The cost for European banks to borrow in dollars held near the lowest in more than seven weeks, according to a money market indicator.
The three-month cross-currency basis swap, the rate banks pay to convert euro interest payments into dollars, was 45 basis points below the euro interbank offered rate at 8:30 a.m. in London, data compiled by Bloomberg show. The cost was as low as 44.9 basis points yesterday, the cheapest since May 28.
The one-year basis swap was 51 basis points, or 0.51 percentage point, below Euribor. Three-month Euribor, the rate banks say they see each other lending in euros, was set at a record low 0.464 percent yesterday.
The euro overnight indexed average, Eonia, was unchanged at 11.9 basis points, while an estimate of overnight borrowing costs over the next three months, the Eonia OIS swap, was little changed at 10 basis points. Eonia is derived from a daily survey of banks and published by the European Banking Federation.
Banks cut overnight deposits at the Frankfurt-based ECB yesterday, placing 360 billion euros ($443 billion) from 382 billion euros the day before. Lenders cut the deposits to the lowest in seven months on July 11 after the ECB cut its deposit rate to zero.
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