• The one-year cross-currency basis swap rate between euros and dollars reached negative 39 basis points on Wednesday 11th November, the largest effective premium for dollar borrowing since September 2012, according to data compiled by Bloomberg.
  • The measure, which was closely watched by investors during the financial crisis as an indicator of stresses in the banking system, reached negative 138 basis points in 2008 following the collapse of Lehman Brothers Holdings Inc.
  • While the increase this month is driven more by monetary-policy divergence it still has implications for global banks.

U.S. companies must pay the most since September 2012 in order to swap those Euro borrowing proceeds back into U.S. Dollars

Source: Data and Graphics from Bloomberg.com