There has been a lot of chatter on the Mexican peso carry unwind over the last couple of sessions, MXN weakness took the rate above 20.0 to the dollar on Monday, when it was the worst performing currency in the world
The chart below shows G10 and EM carry baskets constructed by Bloomberg and the J.P. Morgan Global FX Index (candle chart panel)
Volatility increases and carry don't get along, however, the recent episode of high vol is taking a bigger toll on G10FX carry. This may be due to the fact that it was yen funded trades that were hit the most this week
Despite MXN weakness, EMFX carry looks relatively stable. Peso is trading down 3.2% over the last week, no other currency in the EM space is losing more than 1.0% over this period of time except COP
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