Period ending July 31, 2026
LockedValuation
| Instrument | Side | Notional | Contract rate | Spot | Market fwd | Prior carrying | MTM | Change |
|---|---|---|---|---|---|---|---|---|
| FWD-11 | SELL EUR | 300,000 | 98.5124 | 99.0051 | 100.4200 | 0 | -558,261 | -558,261 |
| FWD-12 | SELL EUR | 250,000 | 100.7161 | 99.0051 | 100.7800 | 0 | -15,688 | -15,688 |
| FWD-03 | SELL USD | 450,000 | 85.3171 | 86.8430 | 86.8800 | 0 | -701,481 | -701,481 |
| FWD-04 | SELL USD | 700,000 | 85.1985 | 86.8430 | 87.0200 | 0 | -1,267,663 | -1,267,663 |
| FWD-09 | BUY USD | 200,000 | 86.1981 | 86.8430 | 87.5100 | 0 | 256,111 | 256,111 |
| FWD-05 | SELL USD | 800,000 | 86.2787 | 86.8430 | 87.5600 | 0 | -1,005,366 | -1,005,366 |
| FWD-06 | SELL USD | 500,000 | 86.2195 | 86.8430 | 87.6400 | 0 | -690,791 | -690,791 |
| FWD-10 | BUY USD | 150,000 | 87.4940 | 86.8430 | 87.6400 | 0 | 20,651 | 20,651 |
| FWD-08 | SELL USD | 750,000 | 87.3997 | 86.8430 | 88.0300 | 0 | -454,427 | -454,427 |
| FWD-07 | SELL USD | 600,000 | 87.0640 | 86.8430 | 88.1100 | 0 | -602,047 | -602,047 |
Effectiveness tests
| Relationship | Offset (period) | Offset (cum.) | R² | OCI reserve | OCI movement | P&L ineffectiveness | Cost of hedging |
|---|---|---|---|---|---|---|---|
| CFH-USD-2 Spot-element hedge | 100.0% | 100.0% | - | -1,466,800 | -1,466,800 | 0 | 510,192 |
| CFH-USD-3 Over-hedged tranche | 117.9% | 117.9% | - | -541,093 | -541,093 | -96,801 | 0 |
| CFH-EUR-1 Forecast EU sales | 112.3% | 112.3% | - | -29,465 | -29,465 | -3,621 | 0 |
| CFH-USD-1 Forecast sales H1 | 97.2% | 97.2% | - | -418,695 | -418,695 | 0 | 0 |
Journal entries
| July 31, 2026 · Fair value change on undesignated derivatives Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 2,383,172.67 | ||
| Fair value change on undesignated derivatives (P&L) | 2,383,172.67 | ||
| July 31, 2026 · CFH-USD-2 Spot-element hedge: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 1,005,366.41 | ||
| Cash flow hedge reserve (OCI) | 1,466,800.00 | ||
| Cost of hedging reserve (OCI) | 510,191.86 | ||
| Fair value change on undesignated derivatives (P&L) | 48,758.27 | ||
| July 31, 2026 · CFH-USD-3 Over-hedged tranche: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 602,046.67 | ||
| Cash flow hedge reserve (OCI) | 541,093.10 | ||
| Hedge ineffectiveness (P&L) | 96,801.17 | ||
| Fair value change on undesignated derivatives (P&L) | 35,847.60 | ||
| July 31, 2026 · CFH-EUR-1 Forecast EU sales: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 573,948.57 | ||
| Cash flow hedge reserve (OCI) | 29,465.29 | ||
| Hedge ineffectiveness (P&L) | 3,621.02 | ||
| Fair value change on undesignated derivatives (P&L) | 540,862.26 | ||
| July 31, 2026 · CFH-USD-1 Forecast sales H1: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 454,426.75 | ||
| Cash flow hedge reserve (OCI) | 418,694.73 | ||
| Fair value change on undesignated derivatives (P&L) | 35,732.02 | ||