Bank Lending Stress Rises From Six-Week Low in Euro Money Market

A measure of European interbank lending stress rose from the lowest in six weeks, according to a money-market indicator.

The difference between the euro interbank offered rate and overnight index swaps, known as the Euribor-OIS spread, was 12.2 basis points at 8:15 a.m. in London from 11.1 yesterday, data compiled by Bloomberg show. The spread, a measure of banks’ reluctance to make unsecured loans to one another, reached the lowest since Nov. 6 yesterday.

The cost for European banks to borrow in dollars was little changed with the three-month cross-currency basis swap at 23 basis points below Euribor. The one-year basis swap was 24.5 basis points below Euribor from minus 25 yesterday. A basis point is 0.01 percentage point.

The European Banking Federation’s euro overnight index average, or Eonia, of unsecured lending deals was set at 0.072 percent yesterday from 0.071 the day before. The Eonia swap, an estimate of overnight borrowing costs over the next three months, was little changed at 6.2 basis points.

Lenders cut overnight deposits at the European Central Bank yesterday to 239 billion euros ($316 billion) from 249 billion euros the day before. That compares with this year’s average of 498 billion euros.

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