Notes

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34 IFRS 7 (Financial Instruments)

The table below shows the carrying amounts of financial instruments by measurement category:

CARRYING AMOUNT OF FINANCIAL INSTRUMENTS BY IFRS 9 MEASUREMENT CATEGORY

€ million

 

Dec. 31, 2021

 

Dec. 31, 2020

 

 

 

 

 

Financial assets at fair value through profit or loss

 

22,998

 

21,898

Financial assets at fair value through other comprehensive income (debt instruments)

 

4,719

 

3,545

Financial assets at fair value through other comprehensive income (equity instruments)

 

687

 

152

Financial assets measured at amortized cost

 

157,770

 

151,497

of which classified as held for sale

 

142

 

Financial liabilities at fair value through profit or loss

 

1,737

 

2,5041

Financial liabilities measured at amortized cost

 

240,268

 

230,904

of which classified as held for sale

 

142

 

1

Prior-year figures adjusted.

CLASSES OF FINANCIAL INSTRUMENTS

Financial instruments are divided into the following classes at the Volkswagen Group:

  • financial instruments measured at fair value;
  • financial instruments measured at amortized cost;
  • derivative financial instruments within hedge accounting;
  • not allocated to any measurement category; and
  • credit commitments and financial guarantees (off-balance sheet).

RECONCILIATION OF BALANCE SHEET ITEMS TO CLASSES OF FINANCIAL INSTRUMENTS

The following table shows the reconciliation of the balance sheet items to the relevant classes of financial instruments, broken down by the carrying amount and fair value of the financial instruments.

The fair value of financial instruments measured at amortized cost, such as receivables and liabilities, is calculated by discounting the carrying amount using a market rate of interest for a similar risk and matching maturity. For reasons of materiality, the fair value of current balance sheet items is generally deemed to be their carrying amount.

For reconciliation to the carrying amounts, the “Not allocated to a measurement category” column in the table also includes items other than financial instruments.

The risk variables governing the fair value of the receivables are risk-adjusted interest rates.

Financial instruments measured at fair value” also include shares in partnerships and corporations.

RECONCILIATION OF BALANCE SHEET ITEMS TO CLASSES OF FINANCIAL INSTRUMENTS
AS OF DECEMBER 31, 2021

 

 

MEASURED AT FAIR VALUE

 

MEASURED AT AMORTIZED COST

 

DERIVATIVE FINANCIAL INSTRUMENTS WITHIN HEDGE ACCOUNTING

 

NOT ALLOCATED TO A MEASURE­MENT CATEGORY

 

BALANCE SHEET ITEM AT DEC. 31, 2021

€ million

 

Carrying amount

 

Carrying amount

 

Fair value

 

Carrying amount

 

Carrying amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

 

 

 

 

Equity-accounted investments

 

 

 

 

 

12,531

 

12,531

Other equity investments

 

760

 

 

 

 

2,240

 

3,000

Financial services receivables

 

290

 

50,146

 

51,326

 

 

34,519

 

84,954

Other financial assets

 

2,830

 

4,950

 

5,031

 

1,377

 

 

9,156

Tax receivables

 

 

 

 

 

635

 

635

 

 

 

 

 

 

 

 

 

 

 

 

 

Current assets

 

 

 

 

 

 

 

 

 

 

 

 

Trade receivables

 

8

 

15,513

 

15,513

 

 

 

15,521

Financial services receivables

 

26

 

37,204

 

37,204

 

 

19,268

 

56,498

Other financial assets

 

1,996

 

10,046

 

10,046

 

543

 

 

12,584

Tax receivables

 

 

9

 

9

 

 

1,608

 

1,618

Marketable securities

 

22,495

 

37

 

37

 

 

 

22,532

Cash, cash equivalents and time deposits

 

 

39,723

 

39,723

 

 

 

39,723

Assets held for sale

 

 

142

 

142

 

 

532

 

674

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

126,481

 

131,359

 

 

5,137

 

131,618

Other financial liabilities

 

728

 

2,419

 

2,437

 

1,320

 

 

4,466

 

 

 

 

 

 

 

 

 

 

 

 

 

Current liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

77,476

 

77,476

 

 

1,108

 

78,584

Trade payables

 

 

23,624

 

23,624

 

 

 

23,624

Other financial liabilities

 

1,009

 

10,112

 

10,112

 

1,880

 

 

13,002

Tax payables

 

 

27

 

27

 

 

588

 

614

Liabilities associated with assets held for sale

 

 

142

 

142

 

 

96

 

238

RECONCILIATION OF BALANCE SHEET ITEMS TO CLASSES OF FINANCIAL INSTRUMENTS
AS OF DECEMBER 31, 2020

 

 

MEASURED AT FAIR VALUE

 

MEASURED AT AMORTIZED COST

 

DERIVATIVE FINANCIAL INSTRUMENTS WITHIN HEDGE ACCOUNTING

 

NOT ALLOCATED TO A MEASURE­MENT CATEGORY

 

BALANCE SHEET ITEM AT DEC. 31, 2020

€ million

 

Carrying amount

 

Carrying amount

 

Fair value

 

Carrying amount

 

Carrying amount

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

 

 

 

 

Equity-accounted investments

 

 

 

 

 

10,080

 

10,080

Other equity investments

 

177

 

 

 

 

1,688

 

1,865

Financial services receivables

 

279

 

47,879

 

50,231

 

 

34,408

 

82,565

Other financial assets

 

1,512

 

4,105

 

4,220

 

2,217

 

 

7,834

Tax receivables

 

 

 

 

 

376

 

376

 

 

 

 

 

 

 

 

 

 

 

 

 

Current assets

 

 

 

 

 

 

 

 

 

 

 

 

Trade receivables

 

52

 

16,191

 

16,191

 

 

 

16,243

Financial services receivables

 

26

 

39,474

 

39,474

 

 

18,506

 

58,006

Other financial assets

 

2,402

 

9,915

 

9,915

 

917

 

 

13,234

Tax receivables

 

 

9

 

9

 

 

1,177

 

1,186

Marketable securities

 

21,146

 

15

 

15

 

 

 

21,162

Cash, cash equivalents and time deposits

 

 

33,909

 

33,909

 

 

 

33,909

 

 

 

 

 

 

 

 

 

 

 

 

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

109,690

 

115,282

 

 

5,119

 

114,809

Other financial liabilities

 

1,2711

 

2,322

 

2,317

 

6651

 

 

4,257

 

 

 

 

 

 

 

 

 

 

 

 

 

Current liabilities

 

 

 

 

 

 

 

 

 

 

 

 

Financial liabilities

 

 

87,643

 

87,643

 

 

1,005

 

88,648

Trade payables

 

 

22,677

 

22,677

 

 

 

22,677

Other financial liabilities

 

1,2331

 

8,545

 

8,545

 

8121

 

 

10,590

Tax payables

 

 

38

 

38

 

 

301

 

340

1

Prior-year figures adjusted.

The carrying amount of lease receivables was €53.8 billion (previous year: €52.9 billion) and their fair value (fair value hierarchy level 3) was €54.8 billion (previous year adjusted: €54.1 billion).

Uniform valuation techniques and inputs are used to measure fair value. The fair value of Level 2 and 3 financial instruments is measured in the individual divisions on the basis of Group-wide specifications. The measurement techniques used are explained in the section entitled “Accounting policies”. The fair value of Level 3 receivables was measured by reference to individual expectations of losses; these are based to a significant extent on the Company’s assumptions about counterparty credit quality. The inputs used are not observable in an active market.

The following tables contain an overview of the financial assets and liabilities measured at fair value by level:

FINANCIAL ASSETS AND LIABILITIES MEASURED AT FAIR VALUE BY LEVEL

€ million

 

Dec. 31, 2021

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

Other equity investments

 

760

 

579

 

0

 

181

Financial services receivables

 

290

 

 

 

290

Other financial assets

 

2,830

 

 

1,477

 

1,353

Current assets

 

 

 

 

 

 

 

 

Trade receivables

 

8

 

 

 

8

Financial services receivables

 

26

 

 

 

26

Other financial assets

 

1,996

 

 

1,733

 

263

Marketable securities

 

22,495

 

22,406

 

89

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

728

 

 

529

 

199

Current liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

1,009

 

 

905

 

104

€ million

 

Dec. 31, 2020

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

Other equity investments

 

177

 

40

 

0

 

137

Financial services receivables

 

279

 

 

 

279

Other financial assets

 

1,512

 

 

784

 

729

Current assets

 

 

 

 

 

 

 

 

Trade receivables

 

52

 

 

 

52

Financial services receivables

 

26

 

 

 

26

Other financial assets

 

2,402

 

 

2,242

 

160

Marketable securities

 

21,146

 

21,060

 

86

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

1,2711

 

 

7271

 

543

Current liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

1,2331

 

 

8691

 

364

1

Prior-year figures adjusted.

FAIR VALUE OF FINANCIAL ASSETS AND LIABILITIES MEASURED AT AMORTIZED COST BY LEVEL

€ million

 

Dec. 31, 2021

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Fair value of financial assets measured at amortized cost

 

 

 

 

 

 

 

 

Financial services receivables

 

88,530

 

 

 

88,530

Trade receivables

 

15,513

 

 

15,513

 

Other financial assets

 

15,077

 

996

 

5,126

 

8,955

Tax receivables

 

9

 

 

9

 

Marketable securities

 

37

 

37

 

 

Cash, cash equivalents and time deposits

 

39,723

 

39,043

 

680

 

Assets held for sale

 

142

 

85

 

57

 

Fair value of financial assets measured at amortized cost

 

159,032

 

40,162

 

21,385

 

97,485

 

 

 

 

 

 

 

 

 

Fair value of financial liabilities measured at amortized cost

 

 

 

 

 

 

 

 

Trade payables

 

23,624

 

 

23,624

 

Financial liabilities

 

208,835

 

51,759

 

155,499

 

1,577

Other financial liabilities

 

12,549

 

858

 

11,375

 

316

Tax payables

 

27

 

 

27

 

Liabilities associated with assets held for sale

 

142

 

 

142

 

Fair value of financial liabilities measured at amortized cost

 

245,177

 

52,617

 

190,666

 

1,893

€ million

 

Dec. 31, 2020

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Fair value of financial assets measured at amortized cost

 

 

 

 

 

 

 

 

Financial services receivables

 

89,705

 

 

 

89,705

Trade receivables

 

16,191

 

 

16,191

 

Other financial assets

 

14,135

 

466

 

4,834

 

8,834

Tax receivables

 

9

 

 

9

 

Marketable securities

 

15

 

15

 

 

Cash, cash equivalents and time deposits

 

33,909

 

33,721

 

188

 

Fair value of financial assets measured at amortized cost

 

153,965

 

34,203

 

21,223

 

98,540

 

 

 

 

 

 

 

 

 

Fair value of financial liabilities measured at amortized cost

 

 

 

 

 

 

 

 

Trade payables

 

22,677

 

 

22,677

 

Financial liabilities

 

202,925

 

41,909

 

161,016

 

Other financial liabilities

 

10,862

 

691

 

9,851

 

320

Tax payables

 

38

 

 

38

 

Fair value of financial liabilities measured at amortized cost

 

236,502

 

42,600

 

193,582

 

320

DERIVATIVE FINANCIAL INSTRUMENTS WITHIN HEDGE ACCOUNTING BY LEVEL

€ million

 

Dec. 31, 2021

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

Other financial assets

 

1,377

 

 

1,377

 

Current assets

 

 

 

 

 

 

 

 

Other financial assets

 

543

 

 

543

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

1,320

 

 

1,320

 

Current liabilities

 

 

 

 

 

 

 

 

Other financial liabilities

 

1,880

 

 

1,880

 

€ million

 

Dec. 31, 2020

 

Level 1

 

Level 2

 

Level 3

 

 

 

 

 

 

 

 

 

Noncurrent assets

 

 

 

 

 

 

 

 

Other financial assets

 

2,217

 

 

2,217

 

Current assets

 

 

 

 

 

 

 

 

Other financial assets

 

917

 

 

917

 

Noncurrent liabilities

 

 

 

 

 

 

 

 

Other financial liabilities1

 

665

 

 

665

 

Current liabilities

 

 

 

 

 

 

 

 

Other financial liabilities1

 

812

 

 

710

 

102

1

Prior-year figures adjusted.

The allocation of fair values to the three levels in the fair value hierarchy is based on the availability of observable market prices. Level 1 is used to report the fair value of financial instruments for which a price is directly available in an active market. Examples include marketable securities and other equity investments measured at fair value that are listed and traded on a public market. Fair values in Level 2, for example of derivatives, are measured on the basis of market inputs using market-based valuation techniques. In particular, the inputs used include exchange rates, yield curves and commodity prices that are observable in the relevant markets and obtained through pricing services. Fair Values in Level 3 are calculated using valuation techniques that incorporate inputs that are not directly observable in active markets. In the Volkswagen Group, long-term commodity futures are allocated to Level 3 because the prices available on the market must be extrapolated for measurement purposes. This is done on the basis of observable inputs obtained for the different commodities through pricing services. Options on equity instruments, residual value protection models, customer financing receivables and receivables from vehicle financing programs and other equity investments are also reported in Level 3. Equity instruments are measured primarily using the relevant business plans and entity-specific discount rates. The significant inputs used to measure fair value for the residual value protection models include forecasts and estimates of used vehicle residual values for the appropriate models. The measurement of vehicle financing programs requires in particular the use of the corresponding vehicle price.

The table below provides a summary of changes in level 3 balance sheet items measured at fair value:

CHANGES IN BALANCE SHEET ITEMS MEASURED AT FAIR VALUE BASED ON LEVEL 3

€ million

 

Financial assets measured at fair value

 

Financial liabilities measured at fair value

 

 

 

 

 

Balance at Jan. 1, 2021

 

1,383

 

908

Foreign exchange differences

 

48

 

12

Changes in consolidated Group

 

–297

 

Total comprehensive income

 

1,114

 

–367

recognized in profit loss

 

802

 

–268

recognized in other comprehensive income

 

312

 

–99

Additions (purchases)

 

616

 

Sales and settlements

 

–157

 

–227

Transfers into Level 1

 

–333

 

Transfers into Level 2

 

–255

 

–23

Balance at Dec. 31, 2021

 

2,119

 

303

 

 

 

 

 

Total gains or losses recognized in profit or loss

 

802

 

268

Net other operating expense/income

 

753

 

268

of which attributable to assets/liabilities held at the reporting date

 

296

 

290

Financial result

 

49

 

of which attributable to assets/liabilities held at the reporting date

 

–6

 

€ million

 

Financial assets measured at fair value

 

Financial liabilities measured at fair value

 

 

 

 

 

Balance at Jan. 1, 2020

 

913

 

765

Foreign exchange differences

 

–39

 

–9

Changes in consolidated Group

 

66

 

Total comprehensive income

 

433

 

551

recognized in profit loss

 

425

 

452

recognized in other comprehensive income

 

8

 

99

Additions (purchases)

 

312

 

Sales and settlements

 

–203

 

–323

Transfers into Level 2

 

–100

 

–77

Balance at Dec. 31, 2020

 

1,383

 

908

 

 

 

 

 

Total gains or losses recognized in profit or loss

 

425

 

–452

Net other operating expense/income

 

407

 

–452

of which attributable to assets/liabilities held at the reporting date

 

313

 

–370

Financial result

 

18

 

0

of which attributable to assets/liabilities held at the reporting date

 

7

 

0

The transfers between the levels of the fair value hierarchy are reported at the respective reporting dates. The transfers out of Level 3 into Level 2 comprise commodity futures for which observable quoted prices are now available for measurement purposes due to the decline in their remaining maturities; consequently, no further extrapolation is required. The transfer out of Level 3 into Level 1 relates to the equity investment in TuSimple Holdings Inc., San Diego, California/USA, for which quoted prices are now available following its IPO. In addition, the “financial liabilities” item contains liabilities from notes measured at amortized cost in an amount of €1,915 million, which were transferred out of Level 2 into Level 1 because the market can be considered active due to increased liquidity.

Commodity prices are the key risk variable for the fair value of commodity futures. Sensitivity analyses are used to present the effect of changes in commodity prices on earnings after tax and equity.

If commodity prices for commodity futures classified as Level 3 had been 10% higher (lower) as of December 31, 2021, earnings after tax would have been €237 million (previous year: €263 million) higher (lower). The equity is not affected.

The key risk variable for measuring options on equity instruments held by the Company is the relevant enterprise value. Sensitivity analyses are used to present the effect of changes in risk variables on earnings after tax.

If the assumed enterprise values at December 31, 2021 had been 10% higher, earnings after tax would have been €6 million (previous year: €4 million) higher. If the assumed enterprise values as of December 31, 2021 had been 10% lower, earnings after tax would have been €6 million (previous year: €4 million) lower.

Residual value risks result from hedging agreements with dealerships under which earnings effects caused by market-related fluctuations in residual values that arise from buy-back obligations under leases are borne in part by the Volkswagen Group.

The key risk variable influencing the fair value of the options relating to residual value risks is used car prices. Sensitivity analyses are used to quantify the effects of changes in used car prices on earnings after tax.

If the prices of the used cars covered by the residual value protection model had been 10% higher as of December 31, 2021, earnings after tax would have been €416 million (previous year: €382 million) higher. If the prices of the used cars covered by the residual value protection model had been 10% lower as of December 31, 2021, earnings after tax would have been €468 million (previous year: €419 million) lower.

If the risk-adjusted interest rates applied to receivables measured at fair value had been 100 basis points higher as of December 31, 2021, earnings after tax would have been €3 million (previous year: €2 million) lower. If the risk-adjusted interest rates as of December 31, 2021 had been 100 basis points lower, earnings after tax would have been €3 million (previous year: €2 million) higher.

If the corresponding vehicle price used in the vehicle financing programs had been 10% higher as of December 31, 2021, earnings after tax would have been €8 million (previous year: €2 million) higher. If the corresponding vehicle prices used in the vehicle financing programs had been 10% lower as of December 31, 2021, earnings after tax would have been €8 million (previous year: €2 million) lower.

If the result of operations of equity investments measured at fair value had been 10% better as of December 31, 2021, equity would have been €6.2 million (previous year: €5.8 million) higher, and earnings after tax would have been €8.7 million (previous year: €2.1 million) higher. If the result of operations of equity investments measured at fair value had been 10% worse, equity would have been €6.2 million (previous year: €5.8 million) lower, and earnings after tax would have been €8.7 million (previous year: €2.1 million) lower.

OFFSETTING OF FINANCIAL ASSETS AND LIABILITIES

The following tables contain information about the effects of offsetting in the balance sheet and the potential financial effects of offsetting in the case of instruments that are subject to a legally enforceable master netting arrangement or a similar agreement.

 

 

 

 

 

 

 

 

AMOUNTS THAT ARE NOT SET OFF IN THE BALANCE SHEET

 

 

€ million

 

Gross amounts of recognized financial assets

 

Gross amounts of recognized financial liabilities set off in the balance sheet

 

Net amounts of financial assets presented in the balance sheet

 

Financial instruments

 

Collateral received

 

Net amount at Dec. 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

5,408

 

–89

 

5,319

 

–3,195

 

–7

 

2,117

Financial services receivables

 

142,057

 

–605

 

141,452

 

 

–102

 

141,350

Trade receivables

 

15,552

 

–31

 

15,521

 

0

 

 

15,521

Marketable securities

 

22,532

 

 

22,532

 

 

 

22,532

Cash, cash equivalents and time deposits

 

39,723

 

 

39,723

 

 

 

39,723

Other financial assets

 

17,191

 

 

17,191

 

0

 

 

17,191

 

 

 

 

 

 

 

 

AMOUNTS THAT ARE NOT SET OFF IN THE BALANCE SHEET

 

 

€ million

 

Gross amounts of recognized financial assets

 

Gross amounts of recognized financial liabilities set off in the balance sheet

 

Net amounts of financial assets presented in the balance sheet

 

Financial instruments

 

Collateral received

 

Net amount at Dec. 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

6,216

 

–165

 

6,051

 

–1,770

 

–35

 

4,246

Financial services receivables

 

141,185

 

–614

 

140,571

 

 

–98

 

140,473

Trade receivables

 

16,253

 

–10

 

16,243

 

0

 

 

16,243

Marketable securities

 

21,162

 

 

21,162

 

 

 

21,162

Cash, cash equivalents and time deposits

 

33,909

 

 

33,909

 

 

 

33,909

Other financial assets

 

15,203

 

 

15,203

 

0

 

 

15,203

Other financial assets include receivables from tax allocations of €9 million (previous year: €9 million).

 

 

 

 

 

 

 

 

AMOUNTS THAT ARE NOT SET OFF IN THE BALANCE SHEET

 

 

€ million

 

Gross amounts of recognized financial liabilities

 

Gross amounts of recognized financial assets set off in the balance sheet

 

Net amounts of financial liabilities presented in the balance sheet

 

Financial instruments

 

Collateral pledged

 

Net amount at Dec. 31, 2021

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

4,425

 

–3

 

4,422

 

–3,195

 

–19

 

1,208

Financial liabilities

 

210,202

 

 

210,202

 

 

–1,756

 

208,446

Trade payables

 

23,654

 

–31

 

23,623

 

0

 

 

23,623

Other financial liabilities

 

13,765

 

–692

 

13,073

 

 

 

13,073

 

 

 

 

 

 

 

 

AMOUNTS THAT ARE NOT SET OFF IN THE BALANCE SHEET

 

 

€ million

 

Gross amounts of recognized financial liabilities

 

Gross amounts of recognized financial assets set off in the balance sheet

 

Net amounts of financial liabilities presented in the balance sheet

 

Financial instruments

 

Collateral pledged

 

Net amount at Dec. 31, 2020

 

 

 

 

 

 

 

 

 

 

 

 

 

Derivatives

 

3,417

 

–8

 

3,409

 

–1,769

 

–2

 

1,638

Financial liabilities

 

203,457

 

 

203,457

 

 

–1,955

 

201,502

Trade payables

 

22,687

 

–10

 

22,677

 

0

 

 

22,677

Other financial liabilities

 

12,247

 

–771

 

11,476

 

 

 

11,476

The “Financial instruments” column shows the amounts that are subject to a master netting arrangement but were not set off because they do not meet the criteria for offsetting in the balance sheet. The “Collateral received” and “Collateral pledged” columns show the amounts of cash collateral and collateral in the form of financial instruments received and pledged for the total assets and liabilities that do not meet the criteria for offsetting in the balance sheet.

Other financial liabilities include liabilities from tax allocations of €27 million (previous year: €38 million).

ASSET-BACKED SECURITIES TRANSACTIONS

Asset-backed securities transactions with financial assets amounting to €33.0 billion (previous year: €30.6 billion) entered into to refinance the financial services business are included in bonds, commercial paper and notes, and liabilities from loans. The corresponding carrying amount of the receivables from the customer and dealer financing and the finance lease business amounted to €38.2 billion (previous year: €34.5 billion). Collateral of €55.8 billion (previous year: €48.9 billion) in total was furnished as part of asset-backed securities transactions. The expected payments were assigned to structured entities and the equitable liens in the financed vehicles were transferred. These asset-backed securities transactions did not result in the receivables from financial services business being derecognized, as the Group retains nonpayment and late payment risks. The difference between the assigned receivables and the related liabilities is the result of different terms and conditions and the share of the securitized paper and notes held by the Volkswagen Group itself.

Most of the public and private asset-backed securities transactions of the Volkswagen Group can be repaid in advance (clean-up call) if less than 10% of the original transaction volume is outstanding. The assigned receivables cannot be assigned again or pledged elsewhere as collateral. The claims of the holders of commercial paper and notes are limited to the assigned receivables and the receipts from those receivables are earmarked for the repayment of the corresponding liability.

As of December 31, 2021, the fair value of the assigned receivables still recognized in the balance sheet was €38.5 billion (previous year: €35.4 billion). The fair value of the related liabilities was €32.6 billion (previous year: €30.6 billion) at that reporting date.

The Volkswagen Bank GmbH Group is contractually obliged, under certain conditions, to transfer funds to the structured entities that are included in its financial statements. Since the receivables are transferred to the special purpose entity by way of undisclosed assignment, the situation may occur in which the receivable has already been reduced in a legally binding manner at the originator, for example if the obligor effectively offsets it against receivables owed to it by a company belonging to the Volkswagen Group. In this case, collateral must be furnished for the resulting compensation claims against the special purpose entity, for example if the rating of the Group company concerned declines to a contractually agreed reference value.

ADDITIONAL INCOME STATEMENT DISCLOSURES IN ACCORDANCE WITH IFRS 7 (FINANCIAL INSTRUMENTS)

The table below shows net gains and losses on financial assets and financial liabilities by measurement category, followed by a detailed explanation of key aspects:

NET GAINS OR LOSSES FROM FINANCIAL INSTRUMENTS BY IFRS 9 MEASUREMENT CATEGORY

€ million

 

2021

 

2020

 

 

 

 

 

Financial instruments at fair value through profit or loss

 

3,097

 

2,309

Financial assets measured at amortized cost

 

5,889

 

2,899

Financial assets at fair value through other comprehensive income (debt instruments)

 

1

 

4

Financial liabilities measured at amortized cost

 

–3,247

 

–3,242

 

 

5,740

 

1,970

Net gains and losses in the category “financial instruments at fair value through profit or loss” are mainly composed of the fair value measurement gains and losses on derivatives, including interest and gains and losses on currency translation.

Net gains and losses from financial assets measured at fair value through other comprehensive income (debt instruments) relate to interest income from fixed-income securities.

Net gains and losses from financial assets and liabilities measured at amortized cost mainly comprise interest income and expenses calculated according to the effective interest method pursuant to IFRS 9, currency translation effects, and the recognition of loss allowances. Interest also includes interest income and expenses from the lending business of the Financial Services Division.

The table below presents total interest income and expenses from financial assets and liabilities measured at amortized cost, separately from financial assets measured at fair value through other comprehensive income:

TOTAL INTEREST INCOME AND EXPENSES ATTRIBUTABLE TO FINANCIAL INSTRUMENTS NOT MEASURED AT FAIR VALUE THROUGH PROFIT OR LOSS

€ million

 

2021

 

2020

 

 

 

 

 

Financial assets and liabilities measured at amortized cost

 

 

 

 

Interest income

 

7,099

 

6,982

Interest expenses

 

3,540

 

3,707

Financial assets (debt instruments) and liabilities measured at fair value through other comprehensive income

 

 

 

 

Interest income

 

5

 

4

Interest expenses

 

0

 

GAINS AND LOSSES ON THE DISPOSAL OF FINANCIAL ASSETS MEASURED AT AMORTIZED COST

€ million

 

2021

 

2020

 

 

 

 

 

Gains arising from the derecognition of financial assets measured at amortized cost

 

583

 

810

Losses arising from the derecognition of financial assets measured at amortized cost

 

–1,003

 

–1,527

 

 

–420

 

–717

In the fiscal year, €1 million (previous year: €2 million) was recognized as an expense and €27 million (previous year: €29 million) as income from fees and commissions for trust activities and from financial assets and liabilities not measured at fair value that are not accounted for using the effective interest method.

Rating
Systematic assessment of companies in terms of their credit quality. Ratings are expressed by means of rating classes, which are defined differently by the individual rating agencies.