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The Truth Behind Plunging Bond Yields: Largest Convexity Hedging Flow Since 2008 And Retreating HFTs
Last week marked the culmination (so far) of a truly dramatic collapse in developed market bond yiel
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Makes sense. The last steep drop in liquidity shown in the JPM chart coincided with a steep fall in US Treasury yields. When liqudity returned, UST yields continued declining but more slowly.