Yen Carry Trade - O que é?

[Paciente]

Muitos já devem ter ouvido falar no "Yen Carry Trade" e dos perigos que podem advir deste tipo de operações, sobretudo devido à elevada alavancagem habitualmente utilizada.

Para os que estão pouco familiarizados com este tipo de operações, fica aqui uma explicação sucinta que retirei do site do J. Sinclair:


Currency Carry Trade

What Does It Mean?

A strategy in which an investor sells a certain currency with a relatively low interest rate and uses the funds to purchase a different currency yielding a higher interest rate. A trader using this strategy attempts to capture the difference between the rates - which can often be substantial, depending on the amount of leverage the investor chooses to use.


Investopedia Says:

Here's an example of a "yen carry trade": let's say a trader borrows 1,000 yen from a Japanese bank, converts the funds into U.S. dollars and buys a bond for the equivalent amount. Let's assume that the bond pays 4.5% and the Japanese interest rate is set at 0%. The trader stands to make a profit of 4.5% (4.5% - 0%), as long as the exchange rate between the countries does not change. Many professional traders use this trade because the gains can become very large when leverage is taken into consideration. If the trader in our example uses a common leverage factor of 10:1, then she can stand to make a profit of 45%.

The big risk in a carry trade is the uncertainty of exchange rates. Using the example above, if the U.S. dollar were to fall in value relative to the Japanese yen, then the trader would run the risk of losing money. Also, these transactions are generally done with a lot of leverage, so a small movement in exchange rates can result in huge losses unless hedged appropriately



Like all transactions, there is no free money. The risk can be enormous because to hedge against all criterion of risk  would reduce the carry to under 1%. Today, who cares about risk when you are an action fund with hundreds of millions of dollars of OPM (other people's money). You as the manager get a fixed percentage and a bonus on profit - a big one. Most of the risk on these transactions is wide open.

The greatest risk is simple volatility. Volatility makes you wish you were hedged and if you act guaranteed it will be hedged wrong.

Currency values impact the yen carry. Volatility in interest rates impact the yen carry significantly. The size of these transactions, which are huge beyond your wildest imagination, present terminal risk on wild interest rate and currency markets.

Many, if not most of these transactions, are made in the form of over the counter derivatives. As you know, the profitability of these transactions depend on the loser's balance sheet being financially viable. Now there is the danger. Should the yen carry positions go pear shaped and upside down, then the over the counter derivative market has exploded, not will explode.

This would necessitate many actions, one of which would be to flood the world with unprecedented liquidity with all central banks in concert. That would decimate the dollar as the entire process of the present position would put pressure on the dollar in the unwinding of the derivatives if possible. Yes, if possible.

The yen carry trade and pure interest sensitive over the counter derivatives are the financial weapons of mass destruction that can destroy the system. Greed for profit, sometimes 50% of the profit of the trading bank, is the potential green glob that will eat the earth.

[Scubawarrior]

Muito pedagógico!  Eu próprio escrevi uma vez sobre o carry trade dos bancos americanos. E considero o assunto mt interessante dentro das engenharias financeiras dos tempos modernos.

    Mais um pontito para o Paciente que saiu da toca do ouro e prata e cª.

  Abraço,