The Sun says Chelsea director Marina Granovskaia is refusing to take a financial hit on the world record £71million she paid to sign Kepa two years ago - meaning no club in Europe is in a position to take him off Chelsea's hands.
With an asking price approaching £60m, there have been no buyers found for the 25-year-old and now the Blues have had to start looking to find a club willing to take him on loan.
But with European football hit badly by the Covid-19 pandemic, there are not even any sides willing and able to agree a loan deal which would mean they have to meet his £150,000-a-week wages.
The only way they could realistically get him out before the transfer window closes on Monday would be to agree to pay at least half his wages.
But even then the interest is limited, so it is growing increasingly likely the London club will be stuck with Kepa on their wage bill for the remainder of the season - handing them a bill of £5m just to be a back-up keeper.