For all the worries expressed about risks to global markets from the carry trade, the extent of the phenomenon has proved remarkably elusive to quantify.

But State Street Global Markets has provided evidence to suggest that the practice of borrowing in the currency of countries with low interest rates to invest in higher yielding assets in another currency is approaching extreme levels. The financial services group tracks fund flows – the level of contracts built up over 120 days to purchase or sell a currency at a future date – among institutional investors.