BP 2006 Annual Report Download - page 65

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$million
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Notional amount by expected maturity date 2006 2007 2008 2009 2010
Beyond
2010 Total
Fair value
asset/
liability
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
At 31 December 2005
Forwards
Receive sterling/pay US dollars
Contract amount 1,749 128 25 6 5 22 1,935 (66)
Weighted average contractual exchange rate 1.78
Receive sterling/pay euro
Contract amount 671––––681
Weighted average contractual exchange rate £0.70
Receive euro/pay US dollars
Contract amount 1,253 102 26 11 8 30 1,430 (13)
Weighted average contractual exchange rate 1.22
Cylinders
Receive sterling/pay US dollars
Purchased call
Contract amount 717–––––7173
Weighted average strike price 1.84
Sold put
Contract amount 717–––––717(27)
Weighted average strike price 1.77
Receive Euro/pay US dollars
Purchased call
Contract amount 706–––––7063
Weighted average strike price 1.29
Sold put
Contract amount 706–––––706(23)
Weighted average strike price 1.21
Purchased call options
Receive sterling/pay US dollars
Contract amount 533–––––5330
Weighted average strike price 1.97
Receive euro/pay US dollars
Contract amount 207–––––2070
Weighted average strike price 1.42
Weighted average contractual exchange rates are expressed as US dollars per non-US dollar currency unit.
Interest rate risk
BP is exposed to interest rate risk on short- and long-term floating rate
instruments and as a result of the refinancing of fixed rate finance debt.
The group is exposed predominantly to US dollar LIBOR (London Inter-
Bank Offer Rate) interest rates as borrowings are mainly denominated in,
or are swapped into, US dollars. To manage the balance between fixed
and floating rate debt, the group enters into interest rate and cross-
currency swaps in which the group agrees to exchange, at specified
intervals, the difference between fixed and variable rate interest amounts
calculated by reference to an agreed notional principal amount. The
proportion of floating rate debt at 31 December 2006 was 73% of total
finance debt outstanding.
BP Annual Report and Accounts 2006 63