Accelerated Deleveraging

A more disruptive scenario is that hedge funds and relative-value managers reduce basis-trade exposure rapidly as financing costs and margin requirements rise. The move is not necessarily a systemic crisis, but it would look like a sharp market-structure shock centered on Treasuries, futures, and repo funding.

Each figure is the modeled move of the S&P 500 if the outcome occurs. For information only. Not investment advice.