Bloomberg News

Euribor-OIS Spread Tightens in Europe to Narrowest in Two Months

January 16, 2012

Jan. 16 (Bloomberg) -- A measure of banks’ reluctance to lend to one another in Europe fell to the lowest in two months, money markets show.

The Euribor-OIS spread, the difference between the euro interbank offered rate and overnight index swaps, narrowed to 87 basis points at 11:50 a.m. in London, according to data compiled by Bloomberg. That’s the smallest gap since Nov. 17 and compares with 89 basis points on Jan. 13.

The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was unchanged at 86 basis points below Euribor. The gap shrank to as little as minus 80 on Jan. 13, the narrowest in more than four months.

The one-year cross-currency basis swap was 78 basis points below Euribor from minus 76 on Jan. 13. A basis point is 0.01 percentage point.

Overnight deposits at the European Central Bank rose to an all-time high as lenders parked 493 billion euros ($624 billion) with the Frankfurt-based ECB on Jan. 13. Banks deposited 490 billion euros the previous day.

Three-month Euribor, the rate banks say they pay for three- month loans in euros, fell for an eighteenth day, the longest declining streak since September 2009. The rate fell to 1.222 percent from 1.245 percent on Jan. 13. One-week Euribor fell to 0.469 percent, the lowest since July 2010, from 0.483 percent on Jan. 13.

The London interbank offered rate, or Libor, for three- month dollar loans fell to 0.565 percent from 0.567 percent on Jan. 13.

--Editor: Andrew Reierson

To contact the reporter on this story: Namitha Jagadeesh in London at

To contact the editor responsible for this story: Paul Armstrong at

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