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Bank Lending Stress Falls to Five-Year Low in Euro Money Markets

Money-market indicators show stress in short-term unsecured lending between banks declined to the lowest since 2007.

The difference between the euro interbank offered rate and overnight index swaps, known as the Euribor-OIS spread, was 12.4 basis points, or 0.124 percentage point, at 10:31 a.m. in London from 13 on Oct. 5, according to data compiled by Bloomberg. The measure is the tightest since Aug. 8, 2007.

Three-month Euribor, the rate banks say they see each other lending at in euros, was set at a record low 0.214 percent from 0.215 percent on Oct. 5. The benchmark is derived from a daily survey of banks for the European Banking Federation.

The cost for European banks to borrow in dollars rose from the lowest in more than a week. The three-month cross-currency basis swap was 24 basis points below Euribor, from minus 22 on Oct. 5. The one-year basis swap was 25 basis points below Euribor from minus 24.

The European Banking Federation’s euro overnight index average, or Eonia, of unsecured lending deals was set at 0.093 percent on Oct. 5 from 0.095 percent the day before. The Eonia swap, an estimate of average overnight borrowing costs over the next three months, was unchanged at 8.5 basis points.

Lenders increased overnight deposits at the European Central Bank on Oct. 5, placing 296 billion euros ($384 billion) with the Frankfurt-based central bank from 278 billion euros the day before.

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