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.