Soft Accumulator: improving hedging levels
But for optimisation purposes, they could look to enhance their hedge level at least for a part of their total exposure, by entering a ‘soft accumulator’ says Didier Meyer, FX options engineer and marketer at SG CIB in Paris.
Problem: The recent five-year high offers good opportunities for importers but the interest-rate differential (about 150 pips discount on the two-years maturity) makes outright forward hedging a bit disappointing.
At the same time, the option market configuration shows a
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