BP 2009 Annual Report Download - page 158
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BP Annual Report and Accounts 2009
Notes on financial statements
31. Derivative financial instruments continued
–
–
–
–
–
–
156
Embedded derivative liabilities have the following fair values and maturities.
$ million
2009
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Commodity price embedded derivatives (154) (236) (231) (227) (232) (388) (1,468)
$ million
2008
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Commodity price embedded derivatives (404) (322) (365) (303) (271) (599) (2,264)
The following table shows the fair value of embedded derivative assets and liabilities analysed by maturity period and by methodology of fair value
estimation.
$ million
2009
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Fair value of embedded derivative assets
Level 1 – –––––
Level 2 – –––––
Level 3 134 – – – – 3 137
134 – – – – 3 137
Fair value of embedded derivative liabilities
Level 1 – –––––
Level 2 – –––––
Level 3 (154) (236) (231) (227) (232) (388) (1,468)
(154) (236) (231) (227) (232) (388) (1,468)
Net fair value (20) (236) (231) (227) (232) (385) (1,331)
$ million
2008
Less than Over
1 year 1-2 years 2-3 years 3-4 years 4-5 years 5 years Total
Fair value of embedded derivative assets
Level 1 – –––––
Level 2 35 – – – – – 35
Level 3 15 116 75 45 36 75 362
50 116 75 45 36 75 397
Fair value of embedded derivative liabilities
Level 1 – –––––
Level 2 (10) – – – – – (10)
Level 3 (394) (322) (365) (303) (271) (599) (2,254)
(404) (322) (365) (303) (271) (599) (2,264)
Net fair value (354) (206) (290) (258) (235) (524) (1,867)