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ORBITZ WORLDWIDE, INC.
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS — (Continued)
84
12. Derivative Financial Instruments
Interest Rate Hedges
At December 31, 2011, we had the following interest rate swaps outstanding that effectively converted $300.0 million of
the Term Loan from a variable to a fixed interest rate. We pay a fixed interest rate on the swaps and in exchange receive a
variable interest rate based on either the three-month or the one-month LIBOR.
Notional Amount Effective Date Maturity Date
Fixed Interest
Rate Paid
Variable Interest
Rate Received
$100.0 million January 29, 2010 January 31, 2012 1.15% One-month LIBOR
$100.0 million January 29, 2010 January 31, 2012 1.21% Three-month LIBOR
$100.0 million July 29, 2011 July 31, 2013 0.68% One-month LIBOR
The following interest rate swap that effectively converted an additional $100.0 million of the Term Loan from a
variable to a fixed interest rate matured during the year ended December 31, 2011:
Notional Amount Effective Date Maturity Date
Fixed Interest
Rate Paid
Variable Interest
Rate Received
$100.0 million May 30, 2008 May 31, 2011 3.39% Three-month LIBOR
The objective of entering into our interest rate swaps is to protect against volatility of future cash flows and effectively
hedge a portion of the variable interest payments on the Term Loan. We determined that these designated hedging instruments
qualify for cash flow hedge accounting treatment. Our interest rate swaps are the only derivative financial instruments that we
have designated as hedging instruments.
The interest rate swaps are reflected in our consolidated balance sheets at market value. The corresponding market
adjustment was recorded to accumulated other comprehensive income. The following table shows the fair value of our interest
rate swaps:
Fair Value Measurements as of
Balance Sheet Location December 31, 2011 December 31, 2010
(in thousands)
Interest rate swaps. . . . . . . . . . . . . . . . . . Other current liabilities $ 275 $ 1,286
Interest rate swaps. . . . . . . . . . . . . . . . . . Other non-current liabilities $ 311 $ 1,631
The following table shows the market adjustments recorded during the years ended December 31, 2011, 2010, and 2009:
Gain/(Loss) in Other Comprehensive
Income (‘‘OCI”)
(Loss) Reclassified from Accumulated
OCI into Interest Expense (Effective
Portion)
Gain/(Loss) Recognized in Income
(Ineffective Portion and the Amount
Excluded from Effectiveness Testing)
Years Ended December 31, Years Ended December 31, Years Ended December 31,
2011 2010 2009 2011 2010 2009 2011 2010 2009
(in thousands)
Interest rate
swaps . . . . . . . . $ 2,329 $ 2,419 $ 9,520 $ (3,328)$(6,758)$
(13,909)$ —$ —$ —
The amount of loss recorded in accumulated other comprehensive income at December 31, 2011 that is expected to be
reclassified to interest expense in the next twelve months if interest rates remain unchanged is approximately $0.5 million after-
tax.
Foreign Currency Hedges
We enter into foreign currency contracts to manage our exposure to changes in the foreign currency associated with
foreign currency receivables, payables, intercompany transactions and borrowings under the Revolver. We primarily hedge our
foreign currency exposure to the Pound sterling, Swiss franc and Australian dollar. As of December 31, 2011, we had foreign