132 Consolidated  Notes to the  Financial  Statements Note 53 – Financial instruments (continued) (f) Foreign currency risk management Forward foreign exchange contracts – cash flow hedges Cross currency swap contracts The fair value of cross currency swaps at 30 June 2012 was a liability of $20.4 million (2011: $85.9 million), of which $20.1 million  (2011: $22.4 million) is in a cash flow hedge relationship and $0.3 million (2011: $63.5 million) is in a fair value hedge relationship. Under cross currency swap contracts, the consolidated entity has agreed to exchange specified foreign currency loan principal and interest  amounts at agreed future dates at fixed exchange rates. Such contracts enable the consolidated entity to eliminate the risk of movements  in foreign exchange rates related to foreign currency denominated borrowings. The following table details the forward foreign exchange contracts outstanding at the end of the reporting period: When a forecast transaction is no longer expected to occur, the gain or loss accumulated in equity is recognised immediately to profit  or loss. During the year, no hedges were de-designated and all underlying forecast transactions remain highly probable to occur as per  original forecast. The gain or loss from remeasuring the hedging instruments at fair value is recognised in other comprehensive income, to the extent that the  hedge is effective. The gain or loss relating to the ineffective portion of the hedge is recognised immediately in profit or loss as part of other  income or other expenses. When the anticipated purchase occurs, amounts previously recognised in other comprehensive income and  accumulated in equity in the hedging reserve are transferred and included in the initial measurement of the cost of plant and equipment.  These anticipated purchases are expected to occur at various dates between one month and one year from the reporting date. The  contracts are timed to mature when payments for the purchases are scheduled to be made. When necessary, forward foreign exchange  contracts are rolled over at maturity. The consolidated entity has entered into contracts to purchase plant and equipment denominated in United States dollars and Euros. The  consolidated entity has entered into forward foreign exchange contracts to hedge the exchange rate risk arising from these anticipated  future purchases, which are designated as cash flow hedges. The consolidated entity’s Corporate Treasury policy requires the hedging of foreign currency risk using forward foreign exchange contracts.  The Corporate Treasury’s policy is to hedge currency exposures of anticipated cash flows in excess of $0.5 million and to not enter into  forward foreign exchange contracts until a firm commitment is in place. The consolidated entity undertakes certain transactions denominated in foreign currencies; consequently, exposures to exchange rate  fluctuations arise. Foreign currency risk arises primarily from overseas term borrowings and firm commitments for the purchase of plant and  equipment which are denominated in foreign currencies. Exchange rate exposures are managed within approved policy parameters utilising  forward foreign exchange contracts and cross currency swap contracts. Average exchange rate Foreign currency Contract value Fair value Outstanding contracts 2012 2011 2012 FCm  2011 FCm  2012  $m 2011  $m 2012  $m 2011  $m Cash flow hedges Buy US dollars Less than 6 months 0.993  1.034  43.5  21.0  43.8  20.4  (2.3) (0.3) 6 to 12 months 0.978  0.874  18.0  51.2  18.4  58.5  (0.4) (8.6) 1 to 2 years  –  0.960  –  28.9  –  30.1  –  (1.3) Buy Euro Less than 6 months 0.635  0.654  23.7  153.0  37.3  234.0  (7.9) (23.8) 6 to 12 months –  0.643  –  147.9  –  230.0  –  (24.0) 1 to 2 years  –  0.635  –  4.0  –  6.4  –  (0.7) (10.6) (58.7)