Delta Airlines 2015 Annual Report Download - page 74

TableofContents
CashEquivalentsandRestrictedCashEquivalentsandInvestments.Cashequivalentsgenerallyconsistofmoneymarketfunds.Restrictedcashequivalentsand
investmentsgenerallyconsistofmoneymarketfundsandtimedeposits,whichprimarilysupportlettersofcreditthatrelatetocertainprojectedself-insurance
obligationsandairportcommitments.Thefairvalueoftheseinvestmentsisbasedonamarketapproachusingpricesandotherrelevantinformationgeneratedby
markettransactionsinvolvingidenticalorcomparableassets.
Short-TermInvestments.Thefairvaluesofshort-terminvestmentsarebasedonamarketapproachusingindustrystandardvaluationtechniquesthatincorporate
observableinputssuchasquotedmarketprices,interestrates,benchmarkcurves,creditratingsofthesecurityandotherobservableinformation.
Long-TermInvestments.Ourlong-terminvestmentsthataremeasuredatfairvalueprimarilyconsistofequityinvestmentsinGrupoAeroméxico,theparent
companyofAeroméxico,andGOLLinhasAéreasInteligentes,theparentcompanyofVRGLinhasAéreas(operatingasGOL).Sharesoftheparentcompaniesof
AeroméxicoandGOLaretradedonpublicexchangesandwehavevaluedourinvestmentsbasedonquotedmarketprices.Theinvestmentsareclassifiedinother
noncurrentassets.
HedgeDerivatives.Aportionofourderivativecontractsarenegotiatedover-the-counterwithcounterpartieswithoutgoingthroughapublicexchange.
Accordingly,ourfairvalueassessmentsgiveconsiderationtotheriskofcounterpartydefault(aswellasourowncreditrisk).SuchcontractsareclassifiedasLevel
2withinthefairvaluehierarchy.Theremainderofourhedgecontractsarecomprisedoffuturescontracts,whicharetradedonapublicexchange.Thesecontracts
areclassifiedwithin
Level1ofthefairvaluehierarchy.
•FuelContracts.Ourfuelhedgeportfolioconsistsofoptions,swapsandfutures.Thehedgecontractsincludecrudeoil,dieselfuelandjetfuel,asthese
commoditiesarehighlycorrelatedwiththepriceofjetfuelthatweconsume.Optioncontractsarevaluedunderanincomeapproachusingoptionpricing
modelsbasedondataeitherreadilyobservableinpublicmarkets,derivedfrompublicmarketsorprovidedbycounterpartieswhoregularlytradeinpublic
markets.Volatilitiesusedinthesevaluationsrangedfrom31%to53%dependingonthematuritydates,underlyingcommoditiesandstrikepricesofthe
optioncontracts.Swapcontractsarevaluedunderanincomeapproachusingadiscountedcashflowmodelbasedondataeitherreadilyobservableor
providedbycounterpartieswhoregularlytradeinpublicmarkets.Discountratesusedinthesevaluationsvarywiththematuritydatesoftherespective
contractsandarebasedontheLondoninterbankofferedrate("LIBOR").Futurescontractsandoptionsonfuturescontractsaretradedonapublicexchange
andvaluedbasedonquotedmarketprices.
•InterestRateContract.Ourinterestratederivativeisaswapcontract,whichisvaluedbasedondatareadilyobservableinpublicmarkets.
•ForeignCurrencyExchangeContracts.OurforeigncurrencyderivativesconsistofJapaneseyenandCanadiandollarforwardcontractsandarevalued
basedondatareadilyobservableinpublicmarkets.
NOTE3.INVESTMENTS
Short-Term Investments
Theestimatedfairvaluesofshort-terminvestments,whichapproximatecostatDecember31,2015,areshownbelowbycontractualmaturity.Actual
maturitiesmaydifferfromcontractualmaturitiesbecauseissuersofthesecuritiesmayhavetherighttoretireourinvestmentswithoutprepaymentpenalties.
(inmillions)
Available-
For-Sale
Dueinoneyearorless $ 344
Dueafteroneyearthroughthreeyears 905
Dueafterthreeyearsthroughfiveyears 116
Dueafterfiveyears 100
Total $ 1,465
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