Systems rarely collapse gradually.
They transition.
At 07:48, overnight markets opened stable.
Spreads unchanged from prior close.
Commentary neutral.
Nothing visible.
But phase transitions begin microscopically.
In thermodynamics, matter shifts state when latent energy surpasses structural cohesion:
Heat does not raise temperature at the threshold.
It breaks bonds.
Liquidity functions similarly.
Additional stress does not immediately widen spreads.
It weakens relational trust.
At 09:05, a second-tier lender declined renewal.
Reason: "portfolio rebalancing."
Correlation with prior refusals: rising.
Refusal probability was no longer independent.
When independence fails, cascade probability rises:
Only valid under independence.
Independence was eroding.
Treasury activated contingency tier one.
Asset sales pre-authorized.
Credit lines pre-drafted.
Communication templates reviewed but not sent.
Pre-emptive silence maintained.
Because visible preparation can accelerate fear.
At 10:37, funding spread widened sharply — 29 basis points in 40 minutes.
Not catastrophic.
But speed altered perception.
Velocity often matters more than magnitude.
Market participants measure acceleration intuitively.
Acceleration suggests loss of control.
Han Zhe recalculated liquidity exhaustion horizon.
Previous estimate: 72 hours under nonlinear clustering.
New estimate: 48 hours if spread acceleration persisted.
Model assumption updated from linear decay to exponential confidence loss:
Confidence depletes faster than capital.
Capital is numerical.
Confidence is psychological.
Psychology spreads virally.
At 12:12, a rumor surfaced on a private institutional channel.
Unverified.
But widely read.
Rumors increase implied volatility before price moves.
Volatility reprices collateral.
Collateral repricing increases demand.
Demand increases visible strain.
Strain validates rumor.
Feedback loop engaged.
The energy firm monitored quietly.
Their liquidity stress graph remained convex positive.
Buffers widening as volatility climbed.
Because convexity rewards disorder.
Their exposure curve behaved like:
As systemic stress approached critical level,
protective payoff expanded asymmetrically.
Design is destiny.
By mid-afternoon, a ratings watch notification circulated.
Not downgrade.
"Under Review."
Three words.
Enough to shift interbank posture.
Counterparties price anticipation, not confirmation.
Gu Chengyi observed the order book depth.
Bid layers thinning.
Ask layers widening.
Liquidity asymmetry.
Thin bids signal fragile floor.
At 16:03, the first significant client withdrawal request arrived.
Large.
Within contractual right.
But timing was strategic.
Liquidity events cluster around perceived weakness.
Not around objective metrics.
Treasury executed accelerated liquidation tranche one.
Assets sold at 94 cents on the dollar.
Loss absorbed.
Signal sent.
Observers interpreted sale as defensive.
Defensive interpretation increased caution.
Caution reduced available funding.
Evening analysis showed structural shift.
Spread widening no longer mean-reverting.
Trend component emerging.
When mean reversion fails,
systems transition to new equilibrium.
Equilibrium may exist.
But at different capital cost.
Gu Chengyi summarized in a single sentence:
"The bonds are melting."
Not exploding.
Melting.
Like ice crossing zero.
Structure still visible.
But cohesion weakening invisibly.
At 21:17, liquidity coverage ratio projected below internal threshold within 36 hours under current acceleration.
No insolvency.
No headline.
But the state had changed.
Phase one:
Compression.
Phase two:
Nonlinear sensitivity.
Phase three—
Transition.
And once transition begins,
stopping it requires
Energy
Greater
Than what triggered it.