Katharina Bergant, Francesco Grigoli, Niels-Jakob Hansen, Damiano Sandri When the COVID-19 pandemic shuttered major economies in March 2020, it also wreaked havoc on financial markets. In the first few weeks of March, investment-grade corporate bonds lost roughly a fifth of their value, on par with the declines in equity and high-yield debt. (Haddad et al. 2020, Falato et al. forthcoming). Contrary to the usual flight to quality, in mid-March, Treasury yields began rising and only stabilised after the Federal Reserve initiated a massive purchase program. (Vissing-Jorgensen 2020). The distress in the Treasury market accentuated distress in other markets and liquidity challenges for firms. Nonbanks that service a huge swathe of home loans looked as though they may face their own collective liquidity crisis, causing ripple effects in mortgage origination and elsewhere. Crisis was averted only because of the quick and aggressive interventions by the Federal Reserve, Congress, and others.