The cost for European banks to borrow in dollars fell for a third day to the lowest level 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 9 a.m. in London, from minus 70 yesterday, data compiled by Bloomberg show. The cost is the lowest since Aug. 5.
The one-year basis swap was 56 basis points less than Euribor, the cheapest level since Sept. 2. It was minus 56.5 yesterday. A basis point is 0.01 percentage point.
A measure of European banks’ reluctance to lend to one another was little changed. 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.
Lenders’ overnight deposits at the European Central Bank were 495 billion euros ($658 billion) yesterday, unchanged from Feb. 7, according to the Frankfurt-based ECB.