 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. These foreign
currency exchange contracts are designated as cash flow hedges.
Hedge Position
The following tables reflect the fair value asset (liability) positions, notional balances and maturity dates of our hedge contracts:
As of December 31, 2011:
(in millions) Notional Balance Final Maturity
Date Prepaid Expenses
and Other Assets Other Noncurrent
Assets Other Accrued
Liabilities Other Noncurrent
Liabilities Hedge Derivatives,
net
Designated as
hedges
Interest rate
contracts (cash
flow hedges)
$ 989 U.S. dollars May 2019 $ — $ — $ (27) $ (57) $ (84)
Interest rate
contracts (fair
value hedges)
$ 500 U.S. dollars August 2022 — — — (7) (7)
Foreign currency
exchange
contracts
126,993 Japanese yen April 2014 7 5 (58) (43) (89)
313 Canadian
dollars
Not designated as
hedges
Fuel hedge
contracts
1,225 gallons -
heating oil,
crude oil, and
jet fuel
December
2012
570 — (500) — 70
Total derivative contracts $ 577 $ 5 $ (585) $ (107) $ (110)
As of December 31, 2010:
(in millions) Notional Balance Final Maturity
Date Prepaid Expenses
and Other Assets Other Noncurrent
Assets Other Accrued
Liabilities Other Noncurrent
Liabilities Hedge Derivatives,
net
Designated as
hedges
Fuel hedge
contracts
1,500 gallons - crude
oil
February 2012 $ 328 $ 24 $ — $ — $ 352
Interest rate
contracts (cash
flow hedges)
$ 1,143 U.S. dollars May 2019 — — (35) (39) (74)
Foreign currency
exchange
contracts
141,100 Japanese yen November
2013
— — (60) (36) (96)
233 Canadian
dollars
Not designated as
hedges
Fuel hedge
contracts
192 gallons - crude
oil and crude
oil products
June 2012 27 14 (19) (8) 14
Total derivative contracts $ 355 $ 38 $ (114) $ (83) $ 196
62