CFH-USD-1 Forecast sales H1

Active

Designation

Currency: USD (Sell foreign)
Hedged risk: Forward rate (full forward)
Designated on: July 8, 2026
Hedged notional: 750,000 maturing about Dec. 10, 2026
Hypothetical derivative rate: 87.0145 (spot at designation 86.1134)
Instrument notional: 750,000 (hedge ratio 100.0%)

Instruments

FWD-08 SELL 750,000 @ 87.3997, Feb. 12, 2027 (Open)

Hedged exposures

Forecast sale FC-USD-01 USD 658,800 due Nov. 25, 2026
Forecast sale FC-USD-02 USD 651,200 due Dec. 25, 2026

Documentation

Risk management objective: protect INR value of USD export collections against USD/INR depreciation. Hedged item: highly probable forecast USD sales. Instrument: INR/USD forward sale. Effectiveness: economic relationship by critical-terms match, dollar-offset 80-125%, hypothetical derivative method.

Latest test (Sept. 30, 2026)

Cumulative dollar offset: 101.9% within 80-125%
Regression slope / R²: 0.991 / 1.000
OCI reserve: 1,031,962.60
Cumulative ineffectiveness (P&L): 19,524.21

Effectiveness test history

Period end	Instrument change	Hypothetical change	Offset (period)	Cum. instrument	Cum. hypothetical	Offset (cum.)	Slope	R²	OCI reserve	OCI movement	P&L ineffectiveness
July 31, 2026	-418,695	-430,946	97.2%	-418,695	-430,946	97.2%	-	-	-418,695	-418,695	0
Aug. 31, 2026	994,722	995,211	100.0%	576,028	564,264	102.1%	-	-	564,264	982,959	11,763
Sept. 30, 2026	475,459	467,698	101.7%	1,051,487	1,031,963	101.9%	0.991	1.000	1,031,963	467,698	7,761

Dollar offset = change in hedging instrument / change in hypothetical derivative; the 80-125% band is a reference. The OCI reserve is the lesser (in absolute terms) of the cumulative instrument change and the cumulative hypothetical derivative change; the excess is cumulative P&L ineffectiveness.

Hedged transaction realised

Releases the reserve at the last locked period and completes the relationship.