CA-9.7.3
Past version: Effective from 01 Apr 2008 to 31 Mar 2011
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A forward foreign exchange position is decomposed into legs representing the paying and receiving currencies. Each of the legs is treated as if it were a zero coupon bond, with zero specific risk, in the relevant currency and included in the measurement framework as follows:
(a) If the maturity method is used, each leg is included at the notional amount.
(b) If the duration method is used, each leg is included at the present value of the notional zero coupon bond.
Apr 08