By definition, a "fat tail", or "black swan" event is one which nobody anticipates. Which, in this case, is precisely what happened with recent developments not so much out of Greece, but out of Brussels and the proposal for a Greek "time out" which as AEP observed "converted the eurozone into a hard-peg currency bloc" thus ending the myth of an "unconditional" monetary union once and for all.
As the first chart below (which we presented one month ago) shows, last month the fund managers responding to BofA' fund manager survey said that a "Eurozone breakdown" was was the third biggest "tail risk" to global markets. What is much more notable is that just one month earelier, in May, not a single respondent even mentioned this as a risk.
Fast forward to July when "Eurozone breakdown" is suddenly perceived as the biggest tail risk by all those surveyed.
Ironically, without a single survey respondent expecting Greece to be an issue just two months ago, the "smartest money" around did in fact confirm that what happened in Greece in the past 2 months was indeed a "black swan."
The question now, with events in Greece front in center in everyone's mind, is what the real "fat tail" will be next: after all, and by definition, nobody can anticipate what a black swan is until it is upon us.
Just like in the case of the "Eurozone breakdown."