Soft Accumulator: improving hedging levels

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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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