Period ending Aug. 31, 2026
LockedValuation
| Instrument | Side | Notional | Contract rate | Spot | Market fwd | Prior carrying | MTM | Change |
|---|---|---|---|---|---|---|---|---|
| FWD-11 | SELL EUR | 300,000 | 98.5124 | 99.1047 | 100.1600 | -558,261 | -485,415 | 72,846 |
| FWD-12 | SELL EUR | 250,000 | 100.7161 | 99.1047 | 100.5200 | -15,688 | 48,847 | 64,535 |
| FWD-13 | SELL EUR | 200,000 | 101.3351 | 99.1047 | 100.6300 | 0 | 136,981 | 136,981 |
| FWD-04 | SELL USD | 700,000 | 85.1985 | 85.6972 | 85.7200 | -1,267,663 | -362,593 | 905,070 |
| FWD-09 | BUY USD | 200,000 | 86.1981 | 85.6972 | 86.1600 | 256,111 | -8,301 | -264,412 |
| FWD-05 | SELL USD | 800,000 | 86.2787 | 85.6972 | 86.2100 | -1,005,366 | 53,905 | 1,059,271 |
| FWD-06 | SELL USD | 500,000 | 86.2195 | 85.6972 | 86.2800 | -690,791 | -29,948 | 660,844 |
| FWD-10 | BUY USD | 150,000 | 87.4940 | 85.6972 | 86.2800 | 20,651 | -178,639 | -199,290 |
| FWD-08 | SELL USD | 750,000 | 87.3997 | 85.6972 | 86.6600 | -454,427 | 540,296 | 994,722 |
| FWD-07 | SELL USD | 600,000 | 87.0640 | 85.6972 | 86.7300 | -602,047 | 195,259 | 797,306 |
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% | - | -550,160 | 916,640 | 0 | 142,631 |
| CFH-USD-3 Over-hedged tranche | 118.1% | 118.8% | - | 134,218 | 675,311 | 121,995 | 0 |
| CFH-EUR-1 Forecast EU sales | 95.5% | 91.2% | - | 104,294 | 133,760 | 3,621 | 0 |
| CFH-USD-1 Forecast sales H1 | 100.0% | 102.1% | - | 564,264 | 982,959 | 11,763 | 0 |
Journal entries
| Aug. 31, 2026 · Fair value change on undesignated derivatives Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 1,239,191.29 | ||
| Fair value change on undesignated derivatives (P&L) | 1,239,191.29 | ||
| Aug. 31, 2026 · CFH-USD-2 Spot-element hedge: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 1,059,271.45 | ||
| Cash flow hedge reserve (OCI) | 916,640.00 | ||
| Cost of hedging reserve (OCI) | 142,631.45 | ||
| Aug. 31, 2026 · CFH-USD-3 Over-hedged tranche: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 797,306.12 | ||
| Cash flow hedge reserve (OCI) | 675,311.16 | ||
| Hedge ineffectiveness (P&L) | 121,994.96 | ||
| Aug. 31, 2026 · CFH-EUR-1 Forecast EU sales: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 137,380.52 | ||
| Cash flow hedge reserve (OCI) | 133,759.50 | ||
| Hedge ineffectiveness (P&L) | 3,621.02 | ||
| Aug. 31, 2026 · CFH-USD-1 Forecast sales H1: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 994,722.41 | ||
| Cash flow hedge reserve (OCI) | 982,959.04 | ||
| Hedge ineffectiveness (P&L) | 11,763.37 | ||