Period ending Sept. 30, 2026
LockedValuation
| Instrument | Side | Notional | Contract rate | Spot | Market fwd | Prior carrying | MTM | Change |
|---|---|---|---|---|---|---|---|---|
| FWD-11 | SELL EUR | 300,000 | 98.5124 | 99.8438 | 100.5600 | -485,415 | -606,881 | -121,466 |
| FWD-12 | SELL EUR | 250,000 | 100.7161 | 99.8438 | 100.9200 | 48,847 | -49,217 | -98,064 |
| FWD-13 | SELL EUR | 200,000 | 101.3351 | 99.8438 | 101.0300 | 136,981 | 59,473 | -77,507 |
| FWD-09 | BUY USD | 200,000 | 86.1981 | 85.2478 | 85.5400 | -8,301 | -130,683 | -122,382 |
| FWD-05 | SELL USD | 800,000 | 86.2787 | 85.2478 | 85.5900 | 53,905 | 546,271 | 492,366 |
| FWD-06 | SELL USD | 500,000 | 86.2195 | 85.2478 | 85.6500 | -29,948 | 281,525 | 311,473 |
| FWD-10 | BUY USD | 150,000 | 87.4940 | 85.2478 | 85.6500 | -178,639 | -273,089 | -94,449 |
| FWD-14 | SELL USD | 400,000 | 86.1685 | 85.2478 | 85.7300 | 0 | 171,555 | 171,555 |
| FWD-08 | SELL USD | 750,000 | 87.3997 | 85.2478 | 86.0100 | 540,296 | 1,015,755 | 475,459 |
| FWD-07 | SELL USD | 600,000 | 87.0640 | 85.2478 | 86.0800 | 195,259 | 573,824 | 378,565 |
| FWD-15 | SELL USD | 350,000 | 86.5438 | 85.2478 | 86.2700 | 0 | 91,738 | 91,738 |
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% | 1.000 | -190,640 | 359,520 | 0 | 132,846 |
| CFH-USD-3 Over-hedged tranche | 115.2% | 116.2% | 1.000 | 462,879 | 328,661 | 49,904 | 0 |
| CFH-EUR-1 Forecast EU sales | 102.8% | 116.1% | 1.000 | -99,215 | -203,509 | -16,021 | 0 |
| CFH-USD-1 Forecast sales H1 | 101.7% | 101.9% | 1.000 | 1,031,963 | 467,698 | 7,761 | 0 |
Journal entries
| Sept. 30, 2026 · Fair value change on undesignated derivatives Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 280,426.39 | ||
| Fair value change on undesignated derivatives (P&L) | 280,426.39 | ||
| Sept. 30, 2026 · CFH-USD-2 Spot-element hedge: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 492,365.56 | ||
| Cash flow hedge reserve (OCI) | 359,520.00 | ||
| Cost of hedging reserve (OCI) | 132,845.56 | ||
| Sept. 30, 2026 · CFH-USD-3 Over-hedged tranche: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 378,564.96 | ||
| Cash flow hedge reserve (OCI) | 328,661.27 | ||
| Hedge ineffectiveness (P&L) | 49,903.69 | ||
| Sept. 30, 2026 · CFH-EUR-1 Forecast EU sales: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 219,529.77 | ||
| Cash flow hedge reserve (OCI) | 203,509.03 | ||
| Hedge ineffectiveness (P&L) | 16,020.74 | ||
| Sept. 30, 2026 · CFH-USD-1 Forecast sales H1: period fair value change Posted | Debit | Credit | |
|---|---|---|---|
| Derivative financial instruments | 475,459.13 | ||
| Cash flow hedge reserve (OCI) | 467,698.29 | ||
| Hedge ineffectiveness (P&L) | 7,760.84 | ||