A measure of European banks’ reluctance to lend to one another held at the lowest level in four months, according to a money-markets indicator.
The Euribor-OIS spread, the difference between the euro interbank offered rate and overnight indexed swaps, was little changed at 70 basis points at 10:18 a.m. in London, data compiled by Bloomberg show.
Lenders are more willing to pass cash on to their peers after the European Central Bank injected 489 billion euros ($639 billion) into the financial system under its so-called longer-term refinancing operation in December. The Frankfurt-based ECB will hold a second auction of cheap funding later this month.
“The three-year LTROs have been an important addition to the ECB arsenal,” said Orlando Green, a fixed-income strategist at Credit Agricole SA in London.
The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was little changed at 68 basis points below Euribor, data compiled by Bloomberg show. The measure was minus 114 at the start of the year.
The one-year basis swap was 61 basis points less than Euribor, from minus 59 yesterday. A basis point is 0.01 percentage point.
Lenders increased overnight deposits at the ECB for the third day yesterday, placing 510 billion euros with the Frankfurt-based central bank, up from 508 billion euros on Feb. 10.
Three-month Euribor, the rate banks say they pay for three-month loans in euros, fell for a 39th day to 1.051 percent, from 1.057 percent. It’s the longest run of declines in 2 1/2 years. One-week Euribor fell to 0.371 percent from 0.373 percent.