Well, one of my nightmare positions, being short Sep '08 Eurodollars, is really going crazy this morning...I'm selling another $25/bp at 97.54.
Whilst I definitely see the risk of full blown crisis, and a slashing of Fed rates, I don't think it will be in a straight line, so the market pricing the Fed at 2.25%-2.50% by September seems punchy to me. Since mid-December alone, it's priced in an extra 130bps of easing. Hell, even if it went to ZERO, I'd only be down about $50,000. Bad, but not a total killer by itself.