BP 2006 Annual Report Download - page 64

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The fair values for the foreign exchange contracts in the table below are based on market prices of comparable instruments (forwards) and pricing
models that take into account relevant market data (options). These derivative contracts constitute a hedge; changes in the fair value or expected cash
flows are offset by an opposite change in the market value or expected cash flows of the asset, liability or transaction being hedged.
$million
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Notional amount by expected maturity date 2007 2008 2009 2010 2011
Beyond
2011 Total
Fair value
asset/
(liability)
------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
At 31 December 2006
Forwards
Receive sterling/pay US dollars
Contract amount 630 66 9 6 6 16 733 82
Weighted average contractual exchange rate 1.76
Receive sterling/pay euro
Contract amount ––––––––
Weighted average contractual exchange rate
Receive euro/pay US dollars
Contract amount 95713653391,113102
Weighted average contractual exchange rate 1.24
Cylinders
Receive sterling/pay US dollars
Purchased call
Contract amount 1,685–––––1,68514
Weighted average strike price 1.97
Sold put
Contract amount 1,685–––––1,685–
Weighted average strike price 1.89
Receive euro/pay US dollars
Purchased call
Contract amount 992–––––992–
Weighted average strike price 1.35
Sold put
Contract amount 992–––––992–
Weighted average strike price 1.27
Weighted average contractual exchange rates are expressed as US dollars per non-US dollar currency unit.
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