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Failed Regressions From 1/26/24 to 2/08/24

Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 12/22/23 to 1/04/24

Please see below for the specifics.

1/26/24-2/08/24

GAAP

USD-ETV Forwards

  • BRL/USD (BRL functional): failed some of the 2 year and 3 year lags

USD-ITV Forwards

  • USD/AUD (USD functional): failed some of the 2 year, 3 year, 4 year, and 5 year lags
  • AUD/USD (AUD functional): failed some of the 3 year, 4 year, and 5 year lags
  • USD/CAD (USD functional): failed some of the 3 year lags
  • CAD/USD (CAD functional): failed some of the 3 year lags
  • USD/CHF (USD functional): failed some of the 2 year and 3 year lags
  • CHF/USD (CHF functional): failed some of the 2 year and 3 year lags
  • USD/EUR (USD functional): failed some of the 2 year, 3 year, 4 year and 5 year lags
  • EUR/USD (EUR functional): failed some of the 2 year, 3 year, 4 year, 5 year, 6 year, 7 year, 8 year, 9 year and 10 year lags
  • EUR/USD OffMkt (EUR functional): failed some of the 2 year and 3 year lags
  • USD/GBP (USD functional): failed some of the 2 year and 3 year lags
  • GBP/USD (GBP functional): failed some of the 2 year and 3 year lags
  • USD/ILS (USD functional): failed some of the 1 year, 2 year and 3 year lags
  • USD/INR (USD functional): failed some of the 1 year and 2 year lags
  • USD/JPY (USD functional): failed some of the 2 year and 3 year lags
  • JPY/USD (JPY functional): failed some of the 2 year and 3 year lags
  • USD/MXN (USD functional): failed some of the 3 month, 6 month, 1 year, 2 year and 3 year lags
  • MXN/USD (MXN functional): failed some of the 6 month, 1 year, 2 year and 3 year lags
  • USD/NOK (USD functional): failed some of the 3 year lags
  • NOK/USD (NOK functional): failed some of the 3 year lags
  • USD/NZD (USD functional): failed some of the 2 year, 3 year, 4 year and 5 year lags
  • NZD/USD (NZD functional): failed some of the 3 year lags
  • USD/PLN (USD functional): failed some of the 2 year lags
  • USD/RON (USD functional): failed some of the 1 year and 2 year lags
  • USD/SEK (USD functional): failed some of the 3 year lags
  • USD/SGD (USD functional): failed some of the 1 year, 2 year, 3 year, 4 year, and 5 year lags
  • USD/THB (USD functional): failed some of the 1 year lags
  • USD/TRY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags

XCURR-ETV Forwards

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

XCURR-ITV Forwards

  • AUD/EUR (AUD functional): failed some of the 2 and 3 year lags
  • AUD/GBP (AUD functional): failed some of the 1 year, 2 year and 3 year lags
  • AUD/INR (AUD functional): failed some of the 6 month, 1 year and 2 year lags
  • CHF/GBP (CHF functional): failed some of the 2 year and 3 year lags
  • EUR/CNH (EUR functional): failed some of the 2 year and 3 year lags
  • EUR/GBP (EUR functional): failed some of the 1 year, 2 year and 3 year lags
  • EUR/HUF (EUR functional): failed some of the 2 year lags
  • EUR/JPY (EUR functional): failed some of the 2 year and 3 year lags
  • JPY/EUR (JPY functional): failed some of the 2 year and 3 year lags
  • EUR/PLN (EUR functional): failed some of the 1 year, 2 year lags and 3 year lags
  • EUR/RON (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • GBP/CHF (GBP functional): failed some of the 1 year, 2 year and 3 year lags
  • GBP/EUR (GBP functional): failed some of the 1 year, 2 year and 3 year lags
  • GBP/NOK (GBP functional): failed some of the 2 year and 3 year lags
  • NOK/GBP (NOK functional): failed some of the 2 year and 3 year lags
  • GBP/SEK (GBP functional): failed some of the 3 year lags

IFRS

USD-ETV Forwards

  • BRL/USD (BRL functional): failed some of the 1 year and 2 year lags

USD-ITV Forwards

  • USD/AUD (USD functional): failed some of the 2 year and 3 year lags
  • AUD/USD (AUD functional): failed some of the 3 year lags
  • USD/CHF (USD functional): failed some of the 1 year and 2 year lags
  • CHF/USD (CHF functional): failed some of the 1 year and 2 year lags
  • USD/EUR (USD functional): failed some of the 2 year lags
  • EUR/USD OffMkt (EUR functional): failed some of the  2 year and 3 year lags
  • USD/GBP (USD functional): failed some of the 2 year lags
  • GBP/USD (GBP functional): failed some of the 2 year lags
  • USD/ILS (USD functional): failed some of the 1 year and 2 year lags
  • USD/INR (USD functional): failed some of the 2 year lags
  • JPY/USD (JPY functional): failed some of the 2 year lags
  • USD/MXN (USD functional): failed some of the 3 month, 6 month, 1 year and 2 year lags
  • MXN/USD (MXN functional): failed some of the 6 month, 1 year and 2 year lags
  • USD/PLN (USD functional): failed some of the 2 year lags
  • USD/RON (USD functional): failed some of the 2 year lags
  • USD/RUB (USD functional): failed some of the 1 year lags
  • USD/TRY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags

XCURR-ETV Forwards

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

XCURR-ITV Forwards

  • AUD/EUR (AUD functional): failed some of the 2 year lags
  • AUD/GBP (AUD functional): failed some of the 2 year lags
  • AUD/INR (AUD functional): failed some of the 6 month, 1 year and 2 year lags
  • DKK/BRL (DKK functional): failed some of the 2 year lags
  • BRL/DKK (BRL functional): failed some of the 2 year lags
  • CHF/GBP (CHF functional): failed some of the 2 year and 3 year lags
  • EUR/CZK (EUR functional): failed some of the 1 year lags
  • CZK/EUR (CZK functional): failed some of the2 year lags
  • EUR/CNH (EUR functional): failed some of the 2 year and 3 year lags
  • EUR/HUF (EUR functional): failed some of the 2 year lags
  • EUR/PLN (EUR functional): failed some of the 2 year lags
  • EUR/RON (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • GBP/CHF (GBP functional): failed some of the 2 year and 3 year lags
  • GBP/EUR (GBP functional): failed some of the 2 year lags
  • NOK/GBP (NOK functional): failed some of the 2 year lags
  • MXN/EUR (MXN functional): failed some of the 2 year lags
  • MXN/GBP (MXN functional): failed some of the 2 year lags
  • ZAR/EUR (ZAR functional): failed some of the 1 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.