Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 01/26/18 to 02/01/18

Please see below for the specifics.


 

USD-ETV Forwards

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

USD-ITV Forwards

  • BRL/USD: failed some of the 2 year and 3 year lags
  • CAD/USD: failed some of the 3 year lags
  • GBP/USD: failed some of the 3 year lags (IFRS only)
  • JPY/USD: failed some of the 3 year lags (IFRS only)
  • USD/PHP: failed some of the 2 year lags

XCUR-ETV Forwards

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

XCUR-ITV Forwards

  • EUR/PLN: failed some of the 2 year and 3 year lags
  • EUR/PLN Offmarket: failed some of the 1 month, 2 month, 3 month, 6 month, 1 year, 2 year, and 3 year lags
  • EUR/RON: failed some of the 1 year and 2 year lags

There are no new failures to report at this time.

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.