As investors fretted about European sovereigns, credit-ratings agencies started to downgrade those sovereigns, and their bonds went from AAA to BBB and worse. As such, you needed to pledge more and more of these sovereign bonds to get the same amount of cash in a repo. Unfortunately, with around 80 percent of all such repo agreements using European sovereign debt as collateral, when those bonds fell in value, the ability of European banks to fund themselves and keep their highly levered structures going began to evaporate.

Mark Blyth, Austerity, loc. 238