Live Dashboard
Carry Trade Risk Dashboard
Yen and euro funding carry trades unwind violently when vol spikes or risk appetite breaks. This dashboard combines rate differentials, realized FX vol, CFTC positioning, and cross-asset risk appetite into a single unwind-risk gauge.
Unwind risk
Calm
Composite — / 100
USD/JPY
—
— / 30d
USD/JPY realized vol
—
30-day annualized
Risk appetite (CRAI)
—/100
Carry-trade pair matrix
| Pair | Target 10Y | Funding 10Y | Diff | FX |
|---|---|---|---|---|
| USD/JPY | — | — | — | — |
| USD/EUR | — | — | — | — |
| USD/GBP | — | — | — | — |
Rate differential = US 10Y − funding-currency 10Y. Positive diff is the static carry. Actual P&L depends on FX move over the holding period. Currencies shown: JPY (DEXJPUS), EUR (DEXUSEU), GBP (DEXUSUK).
USD/JPY history
The carry trade's bellwether. Sharp 5%+ weekly drops mark unwinds.
Notable unwind episodes
| Date | Episode | USD/JPY peak-trough | S&P 500 | Trigger |
|---|---|---|---|---|
| 1998-10 | LTCM / Russia default | −15% | −9% | USD/JPY fell from 135 to 112 in 3 days as LTCM unwound |
| 2008-10 | Lehman crisis | −24% | −36% | Risk-off crash, global carry unwind, yen bid |
| 2015-08 | China yuan devaluation | −7% | −11% | Risk-parity blowout, carry unwind amplified |
| 2020-03 | COVID panic | −8% | −34% | Liquidity crisis, everything sold, JPY bid briefly |
| 2024-08 | BoJ hike / tech selloff | −12% | −8% | BoJ surprise hike + weak US jobs, global JPY carry unwind |
What drives carry unwinds
- Funding-currency surprise:BoJ hike, SNB intervention, or weak USD data. Spread compression forces reallocation.
- FX vol regime change:Realized vol above 12% for USD/JPY has historically coincided with carry unwinds. Traders size positions inversely to vol.
- Risk-off in correlated assets:When S&P drops and credit widens, JPY/CHF are classic safe havens. Unwinds compound equity selling via VaR rules.
- Positioning crowding:CFTC net-short JPY at percentile extremes = fragile setup. 2024-08 Aug unwind hit with net short JPY at the highest since 2007.
Composite methodology
The 0-100 unwind-risk composite is a weighted average of five components, each expressed as a percentile rank against its own 5-year rolling history. Weights: USD/JPY 30-day drop severity 25%, USD/JPY realized vol 20%, CRAI extreme (either direction) 20%, JPY CFTC positioning crowding 20%, VIX 15%. Bands are quartile-based: 0-25 Calm, 25-50 Watch, 50-75 Elevated, 75-100 Acute.
Related tools
Get alerts when the composite crosses 50 (Elevated) or 75 (Acute), or when USD/JPY moves more than 2% in a single day.
Sources: FRED (exchange rates, foreign 10Y yields, VIX), CFTC Commitments of Traders (yen positioning), Convex CRAI. The composite uses the percentile-rank framework in src/lib/tools/stress-composite.ts. Not a regulated benchmark.