Volkswagen Financial Services N.V.
37
23. Financial instruments
The company uses derivatives to manage interest and FX exposures that arise as result of
mismatches between the loans issued in the capital markets and loans issued to VWAG Group
companies and affiliated. On this basis the fair value changes in derivatives are primarily driven by
changes in the applicable currencies and related interest curves. The main currencies and interest
zones applicabe are GBP and USD as well as NOK, SEK, USD, PLN, KRW, TRY and JPY.
The company applies hedge accounting for all derivatives except for short-term FX forwards relating
to interest positions. The current hedges are all 100% effective during the year.
The financial instruments of the Company had the following notional amounts:
Up to 1 year 1 to 5 years More than 5
years
Total
EUR’000 EUR’000 EUR’000 EUR’000
31 December 2021
Interest rate swaps 984,413 2,581,005 416,667 3,982,085
Cross currency Interest rate swaps 1,317,331 1,124,508 - 2,441,839
Foreign exchange contracts 392,091 6,025 - 398,116
Total notional amounts 2,693,835 3,711,538 416,667 6,822,040
31 December 2020
Interest rate swaps 1,309,851 2,878,040 - 4,187,891
Cross currency Interest rate swaps 520,881 1,867,064 - 2,387,945
Foreign exchange contracts 964,653 5,267 - 969,920
Total notional amounts 2,795,385 4,750,371 - 7,545,756
The financial instruments of the Company had the following positive or negative fair values.
The values are shown as Dirty Prices, i.e. including accrued interest.
Interest rate
swaps
Cross
currency
Interest rate
swaps
Foreign
exchange
contracts
Total
EUR’000 EUR’000 EUR’000 EUR’000
31 December 2021
Positive fair value 10,912 13,307 274 24,493
Negative fair value (50,498) (76,346) (11,143) (137,987)
Total market value (39,586) (63,039) (10,869) (113,494)
31 December 2020
Positive fair value 85,034 49,502 13,026 147,562
Negative fair value - (39,453) (12,527) (51,981)
Total fair value 85,034 10,049 499 95,581