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

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 euro interbank offered rate and overnight index swaps, narrowed to 88 basis points at 9:45 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 80 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.

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