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Interbank Lending Stress in Europe Falls to Lowest in 13 Months

European banks’ reluctance to lend to one another fell to the lowest level in more than 13 months, according to a money-market indicator.

The difference between the euro interbank offered rate and overnight indexed swaps, known as the Euribor-OIS spread, was 22.8 basis points at 12:20 p.m. in London from 23.4 yesterday, according to data compiled by Bloomberg. That’s the tightest since July 7, 2011.

Three-month Euribor, the rate banks say they see each other lending in euros, was set at a record low 0.295 percent from 0.303 percent yesterday. The benchmark, derived from a daily survey of banks for the European Banking Federation, fell for the fifteenth day.

The London interbank offered rate, or Libor, for three-month dollar loans fell to 0.425 percent, the lowest since Oct. 26, from 0.427 yesterday. Libor is published by the British Bankers’ Association.

The cost for banks to convert euro interest payments into dollars rose from the lowest since July 22, 2011. The three-month cross-currency basis swap was 34 basis points below Euribor from minus 33.5 yesterday.

The one-year basis swap was 37 basis points less than Euribor from minus 36 yesterday. A basis point is 0.01 percentage point.

An estimate of future average overnight borrowing costs in euros, the three-month Eonia swap, was unchanged at 6.8 basis points. The European Banking Federation’s euro overnight indexed average, or Eonia, of unsecured lending deals was set at 0.108 percent yesterday from 0.103 percent the day before.

Lenders cut overnight deposits at the Frankfurt-based European Central Bank yesterday, placing 330 billion euros ($414 billion) with the bank from 336 billion euros the day before.

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