The cost of hedging rand foreign currency transactions 12-months ahead is currently below its average level since 2013 as the rise in relative interest rates in the US has squeezed carry attractiveness for currencies like the ZAR (see an earlier comparison here). This is true of other emerging market currencies such as the Brazilian real, while exceptions include the Russian ruble and the Mexican peso. ZAR hedging costs are relatively high compared to other major currencies, reflecting the ZAR’s high relative volatility.
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