What if liquidity vanishes from off-the-run Treasuries?
Off-the-run bid-ask blowing out 20x as dealers refuse inventory breaks the benchmark curve's liquidity — the clean read is a flight-to-quality scramble that, perversely, sells risk first: SOL/ETH/Nasdaq and HY down, VIX up. Direct rhyme is March 2020's Treasury dash-for-cash, which forced the Fed's unlimited QE and the SRF birth. Off-the-runs are collateral for the whole system; illiquidity raises haircuts everywhere. Forward angle: the Fed's standing repo plus a likely buyback program cushion this versus 2020 — the dislocation is sharp but policy-reversible.
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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. Bid-ask spreads on off-the-run Treasuries blow out 20x as dealers refuse inventory, breaking the world's benchmark risk-free curve. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.