How hedge funds ‘hooked’ on carry fuelled rates mayhem in Europe
Short-volatility traders with ‘weak hands’ may have created a market that breaks easily under stress
On September 10, following an unexpectedly hawkish statement from the European Central Bank, front-end rates repriced in a way that by some metrics should happen no more than once every 126 years.
A few weeks later came further sharp price swings, this time more specifically in long-end French OATs. In the final days of September, French 10-year government bond yields climbed more than 40 basis
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