Negative Euribor-Eonia spread tipped to persist

Supply and demand dynamics in unsecured market set to continue, pushing Euribor lower


The move of the Eonia-Euribor spread into negative territory could be here to stay, say market participants, as supply and demand dynamics in the commercial paper market continue to exert downward pressure on the term benchmark.

This unusual situation first occurred in March during the coronavirus-led bout of volatility. It returned on August 6 and the spread now sits at 0.0156%, with three-month Euribor at -0.483% and three-month Eonia at -0.4674% as of August 18 (see figure 1).

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