Understanding Dual Currency (Chooser) TARFs

For those that might not have looked at dual strategies before, this short presentation reflects upon:

1. The degree of enhancement that is available - e.g., selling GBP and buying USD at 1.45 versus current 1.33 spot rate.

   
   

2. How that enhancement is generated - e.g., forward starting the structure, introducing profit caps and auto-termination events, adding leverage both in terms of notional (ratios) AND duration (extensions), as well as considering correlation.

   
   

3. An illustration of how the strategy might work.

   
   

4. Some thoughts on how it can go wrong (there are many more ways, so be wary).

   
   

5. Whether there are any circumstances when it might be deemed suitable to use.

Whilst I've endeavoured to use actual market levels, please note that this information is - as always - only presented for educational purposes.

20240920 - EAKO - Dual Currency TARF.pdf

Download PDF • 367KB