Carry view takes Lehman to the top
Lehman anticipated a more challenging carry trade environment in July, primarily because rising credit spreads and financial market volatility were placing consistent pressure on risk appetite. This view was echoed by Lehman's timing model. "Our yen carry unwind model remained at 98% from below 10% in mid June, suggesting a high probability of further yen strength in the coming weeks," said McCormick.
Lehman Brothers expects the carry trade will continue to unwind throughout the second half of
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