Funding changes break cross-currency, Libor/OIS link

Tax reform and Treasury issuance focuses bank US dollar funding pressures onshore

US Treasury

A dislocation between the US dollar Libor/overnight index swap (OIS) basis and the cross-currency swap basis is being blamed on a fundamental shift in how domestic and foreign banks source US dollar funding.

The combination of US tax reform on January 1 and a $300 billion issuance of short-tenor US Treasuries, known as T-bills, since February 15 has resulted in three-month Libor/OIS rising to 59 basis points from 26bp at the turn of the year. While normally this would be accompanied by a

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: