// definition
Yen carry
Yen carry trade
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Short definition
The strategy of borrowing in yen, a historically low-yielding currency, to buy assets or currencies offering a higher return. It works as long as the yen stays weak and volatility stays contained.
risk atlas
Knowledge map
Intuition
The yen carry funds risky assets with a low-cost currency. The risk is not the level of the yen but the speed of the unwind.
Formula
gross carry ≈ yield of asset bought - yen funding cost - hedging costWhy it matters now
A more restrictive BoJ, intervention threats and FX volatility can force positions to close together.
Related analyses
- Dollar-yen: the unwind riskUSD/JPY, the BoJ, intervention and carry liquidation.
- Warsh and the Fed balance sheetDollar rates, liquidity and global carry conditions.
Related guides
- Reading the carry tradeCarry mechanics, leverage and unwind risk.
- Reading the CFTC COT reportFutures positioning, trader categories and limits.
- Reading the dot plot and SEPDollar rate path and yield differential.
Related datasets
- risk.jsonPublic snapshot of the risk signals.
- signals/history.jsonPoint-in-time history of the signals.
- signals/history.csvThe same history as CSV.
- risk-diff.json1, 7 and 30-day diff of signals, sources and models.
Signals using it
- Yen Carry MonitorMethodology of the yen carry risk signal.
- Risk DiffRecent change in risk and source freshness.
Primary sources
- Bank of Japan & Ministry of Finance JapanJapanese monetary policy, BoJ statistics and FX interventions.
- Commodity Futures Trading CommissionYen and futures positioning through the COT.
- Federal Reserve & FREDDollar rates, fed funds and liquidity conditions.