CFH-USD-3 Over-hedged tranche

Active

Designation

Currency: USD (Sell foreign)
Hedged risk: Forward rate (full forward)
Designated on: May 19, 2026
Hedged notional: 510,000 maturing about April 9, 2027
Hypothetical derivative rate: 87.3143 (spot at designation 85.2542)
Instrument notional: 600,000 (hedge ratio 117.6%)

Instruments

FWD-07 SELL 600,000 @ 87.0640, Feb. 23, 2027 (Open)

Hedged exposures

Forecast sale FC-USD-05 USD 620,000 due March 25, 2027
Forecast sale FC-USD-06 USD 606,800 due April 24, 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 forward sale. Effectiveness: economic relationship by critical-terms match, dollar-offset 80-125%, hypothetical derivative method. Note: instrument notional exceeds hedged forecast.

Latest test (Sept. 30, 2026)

Cumulative dollar offset: 116.2% within 80-125%
Regression slope / R²: 1.178 / 1.000
OCI reserve: 462,879.33
Cumulative ineffectiveness (P&L): 75,097.48

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	-637,894	-541,093	117.9%	-637,894	-541,093	117.9%	-	-	-541,093	-541,093	-96,801
Aug. 31, 2026	797,306	675,311	118.1%	159,412	134,218	118.8%	-	-	134,218	675,311	121,995
Sept. 30, 2026	378,565	328,661	115.2%	537,977	462,879	116.2%	1.178	1.000	462,879	328,661	49,904

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.