Policy Rate Vectors
US Fed Funds Rate Path (%)
USD Target
BOJ Policy Rate Path (%)
JPY Target
Macro Environment Inputs
Initial USD/JPY Spot Rate
155.00
Holding Period (Months)
12 M
Annual FX Volatility Assumption (%)
9.5%
Yield Spread (Fed-BOJ)
4.25%
425 bps spread
Forward USD/JPY (IRP)
148.82
-6.18 swap pts
Annualized Carry Yield
+4.12%
Net of swap points
Value at Risk (95% Vol)
-11.4%
Max projected downside
Policy Rate Expectations & Implied Yield Spread
Projected USD/JPY Spot Path & Parity Trajectory
Quarterly Scenario Ledger
| Period | Fed Target | BOJ Target | Spread (bps) | Implied USD/JPY Spot | Cumulative Carry P&L |
|---|