Oct. 4 (Bloomberg) -- A measure of how much European banks pay to fund in dollars declined from near the highest in almost three years.
The three-month cross-currency basis swap, the rate banks pay to convert euro payments into dollars, was 108 basis points below the euro interbank offered rate as of 8:55 a.m. in London, from 109 yesterday, according to data compiled by Bloomberg.
The cost was 112.5 basis points under Euribor on Sept. 12, when the swap was the most expensive since December 2008.
The one-year cross-currency basis swap was at 73 basis points under Euribor, little changed from yesterday. A basis point is 0.01 percentage point.
A measure of banks’ reluctance to lend to one another in Europe was also little changed. The Euribor-OIS spread, the difference between the borrowing benchmark and overnight index swaps, held at 81 basis points, compared with 89 basis points on Sept. 23, the widest since March 2009.
--Editors: Paul Armstrong, Michael Shanahan
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