While it is not all too surprising in light of news that Greece may be insolvent in 48 hours, that the ECB is about to commence printing with the abandon of a drunken chairsatan, and that New York has a "credible threat" of another terrorist attack, it is a fact that liquidity across virtually every European vertical is now at its worst levels in years, starting with the EURIBOR-OIS (or interbank/central bank funding spread), which soared by 6 bps to 81.2, or the most since March 2009, the 3M USD LIBOR rising for the 34th day in a row to 0.338% at multi-year highs, and with deposit facility usage at the ECB rising to a new one year high of €172.9 billion, an increase of €7 billion overnight. Of particular note is the dramatic deterioration at Credit Agricole overnight which hit 0.4% in the 3M USD Libor, far worse than the "self-reported" dollar funding at Barclays and RBS which as we reported earlier, are perceived as the riskiest European banks should the inevitable bond haircut take place. Just as Dexia long-CDS was the slam dunk trade of H1, is CA poised to be the H2 one?
ECB Deposit Facility Usage:
3M USD Libor by Bank: