The cost for European banks to borrow in dollars fell to the lowest in six months, 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 67.5 basis points below the euro interbank offered rate at 8:22 a.m. in London, from minus 70 yesterday, data compiled by Bloomberg show. The cost, the lowest since Aug. 5, has fallen from minus 114 basis points at the start of the year.
The one-year basis swap was 58 basis points less than Euribor, from minus 56 yesterday. A basis point is 0.01 percentage point.
A measure of European banks’ reluctance to lend to one another held near a four-month low. The Euribor-OIS spread, the difference between the borrowing benchmark and overnight indexed swaps, was 73 basis points in London, according to data compiled by Bloomberg.
To contact the reporter on this story: Katie Linsell in London at firstname.lastname@example.org
To contact the editor responsible for this story: Paul Armstrong at email@example.com