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Failed Regressions From 11/24/23 to 12/07/23

Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 11/24/23 to 12/07/23

Please see below for the specifics.

11/24/23-12/07/23

GAAP

USD-ETV Forwards

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

USD-ITV Forwards

  • USD/ARS (USD functional): failed some of the 2 year lags
  • USD/AUD (USD functional): failed some of the 2 year, 3 year, 4 year, and 5 year lags
  • AUD/USD (USD functional): failed some of the 3 year, 4 year, and 5 year lags
  • BRL/USD (USD functional): failed some of the 2 year and 3 year lags
  • USD/CAD (USD functional): failed some of the 3 year lags
  • CAD/USD (USD functional): failed some of the 3 year lags
  • USD/CHF (USD functional): failed some of the 2 year and 3 year lags
  • CHF/USD (USD functional): failed some of the 2 year and 3 year lags
  • USD/COP (USD functional): failed some of the 6 month lags
  • USD/EUR (USD functional): failed some of the 2 year, 3 year, 4 year and 5 year lags
  • EUR/USD (USD functional): failed some of the 2 year, 3 year, 4 year and 5 year lags
  • EUR/USD OffMkt (USD 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 (USD functional): failed some of the 2 year and 3 year lags
  • USD/ILS (USD functional): failed some of the 2 year and 3 year lags
  • USD/INR (USD functional): failed some of the 2 year lags
  • USD/JPY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • JPY/USD (USD functional): failed some of the 2 year and 3 year lags
  • KRW/USD OffMkt (USD functional): failed some of the 3 month and 1 year lags
  • USD/MXN (USD functional): failed some of the 3 month, 6 month, 1 year, 2 year and 3 year lags
  • MXN/USD (USD 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 (USD 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 (USD functional): failed some of the 3 year lags
  • USD/RON (USD functional): failed some of the 1 year and 2 year lags
  • USD/RUB (USD functional): failed some of the 1 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 (EUR 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
  • BRL/EUR (EUR functional): failed some of the 2 year lags
  • BRL/GBP (GBP functional): failed some of the 2 year lags
  • BRL/DKK (DKK functional): failed some of the 2 year lags
  • DKK/BRL (DKK functional): failed some of the 2 year lags
  • CHF/GBP (GBP 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
  • JPY/EUR (EUR functional): failed some of the 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 2 year and 3 year lags
  • GBP/EUR (GBP functional): failed some of the 1 year, 2 year lags and 3 year lags
  • GBP/NOK (GBP functional): failed some of the 3 year lags
  • NOK/GBP (GBP functional): failed some of the 3 year lags
  • GBP/SEK (GBP functional): failed some of the 3 year lags

IFRS

USD-ETV Forwards

  • USD/AUD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • AUD/USD (AUD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/BGN (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/BRL (USD functional): failed some of the 2 year lags
  • BRL/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, and 1 year lags
  • USD/CAD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/CHF (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/CNH (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/CNY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/COP (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/CZK (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/DKK (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • DKK/USD (DKK functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/EUR (USD functional): failed some of the 2 year lags
  • EUR/USD (USD functional): failed some of the 1 month, 2 month, 3 month and 6 month lags
  • USD/GBP (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • GBP/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/HUF (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/IDR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/ILS (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/INR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/JPY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • JPY/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/KRW (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/MXN (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/MYR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/NOK (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • NOK/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/NZD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/PHP (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/PLN (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/RON (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/RUB (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/SAR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/SEK (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/THB (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/TWD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • USD/ZAR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags

USD-ITV Forwards

  • USD/AUD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 2 year, 3 year lags
  • AUD/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 2 year, 3 year lags
  • BRL/USD (USD functional): failed some of the 2 year lags
  • USD/CAD (USD functional): failed some of the 6 month, 1 year and 2 year lags
  • CAD/USD (USD functional): failed some of the 6 month, 1 year, and 2 year lags
  • USD/CHF (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • CHF/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/COP (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • USD/CZK (USD functional): failed some of the 1 year, 2 year and 3 year lags
  • USD/EUR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 5 year lags
  • EUR/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 5 year lags
  • USD/GBP (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • GBP/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/ILS (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • USD/INR (USD functional): failed some of the 2 year lags
  • USD/JPY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • JPY/USD (USD functional): failed some of the 1 year, 2 year and 3 year lags
  • USD/MXN (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • MXN/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year and 3 year lags
  • USD/NOK (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/NZD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • NZD/USD (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/RON (USD functional): failed some of the 2 year lags
  • USD/RUB (USD functional): failed some of the 2 month, 3 month, 6 month and 1 year lags
  • USD/SAR (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/SGD (USD functional): failed some of the 1 year, 2 year, 3 year, 4 year and 5 year lags
  • USD/TRY (USD functional): failed some of the 1 month, 2 month, 3 month, 6 month, 1 year and 2 year lags
  • USD/ZAR (USD functional): failed some of the 2 year and 3 year lags
  • EUR/USD OffMkt (USD functional): failed some of the 1 month, 2 month, 3 month, and 6 month lags

XCURR-ETV Forwards

  • AUD/NZD (AUD functional): failed some of the 2 year lags
  • BRL/EUR (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month, 2 year lags
  • CAD/EUR (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • CAD/GBP (GBP functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • CAD/INR (CAD functional): failed some of the 2 year lags
  • CAD/JPY (JPY functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • CAD/PHP (CAD functional): failed some of the 2 year lags
  • PLN/EUR (EUR functional): failed some of the 2 year lags
  • SEK/EUR (EUR functional): failed some of the 2 year lags
  • GBP/BRL (GBP functional): failed some of the 2 year lags
  • GBP/INR (GBP functional): failed some of the 2 year lags
  • GBP/PHP (GBP functional): failed some of the 2 year lags
  • NOK/EUR (EUR functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • NOK/GBP (GBP functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags
  • NOK/JPY (JPY functional): failed some of the 1 month, 2 month, 3 month, 6 month and 2 year lags

XCURR-ITV Forwards

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