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Finding Historical Three-Month EONIA OIS Rates

Article Quant Q&A · Author: Ayo
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Summary

The document asks where to obtain a three-month EONIA overnight index swap rate for a calculation and whether three-month EURIBOR can serve as a substitute. The response explains that three-month EONIA and EURIBOR have a changing basis: their rates are usually separated by a few basis points, which may or may not be negligible for the intended calculation. It points to broker-held historical data and mentions Bloomberg and the St. Louis Fed as possible sources, while another answer notes that some historical observations can be found through a rate-data site.

A key practical caution is that daily overnight index swap observations cannot simply be compounded to recreate the required three-month OIS rate, because that procedure is time inconsistent with the target quantity. The discussion is brief and does not give a full calculation method, define the precise conventions, or establish data coverage at any source. Whether EURIBOR is an acceptable proxy therefore depends on the required accuracy and the calculation's purpose.

Key ideas

  • Three-month EONIA OIS and EURIBOR rates differ by a basis spread that changes over time.
  • The spread may be small enough for some calculations, but its suitability depends on the required precision.
  • Historical three-month EONIA data may be held by brokers and available through market-data providers.
  • Compounding daily OIS observations does not recreate a time-consistent three-month OIS rate.

Tags

Fixed incomeStatistics
Full text
# EONIA 3 MONTHS or LIBOR 3 MONTHS


# EONIA 3 MONTHS or LIBOR 3 MONTHS












due to a calculation I have to make I need the OIS 3 MONTHS for the ECB. I tried searching for data for 3 months EONIA but I could not find anything.

Can someone help me with this? if not can I use the EURIBOR 3 months?

## Answer by Attack68 (score 2)

https://quant.stackexchange.com/a/58453

There is a dynamic basis spread between 3M EONIA and 3M EURIBOR. It is consistently a few basis points and that might be negligible enough for 'your calculation' but maybe it isn't.

3M EONIA is saved data by brokers and is available in Bloomberg and possibly the St Louis Fed.

Note that you cannot find daily OIS data and compound the data because that is time inconsistent with what you need.

## Answer by user42108 (score 1)

https://quant.stackexchange.com/a/58475

There's a limited amount of historical data available here: https://www.global-rates.com/en/interest-rates/eonia/eonia.aspx.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.