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28 Derivative financial instruments continued
The remaining contractual maturities of net settled and gross settled derivative financial instruments, based on their undiscounted
cash outflows, are analysed as follows:
Within Between Between Beyond
one one and two and five
year two years five years years
US$m US$m US$m US$m
2008
Net settled
– interest rate swaps and caps (9.8) (4.8) 0.3 1.8
Gross settled
– cross currency swaps (33.3) (33.3) (636.8) (505.8)
(43.1 ) (38.1 ) (636.5 ) (504.0 )
2007
Net settled
– interest rate swaps and caps (3.3) (1.3) 0.5 0.9
Gross settled
– forward foreign exchange contracts (99.6) – – –
– cross currency swaps (52.0) (51.8) (703.5) (527.3)
(154.9 ) (53.1 ) (703.0 ) (526.4 )
Forward foreign exchange contracts
There were no outstanding forward foreign exchange contracts at 31st December 2008 (2007: US$101.4 million).
Interest rate swaps and caps
The notional principal amounts of the outstanding interest rate swap and cap contracts at 31st December 2008 were
US$1,491.5 million (2007: US$1,385.5 million).
At 31st December 2008, the fixed interest rates relating to interest rate swaps and caps vary from 1.90% to 5.16% (2007: 2.59%
to 5.25%).
The fair values of interest rate swaps and caps are based on the estimated cash flows discounted at market rates ranging from
0.95% to 1.99% (2007: 2.5% to 4.0%) per annum.
Cross currency swaps
The contract amounts of the outstanding cross currency swap contracts at 31st December 2008 were US$1,100 million (2007:
US$1,100.0 million).
Annual Report 2008 49