What if a UK LDI fund defaults on repo and swap counterparties during a gilt-yield surge?
A UK LDI pooled fund defaults on repo and swap counterparties in a gilt-yield surge before recapitalization, hitting banks in the channel the BoE SWES stress-tested.
how we built this number — every step
The class rate is measured from our dated, sourced event library (decade-normalized Poisson — the full table is public at base_rates.json). The variant’s share within its class is the analyst’s editorial call, published so you can audit it. A wider range means thinner precedent. Full recipe: methodology · scored at Reality Check.
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 (gold) over time vs the crowd's (Polymarket, blue), from the past toward the 1–3 years 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. The gold path is an illustrative reconstruction anchored to today's estimate — real dated events, not a live re-estimate history.
What it would mean
If this plays out, it is a risk-off shock. A UK LDI pooled fund defaults on repo and swap counterparties in a gilt-yield surge before recapitalization, hitting banks in the channel the BoE SWES stress-tested. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Real yields ▲ · Risk appetite ▼ · Risk-parity deleveraging ▲ — which propagate through our causal graph to the markets below.
If it happens — the markets it would move
Biggest moves first. Projected moves are cascade-model priors; hist A–B% = what comparable past events actually did (measured abnormal returns), and model prior · unmeasured marks markets with no analogue backing yet. Tap any market for its price history.
| Market | Class | Projected move | |
|---|---|---|---|
| 1 | MicroStrategy MSTRon Hyperliquid 📈 chart | Equity | ▼ -2.1% hist -5.19–+0.61% · other way +27.47% (n=12) |
| 2 | Nasdaq 100 NDXon Hyperliquid 📈 chart | Index | ▼ -1.7% hist -1.58–-0.34% · other way +0.06% (n=12) |
| 3 | Solana SOLon Hyperliquid 📈 chart | Crypto | ▼ -1.4% hist -13.27–+0.52% · other way -1.04% (n=11) |
| 4 | Tech sector XLK 📈 chart | Equity | ▼ -1.4% hist -0.96–-0.3% · other way +0.09% (n=12) |
| 5 | Bitcoin BTCon Hyperliquid 📈 chart | Crypto | ▼ -1.1% hist -4.5–+1.04% · other way +6.05% (n=11) |
| 6 | Ether ETHon Hyperliquid 📈 chart | Crypto | ▼ -1.0% hist -9.47–+1.77% · other way +4.87% (n=11) |
| 7 | S&P 500 SPXon Hyperliquid 📈 chart | Index | ▼ -1.0% hist -0.8–-0.3% · other way +0.04% (n=12) |
| 8 | High-yield credit HYG 📈 chart | Rate | ▼ -1.0% hist -0.82–-0.16% · other way -0.28% (n=12) |
| 9 | Hyperliquid (HYPE) HYPEon Hyperliquid | Crypto | ▼ -1.0% model prior · unmeasured |
| 10 | Volatility (VIX) VIXon Hyperliquid 📈 chart | Vol | ▲ +0.9% hist -1.63–+4.41% · other way -0.58% (n=12) |
| 11 | Semiconductors SMHon Hyperliquid 📈 chart | Equity | ▼ -0.8% hist -0.69–+0.89% · other way +2.75% (n=12) |
| 12 | Coinbase COINon Hyperliquid 📈 chart | Equity | ▼ -0.8% hist -4.32–+1.32% · other way +21.75% (n=11) |
| 13 | Financials XLF 📈 chart | Equity | ▼ -0.6% hist -0.37–-0.14% · other way +0.01% (n=12) |
| 14 | JPMorgan JPM 📈 chart | Equity | ▼ -0.5% hist -0.61–+0.44% · other way +2.16% (n=12) |
Probable recommendation
Historical precedent — what analogous events actually did
Across 40 analogous events (overlap‑weighted), as abnormal returns — market beta stripped, so it's the event's own effect, not the market backdrop. Shown at 20 days (persistent) and 5 days (immediate); ↺ fades = the two horizons disagree. Confidence = consistency × sample × significance.
| Asset | History says | Abnormal (20d · 5d) | Hit | n | Confidence | vs cascade |
|---|---|---|---|---|---|---|
| SOL SOL | SHORT | -10.0% · 5d -7.8% | 83% | 20 | 0.42 | ✓ matches cascade |
| ARM ARM | SHORT | -6.2% · 5d -5.8% | 71% | 17 | 0.29 | ✓ matches cascade |
| XHB XHB | SHORT | -1.0% · 5d -0.1% | 67% | 36 | 0.29 | ✓ matches cascade |
| ETH ETH | SHORT | -7.8% · 5d -5.6% | 70% | 20 | 0.27 | ✓ matches cascade |
| High-yield credit HYG | SHORT | -0.3% · 5d +0.0% ↺ fades | 66% | 35 | 0.26 | ✓ matches cascade |
| MSTR MSTR | SHORT | -3.8% · 5d -3.3% | 65% | 37 | 0.25 | ✓ matches cascade |
| Gold XAU | LONG | +0.7% · 5d +0.2% | 61% | 37 | 0.20 | ⚠ differs |
| HOOD HOOD | SHORT | -0.8% · 5d -3.2% | 61% | 20 | 0.18 | ✓ matches cascade |
| SMH SMH | LONG | +1.2% · 5d -0.9% ↺ fades | 60% | 37 | 0.16 | ⚠ differs |
| 30y yield DGS30 | SHORT | -10bp · 5d -3bp | 59% | 40 | 0.16 | ⚠ differs |
| Bitcoin BTC | SHORT | -3.6% · 5d -2.1% | 60% | 21 | 0.15 | ✓ matches cascade |
| COIN COIN | SHORT | -3.7% · 5d +1.5% ↺ fades | 57% | 20 | 0.12 | ✓ matches cascade |
| ASML ASML | SHORT | -2.2% · 5d -3.0% | 58% | 37 | 0.12 | ✓ matches cascade |
| XLF XLF | LONG | +0.1% · 5d -1.0% ↺ fades | 56% | 37 | 0.11 | ⚠ differs |