Hi everyone, There is one paragraph under the formula of total cost of liquidity in Topic 35 of 2012 study notes (chapter 18 of Carrel Philippe's funding risk). The author says: "typically, when central bank rates decline, inter-bank market rates fall by a greater proportion. However, it may not hold when liquidity costs risk as bank's reliance on the inter-bank market for refinancing rises. If this is the case, as was in 2008, spreads merely measure credit risk and the opportunity cost of holding collateral, and liquidity risk is at its highest. " I don't quiet understand the last sentence. Why it only measures credit risk and the opportunity cost of holding collateral? Why it doesn't measure liquidity cost while it is at its peak? Thanks!