货币基差及其定价因素分析

An Introduction to Cross-Currency Basis, Its Pricing Methodologies and Driving Factors

美元货币市场上,货币基差是重要的流动性监测指标,它衡量了非美金融机构和企业的美元流动性获取能力。本文详细介绍货币基差的概念、定价逻辑和作用,并逐一分析美联储外国央行操作、衍生品的供需状况、监管指标等多种影响货币基差走势的重要因素,最后对货币基差未来走势进行展望。

Cross-currency basis is a key indicator for liquidity in US dollar money markets. It measures the capability to source dollar liquidity by non-US financial institutions and corporate entities. This paper offers a definition of cross-currency basis and explains its pricing logic. And demonstrates how the basis is driven by Fed swap lines as well as the supply and demand of derivatives and regulation ratios, including SLR and NSFR. This paper also provides a forecast of future trends for this indicator.