of *regime switches* in traded FX-option prices between the standard risk neutral and the real world pricing approach. Such a feature calls for a modelling framework which is able to span both valuation principles, which is provided by the benchmark approach. On the other side, we quantify the impact of such violations in a simplifying yet clarifying situation, namely the pricing and hedging of zero coupon bonds in a deterministic interest rate setting. We find that the impact is significant, mostly for long dated bonds, where the difference between the price given by the real world pricing of the benchmark approach and the one provided by the putative (and empirically rejected) risk neutral paradigm, may be very large (about $30\%$ for maturities around 20 years). This surprising result can explain the effect that has been intuitively exploited in financial planning, where one uses the extra growth present in risky securities to accumulate over long time periods more wealth with little fluctuations at maturity than by investing over the entire period in fixed income, see e.g. [@Gourinchas02]. The possibility of less expensive production costs for targeted long dated payoffs has major practical implications for annuities, life insurance contracts, pensions and many 