Not least thanks to these actions, the recent weeks have seen a noticeable improvement in the euro money market. For example, in the past week, the spreads between term deposit and overnight index swap rates declined considerably, by 15 to 20 basis points along all maturities, reflecting the continued fall in the Euribor rates.
The spreads fell to 80 basis points for the one-month maturity and 160 basis points for the 12-month maturity. An interesting analysis related to the current problems in the money markets is presented in Box 7 of the Review which highlights the link between market liquidity and funding liquidity risk, on the basis of evidence from recent data.