BP 2012 Annual Report Download - page 232

33. Derivative financial instruments continued
The following table shows the fair value of derivative assets and derivative liabilities held for trading, analysed by maturity period and by methodology of
fair value estimation.
IFRS 7 ‘Financial Instruments: Disclosures’ sets out a fair value hierarchy which consists of three levels that describe the methodology of estimation as
follows:
Level 1 – using quoted prices in active markets for identical assets or liabilities.
Level 2 – using inputs for the asset or liability, other than quoted prices, that are observable either directly (i.e. as prices) or indirectly (i.e. derived from
prices).
Level 3 – using inputs for the asset or liability that are not based on observable market data such as prices based on internal models or other valuation
methods.
This information is presented on a gross basis, that is, before netting by counterparty.
$ million
2012
Less than
1 year 1-2 years 2-3 years 3-4 years 4-5 years
Over
5 years Total
Fair value of derivative assets
Level 1 187 6 – – – – 193
Level 2 3,766 1,088 520 216 46 10 5,646
Level 3 302 184 137 136 136 478 1,373
4,255 1,278 657 352 182 488 7,212
Less: netting by counterparty (1,500) (264) (87) (10) (7) (2) (1,870)
2,755 1,014 570 342 175 486 5,342
Fair value of derivative liabilities
Level 1 (189) – – – – – (189)
Level 2 (3,476) (810) (315) (78) (19) (28) (4,726)
Level 3 (144) (104) (99) (100) (84) (405) (936)
(3,809) (914) (414) (178) (103) (433) (5,851)
Less: netting by counterparty 1,500 264 87 10 7 2 1,870
(2,309) (650) (327) (168) (96) (431) (3,981)
Net fair value 446 364 243 174 79 55 1,361
$ million
2011a
Less than
1 year 1-2 years 2-3 years 3-4 years 4-5 years
Over
5 years Total
Fair value of derivative assets
Level 1 229 18 5 – – – 252
Level 2 6,526 1,724 639 268 80 8 9,245
Level 3 338 305 262 221 170 500 1,796
7,093 2,047 906 489 250 508 11,293
Less: netting by counterparty (3,335) (574) (126) (64) (3) (3) (4,105)
3,758 1,473 780 425 247 505 7,188
Fair value of derivative liabilities
Level 1 (168) (49) – – – – (217)
Level 2 (5,652) (1,499) (412) (163) (20) (7) (7,753)
Level 3 (190) (164) (157) (148) (112) (383) (1,154)
(6,010) (1,712) (569) (311) (132) (390) (9,124)
Less: netting by counterparty 3,335 574 126 64 3 3 4,105
(2,675) (1,138) (443) (247) (129) (387) (5,019)
Net fair value 1,083 335 337 178 118 118 2,169
aThe presentation of certain comparative data for 2011 before netting has been amended.
230 Financial statements
BP Annual Report and Form 20-F 2012