Bloomberg News

Bank Dollar Funding Costs Rise for Second Day in Money Markets

June 08, 2012

The cost for European banks to borrow in dollars rose for a second day, according to a money-markets indicator.

The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was 53 basis points below the euro interbank offered rate at 12:14 p.m. in London, according to data compiled by Bloomberg. That’s from minus 51 basis points yesterday and compares with minus 59 on June 4, which was the most expensive in three months.

The one-year basis swap was 58 basis points below Euribor, from minus 57 yesterday. A basis point is 0.01 percentage point.

Prices in the forward market for three-month Euribor relative to overnight indexed swaps -- known as the FRA/OIS spread -- were little changed at 35 basis points.

The Euribor/OIS spread widened to 40 basis points from 38 basis points yesterday. The measure has ranged from 38 basis points to 42 basis points since the end of March. The three- month Euribor benchmark rate was unchanged at 0.663 percent today, according to the European Banking Federation.

Lenders cut overnight deposits at the Frankfurt-based European Central Bank yesterday, placing 757 billion euros ($943 billion) from 785 billion euros the day before.

To contact the reporter on this story: Katie Linsell in London at klinsell@bloomberg.net

To contact the editor responsible for this story: Paul Armstrong at parmstrong10@bloomberg.net


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