The term money market spreads between euro deposit and EONIA swap rates have remained high and close to record levels, for maturities from three to twelve months (as shown in the left chart of slide 3).
Further, many of the firms that rely on this maturity transformation are highly levered and thus more vulnerable to threats to their solvency. The proposed international framework being developed by the Financial Stability Board for margins on securities financing transactions may be an important tool for limiting the pro-cyclicality and sharp deleveraging that can occur in these markets.