Treasuries of various maturities, which has reverse loadings on liquidity and volatility risks, thus making it a hedge against the opposite carry methods, dampening the danger of a diversified carry strategy. In times of heightened volatility, lower-interest-rate currencies supply insurance, because their exchange rate appreciates in response to an opposed global shock. Thus, these “safe havens” earn a lower risk premium than others perceived as riskier. Safe-haven currencies have a tendency to appreciate when market risk and illiquidity enhance.
