UPS 2015 Annual Report Download - page 133
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UNITED PARCEL SERVICE, INC. AND SUBSIDIARIES
NOTES TO CONSOLIDATED FINANCIAL STATEMENTS
121
Fair Value Measurements
Our foreign currency, interest rate and investment market price derivatives are largely comprised of over-the-counter
derivatives, which are primarily valued using pricing models that rely on market observable inputs such as yield curves, currency
exchange rates and commodity forward prices, and therefore are classified as Level 2. The fair values of our derivative assets and
liabilities as of December 31, 2015 and 2014 by hedge type are as follows (in millions):
Quoted Prices in
Active Markets
for
Identical Assets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3) Total
2015
Assets:
Foreign Exchange Contracts $ — $ 502 $ — $ 502
Investment Market Price Contracts —5— 5
Interest Rate Contracts — 261 — 261
Total $ — $ 768 $ — $ 768
Liabilities:
Foreign Exchange Contracts $ —$ 12$ —$ 12
Investment Market Price Contracts —9— 9
Interest Rate Contracts —32— 32
Total $ —$ 53$ —$ 53
Quoted Prices in
Active Markets
for
Identical Assets
(Level 1)
Significant
Other
Observable
Inputs
(Level 2)
Significant
Unobservable
Inputs
(Level 3) Total
2014
Assets:
Foreign Exchange Contracts $ — $ 435 $ — $ 435
Investment Market Price Contracts ——— —
Interest Rate Contracts — 286 — 286
Total $ — $ 721 $ — $ 721
Liabilities:
Foreign Exchange Contracts $ —$ 34$ —$ 34
Investment Market Price Contracts ——— —
Interest Rate Contracts —43— 43
Total $ —$ 77$ —$ 77