CFH-USD-2 Spot-element hedge

Active

Designation

Currency: USD (Sell foreign)
Hedged risk: Spot element only, forward element in cost of hedging
Designated on: April 27, 2026
Hedged notional: 800,000 maturing about Feb. 8, 2027
Hypothetical derivative rate: 86.8001 (spot at designation 85.0095)
Instrument notional: 800,000 (hedge ratio 100.0%)

Instruments

FWD-05 SELL 800,000 @ 86.2787, Dec. 4, 2026 (Open)

Hedged exposures

Forecast sale FC-USD-03 USD 642,200 due Jan. 24, 2027
Forecast sale FC-USD-04 USD 631,800 due Feb. 23, 2027

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 spot element; forward points in cost of hedging sale. Effectiveness: economic relationship by critical-terms match, dollar-offset 80-125%, hypothetical derivative method.

Latest test (Sept. 30, 2026)

Cumulative dollar offset: 100.0% within 80-125%
Regression slope / R²: 1.000 / 1.000
OCI reserve: -190,640.00
Cumulative ineffectiveness (P&L): 0.00

Effectiveness test history

Period end	Instrument change	Hypothetical change	Offset (period)	Cum. instrument	Cum. hypothetical	Offset (cum.)	Slope	R²	OCI reserve	OCI movement
July 31, 2026	-1,466,800	-1,466,800	100.0%	-1,466,800	-1,466,800	100.0%	-	-	-1,466,800	-1,466,800
Aug. 31, 2026	916,640	916,640	100.0%	-550,160	-550,160	100.0%	-	-	-550,160	916,640
Sept. 30, 2026	359,520	359,520	100.0%	-190,640	-190,640	100.0%	1.000	1.000	-190,640	359,520

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.