Demand for safe havens showed no signs of easing, as investors effectively paid to lend money to Switzerland and, for the first time, Denmark.

Tuesday's negative yield at an auction for Danish debt—a first for the Nordic country for an issue that isn't linked to inflation rates—underlines investors' preference for safety over returns as they seek shelter from the euro crisis, which has intensified in recent days despite an agreement on a recapitalization plan for Spanish banks and Greek election results that are seen as keeping the country in the 17-nation currency bloc.

Swiss yields at auction first turned negative last August, shortly before the central bank imposed a floor on the euro's minimum exchange rate against the franc as it sought to deflect currency-boosting inflows, which pinch exporters and retailers. Switzerland paid -1% for six-month paper then. Yields then picked up, but they have been sinking deeper into negative territory for the last nine auctions. Tuesday, it paid -0.79% for a three-month auction of 804 million Swiss francs ($844 million).

German government bonds, which are Europe's most liquid safe-retreat bonds, have been under mild selling pressure this week as investors hit their limits on how much German debt they can hold, and some take profits on chunky price rises.

But some countries that don't use the euro have continued to borrow for little or nothing as investors flee euro stresses.