Please kindly help! I am confused by the roll yield of currency forward According to Page 260 number 3, the roll yield is negative and i just cannot confirm my logic. So they have MXN exposure They hedged MXN 10m one mon ago with 2 months contract by selling MXN 10m ( question 1. Would the text not instruct we need to always consider ’ base currency standard’? Then should they have bought GBP forward? Ah or it is same thing?) Now they want to roll the position. (Question 2. At this point they are already at 2 month later? ) In order to roll the position, They need to settle the existing contract first. So they will have GBP at the contract price they traded 2 month before. Now, according to the table, GBP is depreciating. (Question 3. They need to sell this GBP at spot price. The spot price is lower than the forward price 2 month before. That is why the roll yield is negative? The roll yield is comparing forward price and spot price?) In futures section, if the mkt is contango then roll yield will be negative. The currency market is backwardation. Why negative? Because of short position? God currency is really … Painful.