The cost for banks to convert euro interest payments into dollars fell for the third day to the cheapest level in two weeks, according to a money-market indicator.
The three-month cross-currency basis swap was 50 basis points below the euro interbank offered rate at 8:11 a.m. in London from minus 53 yesterday, data compiled by Bloomberg show. The measure was minus 57 on April 10, the most expensive since March 19.
The one-year basis swap was 52 basis points below Euribor from minus 53. A basis point is 0.01 percentage point.
European banks’ reluctance to lend to one another was little changed with the Euribor-OIS spread, the difference between the borrowing benchmark and overnight indexed swaps, at 41 basis points. The measure reached an eight-month low of 40 basis points on April 10.
Lenders increased overnight deposits at the European Central Bank yesterday, placing 706 billion euros ($930 billion) with the Frankfurt-based bank, up from 653 billion euros on April 11.
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