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Published May 13, 2022 | Version v1
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Foreign Currency Assets Hedge Model

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Description

The foreign currency assets hedge model is employed to conduct the hedge effectiveness test for the foreign currency denominated floating rate LIBOR assets using CAD funding. The hedging derivative is a cross currency interest rate swap. The hedging is designated as the Cash Flow Hedging in which both interest rate risk and foreign exchange risk are hedged.

Notes

https://osf.io/preprints/socarxiv/3pzyv/download

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FxHedgeModel.pdf

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