What if a family office's swap book implodes, Archegos-style?
A concentrated total-return-swap book blowing up saddles prime brokers with block-sale losses across crowded names — the clean read is forced unwinds in the specific overcrowded longs spilling to HY and financials, with high-beta proxies down. This is Archegos (2021) almost exactly, which cost the PBs ~$10bn and tanked the swapped names. Contagion runs through prime-broker counterparty exposure and overlapping positioning. Forward angle: post-Archegos swap disclosure is tighter but synthetic leverage persists — the asymmetric tell is unusual single-name block prints, not a macro signal.
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 6–18 months 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 concentrated total-return-swap book at a single family office blows up, saddling prime brokers with Archegos-style losses across crowded names. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.