BP 2008 Annual Report Download - page 155
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BP Annual Report and Accounts 2008
Notes on financial statements
34. Derivative financial instruments continued
Embedded derivative assets have the following fair values when 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 – –––––
Prices sourced from observable data or market corroboration 35 – – – – – 35
Prices based on models and other valuation methods 15 116 75 45 36 75 362
50 116 75 45 36 75 397
$ 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 – – – – – – –
Prices sourced from observable data or market corroboration 61 – – – – – 61
Prices based on models and other valuation methods 132 18 15 7 10 12 194
193 18 15 7 10 12 255
Embedded derivative liabilities have the following fair values when 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 – –––––
Prices sourced from observable data or market corroboration (10) – – – – – (10)
Prices based on models and other valuation methods (394) (322) (365) (303) (271) (599) (2,254)
(404) (322) (365) (303) (271) (599) (2,264)
$ 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 – – – – – – –
Prices sourced from observable data or market corroboration – – – – – – –
Prices based on models and other valuation methods (587) (437) (299) (244) (219) (587) (2,373)
(587) (437) (299) (244) (219) (587) (2,373)
The net change in fair value of contracts based on models and other valuation methods during the year is a gain of $287 million (2007 gain of
$18 million and 2006 gain of $423 million).
The fair value gain (loss) on embedded derivatives is shown below.
$ million
2008 2007 2006
Commodity price embedded derivatives (106) – 604
Interest rate embedded derivatives (5) (7) 4
Fair value (loss) gain (111) (7) 608
The fair value gain (loss) in the above table includes $496 million of exchange gains (2007 $12 million of exchange losses and 2006 $179 million of
exchange losses) arising on contracts that are denominated in a currency other than the functional currency of the individual operating unit.
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