22-40 In a credit forward agreement hedge,the loss on the balance sheet cash position is offset completely by the gain on the off-balance-sheet credit forward agreement if the characteristics of the benchmark bond and the bank's loan to the borrower are the same.
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Q27: 22-29 Hedging selectively only a portion of
Q28: 22-28 Selective hedging occurs by reducing the
Q29: 22-25 Macrohedging uses a derivative contract,such as
Q30: 22-31 All bonds that are deliverable under
Q31: 22-34 Basis risk occurs when the underlying
Q33: 22-38 The hedge ratio measures the impact
Q34: 22-33 A conversion factor often is to
Q35: 22-37 Tailing-the-hedge normally requires an FI manager
Q36: 22-21 An off-balance-sheet forward position is used
Q37: 22-39 Hedging effectiveness often is measured by
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