While it had been widely known that Lehmans was under immense pressure, when it came the event was still a shock. It triggered a massive re-appraisal of risk, and ushered in a period of the most intense financial turmoil seen in decades. The worst of the turmoil was actually fairly short-lived – a matter of weeks.
And this meant at some point that the overnight rate was left to drift down to the floor of the corridor, where it still stands. This, in turn, implies that the overnight rate has become more independent of the volume of excess liquidity.