Heads Up! Was Friday The Start Of A Monster VaR Shock?

Last Wednesday, with global interest rates tumbling to fresh all time lows, with German and French 10Y yields plunging to never before seen negative levels, and with a record $13.4 trillion notional in government bonds yielding negative rates, we warned that a "monstrous" VaR shock loomed as global duration - the measure of sensitivity to interest-rate changes - hit never before seen highs, and forced all bond investors on the same side (the deflationary) of the boat.

 

 

 

 

 

 

 

 

 

https://www.zerohedge.com/news/2019-07-07/was-friday-start-monstrous-var-shock

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