ND IRS (Non Deliverable Interest Rate Swaps). Index, Maturity, Under EUR, LIBOR, Up to 3Y, Up to 375d, Not mandated for clearing by the CFTC. EURIBOR- 19 Feb 2019 EUR 3Y 1s3s Basis Spread. Spread (Swap rate v 3m less Swap rate v 1m)- where Swap rates are for a tenor of 3Y. LBS. EUR1E3E4Y=ICAP. Keywords: Curve building, swap, basis spread, cross currency, collateral rate whereas in Europe it equals the difference of the 3m EUR Libor (not to be 1m Tenor. Loss (%). 6m Tenor. 1y. 0.09. 0.21. 2y. 0.19. 0.33. 3y. 0.28. 0.42. 4y. 0.38.