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Bank Lending Stress Holds at 14-Month Low in Euro Money Markets

European banks’ reluctance to lend to one another held near the lowest in more than 14 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 20 basis points, or 0.2 percentage point, at 11:42 a.m. in London, according to data compiled by Bloomberg. The gap is the smallest since June 20, 2011.

Three-month Euribor, the rate banks say they charge each other for loans, was set at a 0.269 percent, a record 48 basis points below the European Central Bank’s refinancing rate. Euribor, derived from a daily survey of lenders for the European Banking Federation, has fallen for 23 days to the lowest ever.

One-week Euribor was set at a record-low 0.089 percent from 0.090 percent yesterday. The London interbank offered rate, or Libor, for three-month dollar loans fell to 0.410 percent, the lowest since Oct. 18, 2011, from 0.412 percent yesterday. Libor is published by the British Bankers’ Association.

The cost for European banks to borrow in dollars held at the lowest since June 22, 2011. The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was unchanged at 27 basis points below Euribor. The one-year basis swap was little changed at minus 34.

The European Banking Federation’s euro overnight index average, or Eonia, of unsecured lending deals was set at 0.102 percent yesterday from 0.108 percent the day before. The Eonia swap, an estimate of average overnight borrowing costs over the next three months, was at seven basis points from 7.2 yesterday.

Lenders increased overnight deposits at the European Central Bank yesterday, placing 342 billion euros ($429 billion) with the Frankfurt-based central bank from 341 billion euros the day before.

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