Column Historic 2year US bond shock is a VaR gamechanger

ORLANDO, Florida, April 5 (Reuters) – When U.S. government bonds become the epicenter of global market volatility, investors’ room for taking on additional risk shrinks, sucking the oxygen out of their risk budget. That’s what happened last month when the U.S. and Swiss banking shocks triggered one of the most powerful rallies ever and days of wild price swings in the two-year Treasury bond – typically badged as a “risk free” asset and one of the safest, most liquid and least volatile securities in the world. The shock blindsided speculative investors who had been positioned for higher U.S. interest rates…