What if Mortgage-REIT book-value hit as rate volatility spikes spreads?
A spike in interest-rate volatility widens agency-MBS spreads and crushes mortgage-REIT book values, forcing deleveraging and dividend cuts; the rate-vol shock de-rates the mortgage-REIT cohort and tightens housing credit.
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 spike in interest-rate volatility widens agency-MBS spreads and crushes mortgage-REIT book values, forcing deleveraging and dividend cuts; the rate-vol shock de-rates the mortgage-REIT cohort and tightens housing credit. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Mortgage rates ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.