Financial visibility, education, knowledge
@rutherfordnumbers by
@comeseeskunkddesign by
Client Side Webhosting by
3 Mth EURIBOR:OIS Spread Chart
What the EURIBOR:OIS Spread Is

It is the difference between the rate at which European banks lend to eachother (EURIBOR) and the overnight 'risk free' swap rate (EONIA) among the same banks a 3 month period. EURIBOR (Euro InterBank Offered Rate) is an average of the rate each bank in the 43-member 'prime bank' panel reports that it would offer to the other banks. EONIA (Euro OverNight Index Average) is the average of swaps conducted between a 22 member panel at what each panel bank believes is the mid-market rate each day.

The data is publicly available via the European Banking Federation site but the spread between the two figures must be calculated manually. Bloomberg previously had it published publicly on their site (under .lois3:ind) before they decided people would need to pay for a terminal to view it. Officially, the underlying data is published by Thompson Reuters (EURIBOR365 & EONIAINDEX).

How the 3 Month EURIBOR:OIS Spread is Calculated

Each day at 11:00 Belgian Time (CET/CEST) the European Banking Federation publishes the fixing for both 3 Month EURIBOR and EONIA. EONIA is subtracted from EURIBOR to give the spread.

What the EURIBOR:OIS Spread Tells Us About the Economy

Essentially the value is a measure of how much trust banks place in eachother. The overnight swap contracts only involve the exchange of net payments and no principal, hence are considered credit-risk free. The interbank lending involves capital transfer for the duration however so therefore is not considered risk free.

This gives rise to a spread between the two values, and viewing the historical trend of this spread tells us whether risk is rising or falling in credit markets. If the number is rising, credit risk is increasing and if it is falling the opposite applies. Thus it is a useful indicator of stress in the banking system.