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. Currency transactions are classified as effective hedge relationships if they have sufficient coefficients of determination and slope factors.
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NOTIONAL AMOUNT OF DERIVATIVES |
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|---|---|---|---|---|---|---|---|---|---|---|
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Remaining term |
Total notional amount |
Total notional amount | |||||||
|
€ million |
under |
within one to five years |
over |
Dec. 31, 2009 |
Dec. 31, 2008 | |||||
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Notional amount of hedging instruments used in cash flow hedges: |
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Interest rate swaps |
3,848 |
6,297 |
875 |
11,020 |
15,321 | |||||
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Currency forwards |
13,199 |
7,410 |
72 |
20,681 |
19,800 | |||||
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Currency options |
374 |
3,310 |
– |
3,685 |
14,856 | |||||
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Currency swaps |
1,508 |
36 |
– |
1,543 |
1,672 | |||||
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Cross-currency swaps |
193 |
2,297 |
143 |
2,633 |
– | |||||
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Commodity futures contracts |
272 |
649 |
72 |
994 |
697 | |||||
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Notional amount of other derivatives: |
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Interest rate swaps |
14,496 |
25,636 |
689 |
40,820 |
42,300 | |||||
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Interest rate option contracts |
93 |
102 |
67 |
262 |
– | |||||
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Currency forwards |
1,077 |
237 |
– |
1,314 |
5,238 | |||||
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Currency swaps |
4,529 |
1,154 |
– |
5,683 |
4,802 | |||||
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Cross-currency swaps |
706 |
2,406 |
– |
3,112 |
1,458 | |||||
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Commodity futures contracts |
198 |
176 |
– |
373 |
431 | |||||
In addition to the derivatives used for hedging foreign currency, interest rate and price risk, at the reporting date the Group held options on equity instruments with a notional amount of €11.1 billion whose remaining maturity is more than one year.
The hedged items in 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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in % |
EUR |
USD |
GBP |
MXN |
RUB |
SEK |
CZK |
CHF |
JPY | |||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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Interest rate |
0.994 |
0.430 |
0.839 |
4.840 |
7.460 |
0.698 |
1.820 |
0.338 |
0.480 | |||||||||
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Interest rate |
1.248 |
0.984 |
1.248 |
5.060 |
7.360 |
1.005 |
2.130 |
0.638 |
0.694 | |||||||||
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Interest rate |
2.805 |
2.929 |
3.390 |
7.239 |
7.950 |
2.850 |
2.990 |
1.710 |
0.696 | |||||||||
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Interest rate |
3.598 |
3.918 |
4.088 |
7.965 |
8.200 |
3.583 |
3.520 |
2.500 |
1.408 |
