BP 2007 Annual Report Download - page 149
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BP ANNUAL REPORT AND ACCOUNTS 2007 147
34 Derivative financial instruments continued
The following table shows the changes during the year in the net fair value of embedded derivatives.
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2007 2006
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Natural gas Natural gas
and LNG Interest and LNG Interest
price rate price rate
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Fair value of contracts at 1 January (2,064) (26) (2,511) (30)
Contracts realized or settled in the year 449 – 762 –
Changes in valuation techniques or key assumptions 130 – –
Changes in fair values relating to price (567) (7) 21 4
Exchange adjustments (33) – (336) –
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Fair value of contracts at 31 December (2,085) (33) (2,064) (26)
Embedded derivative assets have the following fair values and maturities.
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2007
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Natural gas and LNG embedded derivatives 193 18 15 7 10 12 255
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2006
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Natural gas and LNG embedded derivatives 4958––––
Embedded derivative liabilities have the following fair values and maturities.
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2007
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Natural gas and LNG embedded derivatives (554) (437) (299) (244) (219) (587) (2,340)
Interest rate embedded derivatives (33)–––––
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
(587) (437) (299) (244) (219) (587) (2,373)
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2006
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
Natural gas and LNG embedded derivatives (444) (433) (320) (218) (186) (570) (2,171)
Interest rate embedded derivatives –(26)––––
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
(444) (459) (320) (218) (186) (570) (2,197)
The following tables show the net fair value of embedded derivatives at 31 December analysed by maturity period and by methodology of fair value
estimation.
$ 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–––––
Prices based on models and other valuation methods (455) (419) (284) (237) (209) (575) (2,179)
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
(394) (419) (284) (237) (209) (575) (2,118)
$ million
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
2006
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
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 4958––––
Prices based on models and other valuation methods (444) (459) (320) (218) (186) (570) (2,197)
--------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------------
(395) (401) (320) (218) (186) (570) (2,090)
The net change in fair value of contracts based on models and other valuation methods during the year is a gain of $18 million (2006 gain of
$423 million and 2005 loss of $1,773 million).
–
107
(33)
(26)
–
61
–
107