Between the fact that central banks have created an environment in which over $10 trillion in government debt trades at negative yields, and the threat of the UK actually leaving the European Union becoming more of a reality, some bizarre things are starting to happen in the world.

For example, investors now have to load up on 3x the risk just to achieve the same portfolio return as 20 years ago, and negative mortgage rates have started to show up across Europe.

And now, between the search for yield due to Draghi’s policies, and the perceived safety of Danish mortgage backed securities, mortgage borrowers in Denmark can borrow at a cheaper rate on a 30-year loan than the US government.

As Bloomberg notes, mortgage backed securities are attracting investors in search of a perceived safe haven that still has some liquidity and yield attached to it.

Denmark’s $450 billion bond-backed mortgage market has already gone through several extremes since the central bank four years ago first resorted to negative rates to defend the krone’s peg to the euro. Most strikingly, rates on short-term mortgages dropped below zero. Now, with the risk of a so-called Brexit looming, investors trying to get their hands on Denmark’s top-rated assets are finding that its mortgage bonds offer more liquidity than government debt, making the securities a magnet for safe-haven flows.

 

“It’s a Brexit hedge case,” said Jan Weber Oestergaard, senior analyst at Danske Research. “We’re seeing a lot of interest from foreign clients.”

And so we now find that we live in a world where markets are so upside down, that individual borrowers in Denmark have a lower credit risk than the United States government over a thirty year horizon. Don’t think about it too long, or blood will start shooting out of your eyes.