Payables and Cash Management - EBS (MOSC)

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R12 Hedge Effectiveness Assessment

edited Aug 20, 2021 7:35AM in Payables and Cash Management - EBS (MOSC) 2 commentsAnswered ✓

Hello

I have already read the document about FX Forward Revaluation that mention :

The fair value of a Foreign Exchange Forward deal is calculated by discounting the Pay Amount and the Receive Amount with their respective interest rates and exchanging the Present Values at the Spot Exchange Rate.

Fair Value = PVC (base amount) * Spot Rate + PVC (contra amount in negative)

Gain (Loss) is calculated as the difference between the Ending Fair Value and the Beginning Fair Value for the entire duration period of the deal.

Unrealized Gain (Loss) is calculated in each revaluation period that ends after the deal’s Deal Date but before the deal’s Value Date. Realized Gain (Loss) is calculated in the first revaluation period that ends after the deal’s Value Date. The sum of all periodic unrealized gains/losses is equal to the final realized gain/loss.

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