Failed Regressions From 1/24/20 to 2/6/20

Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 1/24/20 to 2/6/20

Please see below for the specifics.

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1/24/20-1/30/20

USD-ETV Forwards

• BRL/USD (BRL functional): failed some of the 2 year (IFRS only) lags

USD-ITV Forwards

• EUR/USD OffMkt (EUR functional): failed some of the 1 month, 2 month, 3 month, and 6 month lags
• USD/JPY (USD functional): failed some of the 3 year lags
• JPY/USD (JPY functional): failed some of the 2 year and 3 year lags
• USD/JPY offmkt (USD functional): failed some of the 1 month, 2 month, 3 month, and 6 month lags
• USD/PHP (USD functional): failed some of the 1 year and 2 year lags
• USD/TRY (USD functional): failed some of the 1 year and 2 year lags

XCURR-ETV Forwards

• BRL/EUR (BRL functional): failed some of the 2 year (IFRS only)

XCURR-ITV Forwards

• EUR/PLN (EUR functional): failed some of the 3 year lags
• EUR/RON (EUR functional): failed some of the 1 year and 2 year lags

1/31/20-2/06/20

USD-ITV Forwards

• EUR/USD OffMkt (EUR functional): failed some of the 1 month, 2 month, 3 month, and 6 month lags
• USD/JPY (USD functional): failed some of the 3 year lags
• JPY/USD (JPY functional): failed some of the 2 year and 3 year lags
• USD/JPY offmkt (USD functional): failed some of the 2 month, 3 month, and 6 month lags
• USD/PHP (USD functional): failed some of the 1 year and 2 year lags
• USD/TRY (USD functional): failed some of the 1 year and 2 year lags

XCURR-ETV Forwards

• BRL/EUR (BRL functional): failed some of the 2 year (IFRS only)

XCURR-ITV Forwards

• EUR/PLN (EUR functional): failed some of the 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.