Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing from 4/27/18 to 5/3/2018

Please see below for the specifics.


 

ETV Forwards

  • BRL/USD (BRL Functional) – failed some of the 2 year (IFRS only) and 3 year lags

Forwards ITV

  • BRL/USD: failed some of the 3 year lags
  • -USD/CAD: failed some of the 2 year (IFRS only) and 3 year lags
  • -CAD/USD: failed some of the 2 year (IFRS only) and 3 year lags
  • -EUR/USD OffMkt: failed some of the 1 month (IFRS only), 2 month (IFRS only), 3 month (IFRS only), and 6 month (IFRS only) 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 1 year and 2 year lags

XCurrency ITV

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

XCurrency ETV

  • -CNY/EUR: failed some of the 3 year lags (IFRS only)
  • -EUR/PLN: failed some of the 3 year lags (IFRS only)
  • -EUR/PLN OffMkt: 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
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 de-designate 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.