European Liquidity Downgraded From Ice To Carbonite

Chatter across European trading desks, since confirmed by the EBA, is that medium- and long-term funding in Europe is now completely frozen. With Rehn still in denial and pointing to the problems in US and China, it seems things just got a little more desperate. Basis swaps at crisis levels, FRA-OIS at crisis levels, European GDP-weighted sovereign risk at all time highs, Belgium and Austria dislocating today, and EURUSD cracking through 1.3350.


EUR-USD Basis swap shows demand for USD liquidity is critically high.

FRA-OIS is at MAR09 levels - indicating trust in interbank lending has disappeared.

And at the center of it all, GDP-weighted sovereign risk for the entire eurozone just broke to all-time highs +15bps today at 328bps.

Charts: Bloomberg