BP 2008 Annual Report Download - page 153

BP Annual Report and Accounts 2008
Notes on financial statements
34. Derivative financial instruments continued
$ million
2007
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Currency derivatives (145) (99) (32) (16) (15) (10) (317)
Oil price derivatives (2,735) (512) (135) (25) (22) (3) (3,432)
Natural gas price derivatives (2,089) (527) (298) (219) (185) (704) (4,022)
Power price derivatives (832) (246) (61) (1) – – (1,140)
(5,801) (1,384) (526) (261) (222) (717) (8,911)
The following table shows the fair value of derivative assets held for trading, analysed by maturity period and by methodology of fair value estimation.
$ million
2008
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Prices actively quoted 40 43 30 7 6 2 128
Prices sourced from observable data or market corroboration 7,628 1,614 553 361 190 56 10,402
Prices based on models and other valuation methods 471 132 121 117 108 625 1,574
8,139 1,789 704 485 304 683 12,104
$ million
2007
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Prices actively quoted 169 53 49 3 – 2 276
Prices sourced from observable data or market corroboration 5,417 1,174 363 225 140 – 7,319
Prices based on models and other valuation methods 83 199 92 99 103 729 1,305
5,669 1,426 504 327 243 731 8,900
The following table shows the fair value of derivative liabilities held for trading, analysed by maturity period and by methodology of fair value estimation.
$ million
2008
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Prices actively quoted (227) – (2) – (13) – (242)
Prices sourced from observable data or market corroboration (6,997) (1,482) (365) (209) (182) (27) (9,262)
Prices based on models and other valuation methods (335) (123) (127) (124) (111) (585) (1,405)
(7,559) (1,605) (494) (333) (306) (612) (10,909)
$ million
2007
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Prices actively quoted (50) (50) – (1) (9) (1) (111)
Prices sourced from observable data or market corroboration (5,629) (1,116) (420) (143) (103) – (7,411)
Prices based on models and other valuation methods (122) (218) (106) (117) (110) (716) (1,389)
(5,801) (1,384) (526) (261) (222) (717) (8,911)
Prices actively quoted refers to the fair value of contracts valued solely using quoted prices in an active market. Prices sourced from observable data or
market corroboration refers to the fair value of contracts valued in part using active quotes and in part using observable, market-corroborated data, for
example, swaps and physical forward contracts. Prices based on models and other valuation methods refers to the fair value of a contract valued in
part using internal models due to the absence of quoted prices, including over-the-counter options. The net change in fair value of contracts based on
models and other valuation methods during the year was a gain of $253 million (2007 $94 million loss and 2006 $117 million loss).
Gains and losses relating to derivative contracts are included either within sales and other operating revenues or within purchases in the
income statement depending upon the nature of the activity and type of contract involved. The contract types treated in this way include futures,
options, swaps and certain forward sales and forward purchases contracts. Gains or losses arise on contracts entered into for risk management
purposes, optimization activity and entrepreneurial trading. They also arise on certain contracts that are for normal procurement or sales activity for the
group but that are required to be fair valued under accounting standards. Also included within sales and other operating revenues are gains and losses
on inventory held for trading purposes. The total amount relating to all of these items was a gain of $6,721 million (2007 $376 million gain and 2006
$2,842 million gain).
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