Global banks are so far resisting the urge to change their funding strategies in response to US tax changes and widening Libor spreads, which have made it broadly more expensive to fund their US operations whether locally or by borrowing from abroad.
A glut of Treasury bill supply in the first quarter caused the US dollar Libor/overnight index swap basis (Libor/OIS) – a proxy for bank funding costs – to reach levels not seen since 2009. At the same time, US tax reforms implemented on January 1
- Quant Finance Master’s Guide 2019
- People moves: SocGen adds in prime services, Deutsche fills new rates hole, HSBC makes model move, and more
- Cross-currency swaps could hasten RFR shift in Australia
- Podcast: Kenyon and Berrahoui on the pitfalls of PFE
- EU parliament OKs no-action powers but leaked doc signals delay