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Regressions Library

This regression library supports the effective relationship of cash flow hedges of foreign currency exposures using either plain vanilla forwards or options, and for both including and excluding time value.

Regression results are accessed by selecting the date and the currency hedged as compared to the USD.

For example, if your currency pair is USD/EUR, select EUR. Present value discounting for time is evaluated from both a USD functional and foreign currency functional perspective. For cross currency exposures (where USD is not part of the exposure pair) select the functional currency of the entity.

If the currency pair you require is not currently available, please contact us directly.

*Please note that currency pairs are posted 2 business days after your company’s month-end date.

Although unlikely to impact your hedge program we wanted to highlight that some of the regressions are failing

Please see below for the specifics.