The cost for European banks to borrow in dollars declined for the 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 54 basis points below the euro interbank offered rate at 8:55 a.m. in London, according to data compiled by Bloomberg. That’s from minus 55 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 -- rose to 39.5 basis points from 38.
The Euribor/OIS spread was little changed at 38 basis points. The measure has ranged from 37 basis points to 42 basis points since the end of March.
Lenders cut overnight deposits at the Frankfurt-based European Central Bank yesterday, placing 704 billion euros ($886 billion) from 798 billion euros the day before.