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.

  Download

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, 2012

 

Dec. 31, 2011

Notional amount of hedging instruments used in cash flow hedges:

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

1,232

 

4,735

 

 

5,967

 

8,954

Currency forwards

 

36,838

 

45,454

 

 

82,293

 

73,118

Currency options

 

4,284

 

8,696

 

 

12,980

 

812

Currency swaps

 

410

 

501

 

 

912

 

647

Cross-currency swaps

 

432

 

1,088

 

17

 

1,538

 

1,586

Commodity futures contracts

 

284

 

599

 

 

884

 

1,133

Notional amount of other derivatives:

 

 

 

 

 

 

 

 

 

 

Interest rate swaps

 

18,109

 

41,638

 

1,895

 

61,642

 

51,832

Interest rate option contracts

 

 

 

40

 

40

 

63

Currency forwards

 

6,392

 

1,001

 

1

 

7,394

 

7,175

Other currency options

 

254

 

30

 

7

 

290

 

175

Currency swaps

 

5,680

 

121

 

 

5,800

 

4,768

Cross-currency swaps

 

2,363

 

6,557

 

7

 

8,928

 

7,560

Commodity futures contracts

 

965

 

758

 

 

1,723

 

2,771

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 is under one year with a notional amount of €1.5 billion (previous year: €1.5 billion), and options on equity instruments whose remaining maturity is more than one year with a notional amount of €– billion (previous year: €7.8 billion). In the previous year, this mainly related to options on the outstanding shares of Porsche Holding Stuttgart.

Existing cash flow hedges in the notional amount of €76 million were discontinued because of a reduction in the projections. €3 million was transferred from the cash flow hedge reserve to the other financial result, increasing 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:

  Download

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

as %

 

EUR

 

USD

 

GBP

 

CNY

 

RUB

 

SEK

 

MXN

 

AUD

 

KRW

Interest rate for six months

 

0.3200

 

0.5083

 

0.6669

 

4.1000

 

7.6600

 

1.7275

 

4.3700

 

3.3700

 

2.9300

Interest rate for one year

 

0.5420

 

0.8435

 

1.0138

 

4.4002

 

7.3900

 

1.9425

 

4.5300

 

3.6820

 

2.9600

Interest rate for five years

 

0.7650

 

0.8215

 

1.0179

 

4.2100

 

7.4500

 

1.5230

 

5.1100

 

3.2900

 

2.8950

Interest rate for ten years

 

1.5650

 

1.7425

 

1.8630

 

4.2500

 

7.9700

 

2.0350

 

5.3450

 

3.8250

 

3.1225

top
nextprevious
Compare Key Figures
Create your personal
overview of important
key figures.