What I remember most about the GFC (great financial crisis) of 2008/2009 was the amount of sheer surprise regarding who held what, where and for what reason. Money market funds were holding highly risky paper for the slightest pickup in yields, Banks were holding the riskiest, most arcane vehicles for seemingly no real pickup in risk-adjusted return, the list was almost endless and every day seemed to carry a new revelation. It got me thinking about what new surprises will greet us someday, notice we are saying will, not might, timing being the only variable in this discussion. In a general sense, some of the biggest surprises will come where there is a mis-match between perceived liquidity and actual liquidity. The obvious culprit that comes to mind in this regard are the ETF/ETN’s. In 2008/2009 there was an absolute dearth of pricing amongst large portions of the corporate bond market, and this was with the major banks as active participants. Banks are no longer allowed to play in this space, so good luck with two way trade flow among certain ETF’s such as the large High Yield ETF’s when they are hit with selling. The risk is for a feedback loop to start occurring with a liquidity event which could occur in any part of the ETF universe. Selling begets selling which in turn will spill over into seemingly unrelated parts of the Capital Markets.