The cost for European banks to borrow in dollars declined, 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 50 basis points below the euro interbank offered rate at 8:44 a.m. in London, according to data compiled by Bloomberg. That’s from minus 52 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 unchanged at 55 basis points below Euribor. 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 34 basis points.
The Euribor/OIS spread narrowed to 38.5 basis points from 39 basis points yesterday. The measure has ranged from 38 basis points to 42 basis points since the end of March.
Lenders cut overnight deposits at the Frankfurt-based European Central Bank yesterday, placing 787 billion euros ($984 billion) from 788 billion euros the day before.
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