Banks’ Dollar Funding Costs Hold Near One-Month High in Europe
The cost for European banks to borrow in dollars held near the highest in more than a month, 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 little changed at 27 basis points below the euro interbank offered rate at 10:15 a.m. in London, data compiled by Bloomberg show. The measure is the most expensive since Oct. 1.
The one-year basis swap was 28 basis points, or 0.28 percentage point, below Euribor from minus 27 on Nov. 9.
Three-month Euribor, the rate banks say they see each other lending at in euros, was set at a record low 0.192 percent from 0.193 percent on Nov. 9. The benchmark is derived from a daily survey of banks for the European Banking Federation.
A measure of European banks’ reluctance to make unsecured loans to one another held at the lowest in four days. The difference between Euribor and overnight index swaps, known as the Euribor-OIS spread, was little changed at 12 basis points.
The EBF’s euro overnight index average, or Eonia, of unsecured lending deals was set at a record low 0.072 percent on Nov. 9, from 0.087 the day before. The Eonia swap, an estimate of average overnight borrowing costs over the next three months, was 7.2 basis points from 7.5 on Nov. 9.
The volume of overnight lending as measured by the EBF in Brussels rose to 21.8 billion euros ($27.7 billion) of transactions on Nov. 9, the highest since Oct. 30, from 18.2 billion euros the day before. Lenders cut overnight deposits at the European Central Bank to 249 billion euros from 258 billion euros the day before.
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