Bloomberg News

Overnight Rate Swaps Hold Near Record Low in Euro Money Markets

July 30, 2012

An estimate of future average overnight borrowing costs in euros held near a record low, according to a money-market indicator.

The three-month Eonia OIS swap fell as much as 3.1 basis points to 2.9, according to data compiled by Bloomberg, and was 4.6 basis points at 8:20 a.m. in London.

The European Banking Federation’s euro overnight indexed average, or Eonia, of unsecured lending transactions was set at a record low 11.1 basis points on July 27.

The cost for European banks to borrow in dollars held near the lowest since July 27, 2011. The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was 41 basis points below the euro interbank offered rate, or Euribor, from as low as minus 39 on July 27.

The one-year basis swap was 48 basis points, or 0.48 percentage point, below Euribor from minus 47.5. Euribor is the rate banks say they see each other lending in euros, according to the same panel of banks that contribute to Eonia.

Banks increased overnight deposits at the Frankfurt-based European Central Bank to 337 billion euros ($414 billion) on July 27 from 321 billion euros the day before.

Three-month Euribor fell to a record low 0.415 percent on July 27 from 0.422 the day before.

The London interbank offered rate, or Libor, for three- month dollar loans was little changed at 0.447 percent on July 27, the lowest since Nov. 8. Libor is published by the British Bankers’ Association.

To contact the reporter on this story: Katie Linsell in London at klinsell@bloomberg.net

To contact the editor responsible for this story: Paul Armstrong at parmstrong10@bloomberg.net


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