CFH-EUR-1 Forecast EU sales

Active

Designation

Currency: EUR (Sell foreign)
Hedged risk: Forward rate (full forward)
Designated on: June 18, 2026
Hedged notional: 550,000 maturing about Jan. 23, 2027
Hypothetical derivative rate: 100.9528 (spot at designation 98.4525)
Instrument notional: 550,000 (hedge ratio 100.0%)

Instruments

FWD-11 SELL 300,000 @ 98.5124, Dec. 4, 2026 (Open)
FWD-12 SELL 250,000 @ 100.7161, Jan. 4, 2027 (Open)

Hedged exposures

Forecast sale FC-EUR-02 EUR 336,000 due Dec. 25, 2026
Forecast sale FC-EUR-04 EUR 312,000 due Feb. 23, 2027

Documentation

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

Latest test (Sept. 30, 2026)

Cumulative dollar offset: 116.1% within 80-125%
Regression slope / R²: 0.999 / 1.000
OCI reserve: -99,214.82
Cumulative ineffectiveness (P&L): -16,020.74

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	-33,086	-29,465	112.3%	-33,086	-29,465	112.3%	-	-	-29,465	-29,465	-3,621
Aug. 31, 2026	137,381	143,780	95.5%	104,294	114,315	91.2%	-	-	104,294	133,760	3,621
Sept. 30, 2026	-219,530	-213,530	102.8%	-115,236	-99,215	116.1%	0.999	1.000	-99,215	-203,509	-16,021

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.