Failed Regressions From 10/26/18 to 11/1/18

Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 10/26/18 to 11/1/18

Please see below for the specifics.

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USD-ETV Forwards

• USD/AUD (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/BGN (USD Functional): failed some of the 3 year (IFRS only) lags
• BRL/USD (BRL Functional): failed some of the 1 year (IFRS only), 2 year (IFRS only) and 3 year lags
• USD/CAD (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/CHF (USD Functional): failed some of the 3 year (IFRS only) and 5 year (IFRS only) lags
• USD/CNH (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/CNY (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/COP (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/CZK (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/DKK (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/GBP (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/HUF (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/IDR (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/ILS (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/INR (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/JPY (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/KRW (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/MXN (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/NOK (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/NZD (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/PHP (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/PLN (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/RON (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/RUB (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/SAR (USD Functional): failed some of the 2 year (IFRS only) and 3 year (IFRS only) lags
• USD/SEK (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/SGD (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/THB (USD Functional): failed some of the 3 year (IFRS only) lags
• USD/TWD (USD Functional): failed some of the 3 year (IFRS only) lags

 
USD-ITV Forwards

• SD/CAD (USD functional): failed some of the 3 year (IFRS only) lags
• CAD/USD (CAD functional): failed some of the 2 year (IFRS only) and 3 year lags (IFRS only)
• NZD/USD (NZD functional): failed some of the 3 year (IFRS only) lags
• USD/PHP (USD functional):  failed some of the 1 year and 2 year lags

XCURR-ETV Forwards

• BRL/EUR (BRL functional): failed some of the 1 year (IFRS only), 2 year (IFRS only) and 3 year lags

XCURR-ITV Forwards

• AUD/EUR (AUD functional): failed some of the 3 year (IFRS only) lags
• CNY/EUR (CNY functional): failed some of the 3 year (IFRS only) lags
• EUR/PLN offmkt (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
• EUR/RON (EUR functional): failed some of the 1 year and 2 year lags

It is very unusual to have such a large lag between derivatives and exposure expected dates. However, if you have any hedge relationships that have failed effectiveness you will need to dedesignate those hedge relationships at the last effective date (prior period).  If you have any other relationships with a two or three year lag, please contact your Hedge Trackers consultant to discuss the risks of failing slope.