UPS 2009 Annual Report Download - page 115

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UNITED PARCEL SERVICE, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS—(Continued)
effectively lock a portion of our interest rate exposure between the time the agreement is entered into and the
date when the debt offering is completed, thereby mitigating the impact of interest rate changes on future interest
expense. These derivatives are settled commensurate with the issuance of the debt, and any gain or loss upon
settlement is amortized as an adjustment to the effective interest yield on the debt.
Outstanding Positions
As of December 31, 2009, the notional amounts of our outstanding derivative positions were as follows:
Notional Value
(in millions)
Currency Hedges:
Euro .......................................................... €1,372
British Pound Sterling ............................................ £ 692
Canadian Dollar ................................................ C$ 228
Interest Rate Hedges:
Fixed to Floating Interest Rate Swaps ............................... $ 3,751
Floating to Fixed Interest Rate Swaps ............................... $ 28
As of December 31, 2009, we had no outstanding commodity hedge positions. The maximum term over
which we are hedging exposures to the variability of cash flow is 41 years.
Balance Sheet Recognition
The following table indicates the location on the balance sheet in which our derivative assets and liabilities
have been recognized, and the related fair values of those derivatives (in millions). The table is segregated
between those derivative instruments that qualify and are designated as hedging instruments and those that are
not, as well as by type of contract and whether the derivative is in an asset or liability position.
Asset Derivatives Balance Sheet Location
December 31, 2009
Fair Value
Derivatives designated as hedges:
Foreign exchange contracts ........... Other current assets $ 63
Interest rate contracts ................ Other non-current assets 74
Total Asset Derivatives .......... $137
Liability Derivatives Balance Sheet Location
December 31, 2009
Fair Value
Derivatives designated as hedges:
Foreign exchange contracts ........... Other non-current liabilities $ (51)
Interest rate contracts ................ Other non-current liabilities (13)
Derivatives not designated as hedges:
Interest rate contracts ................ Other non-current liabilities (2)
Total Liability Derivatives ........ $(66)
103