What if a clearinghouse default fund mutualises losses onto survivors?
A clearing-member failure exhausting a CCP's default waterfall and mutualizing losses onto survivors with assessment calls is the systemic plumbing tail — the broadest, deepest de-risk, with SOL/Nasdaq and HY down sharply and VIX surging. No clean modern analogue; closest are the 1987 CCP near-misses and 2008 dealer mutualization fears. CCPs are the post-2008 single point of concentration; an assessment call hits every surviving member's liquidity at once. Forward angle: this is genuinely uninsurable tail — own deep OTM index puts/long-vol as the only reliable hedge.
Every number ships with its receipt — the odds, the range, the precedents, and a public grade at Reality Check. The statistical machinery that produces it is proprietary.
The butterfly cascade
How this trigger trickles across markets, left → right — the root shock, its first‑order moves, then the ripple effects. Drag any node; tap a market for its real price history.
Resolution timeline — how this probability is moving
Our model's odds (electric blue) over time vs the market's (Polymarket, amber), from the past toward the Tail risk horizon. Each dot is a real macro event that nudged the probability — green pushed it up, red pushed it down. Tap a dot for the source. Loading the probability audit trail…
What it would mean
If this plays out, it is a risk-off shock. A clearing member's failure exhausts a major CCP's default waterfall, mutualizing losses onto survivors and triggering assessment calls market-wide. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.