🌐 Chilean Peso, Hungarian Forint Lead Carry Returns In EM: Cable FX Macro

• The Chilean peso and the Hungarian forint continue to lead EM carry returns over the last three months, however, gains gave been trimmed as currencies recorded three-month rolling returns above 20.0% just a month ago

• We continue to see a drop in 3M implied volatility, meaning markets do not expect decent swings in currencies over the next three months

• On volatility, the Mexican peso seems to have started diverging from LatAm peers. While its carry return is almost unchanged from where it was a month ago, implied 3M vol is now up