Banks like Lehman Brothers assumed that they would be able to borrow from other banks at extremely low or no cost, meaning funding would always be available to them if necessary. Prior to Lehman Brothers Banks, which had got into financial trouble, had either been bailed out by the central bank or had been purchased by another bank in a better funded position.

The implication of this was that banks thought they did not need and so lacked strong liquidity risk management practices, and they leaned heavily on financing long-term assets with short-term liabilities, which ensured they always made a profit.

In times of stress, a bank may be able to access liquidity, but the cost of accessing this liquidity is prohibitively high. As demonstrated on this chart, this is the index of the US two year swap spread. It's the difference between the two year swap rate and the yield on two year government bonds.

The swap rate in 2008 was the basis on which banks priced their loans to each other, and the difference in the two rates represented the extra risk of lending to banks versus lending to the government.

This chart shows the price of borrowing in the interbank market experienced a sharp increase during the global financial crisis.