Bloomberg News

MONEY MARKETS: Eonia Swap Falls From 7-Mo High on LTRO Payback

February 01, 2013

An estimate of future overnight borrowing costs in euros falls from highest in seven months after ECB announced banks will repay EU3.5b of emergency loans next week. * Three-month Eonia swap is 12.6 bps vs 13.9 bps yesterday, highest since July 5 * Euribor-OIS spread is 10.8 bps vs 9.3 yesterday * Three-month euro-dollar cross-currency basis swap cost is 14 bps below Euribor, highest in a week, vs -12 bps yesterday * NOTE: LTRO Payback to Slow; Close Eonia Steepener, RBC Says NSN MHJ5U96S973B <GO>

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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