What if a mid-size bank loses its wholesale funding overnight?
A mid-size bank losing brokered deposits and FHLB advances overnight is forced to crystallize HTM losses in a fire-sale — the textbook unrealized-loss-meets-funding-run that hits regional banks and HY. This IS the March-2023 SVB/First Republic template, where HTM marks and deposit flight forced FDIC seizure. Forward angle: HTM unrealized losses across regionals remain large at higher-for-longer rates — the trigger is funding access, not solvency; short regional-bank credit and watch FHLB advance concentration.
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 mid-size bank loses access to brokered deposits and FHLB advances overnight, forcing a fire-sale of held-to-maturity securities at a loss. The trigger decomposes into signed root‑shocks — Credit spreads ▲ · Financial conditions ▲ · Risk appetite ▼ — which propagate through our causal graph to the markets below.