In the Volkswagen Group, hedge effectiveness is assessed prospectively using the critical terms match method and using statistical methods in the form of a regression analysis. Retrospective analysis of effectiveness uses effectiveness tests in the form of the dollar offset method or a regression analysis.

Under the dollar offset method, the changes in value of the hedged item expressed in monetary units are compared with the changes in value of the hedging instrument expressed in monetary units.

Where regression analysis is used, the change in value of the hedged item is presented as an independent variable, and that of the hedging instrument as a dependent variable. Hedge relationships are classified as effective if they have sufficient coefficients of determination and slope factors.

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NOTIONAL AMOUNT OF DERIVATIVES

 

 

 

 

 

 

Remaining term

 

Total notional amount

 

Total notional amount

€ million

 

under one year

 

within one to five years

 

over five years

 

Dec. 31, 2011

 

Dec. 31, 2010

Notional amount of hedging instruments used in cash flow hedges:

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

1,809

 

6,930

 

215

 

8,954

 

7,676

Currency forwards

 

31,094

 

42,024

 

 

73,118

 

54,827

Currency options

 

267

 

545

 

 

812

 

2,007

Currency swaps

 

318

 

328

 

 

647

 

2,950

Cross-currency swaps

 

567

 

884

 

135

 

1,586

 

3,045

Commodity futures contracts

 

244

 

890

 

 

1,133

 

933

Notional amount of other derivatives:

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

19,236

 

31,432

 

1,164

 

51,832

 

40,477

Interest rate option contracts

 

 

22

 

40

 

63

 

40

Currency forwards

 

5,114

 

2,060

 

1

 

7,175

 

2,188

Other currency options

 

127

 

28

 

20

 

175

 

Currency swaps

 

4,757

 

10

 

 

4,768

 

3,119

Cross-currency swaps

 

3,153

 

4,390

 

17

 

7,560

 

6,282

Commodity futures contracts

 

1,172

 

1,599

 

 

2,771

 

918

In addition to the derivatives used for hedging foreign currency, interest rate and price risk, the Group held options and other derivatives on equity instruments at the reporting date whose remaining maturity of under one year with a notional amount of €1.5 billion (previous year: €3.5 billion), and options on equity instruments whose remaining maturity is more than one year with a notional amount of €7.8 billion (previous year: €9.1 billion). This mainly relates to options on the oustanding shares of Porsche Zwischenholding GmbH.

In fiscal year 2010, cash flow hedges with a notional amount of €1.7 billion were discontinued due to the early repayment of an intragroup loan and a reduction in projections. €4 million from the cash flow hedge reserve was transferred to the financial result, reducing earnings.

Items hedged under cash flow hedges are expected to be realized in accordance with the maturity buckets of the hedges reported in the table.

The fair values of the derivatives are estimated using market data at the balance sheet date as well as by appropriate valuation techniques. The following term structures were used for the calculation:

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as %

 

EUR

 

GBP

 

USD

 

CNY

 

CHF

 

JPY

 

SEK

 

RUB

 

AUD

Interest rate for six months

 

1.6170

 

1.3758

 

0.8085

 

5.4260

 

0.0942

 

0.3357

 

2.7300

 

7.3300

 

4.7160

Interest rate for one year

 

1.9470

 

1.8707

 

1.1281

 

5.2378

 

0.3250

 

0.5543

 

2.9000

 

7.3500

 

4.8840

Interest rate for five years

 

1.7380

 

1.5620

 

1.2555

 

3.5350

 

0.5680

 

0.4725

 

1.9550

 

7.5700

 

4.3000

Interest rate for ten years

 

2.3925

 

2.2940

 

2.0395

 

3.6350

 

1.2180

 

0.9820

 

2.2900

 

7.7700

 

4.5750

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