Published May 13, 2022
| Version v1
Presentation
Open
Foreign Currency Assets Hedge Model
Creators
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
Files
FxHedgeModel.pdf
Files
(28.4 kB)
Name | Size | Download all |
---|---|---|
md5:1f0cf8ae40c3a7f5a12086e357409f9d
|
28.4 kB | Preview Download |