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 54 basis points below the euro interbank offered rate at 9:20 a.m. in London, according to data compiled by Bloomberg. That’s from minus 56 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 58 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 35.5 basis points.
The Euribor/OIS spread widened to 38 basis points from 37 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 798 billion euros ($999 billion) from 787 billion euros the day before.