Its not just our European colleagues who are struggling under the weight of collateral value losses and de-hypothecation, the USD funding shortage is just as evident in Japan. As part of the globally coordinated central bank swap line extension, the Bank of Japan saw bids for their 84-day USD loans explode by 48 times to around $4.8bn. After jumping 25x the previous week, the short-dated loans (one-week term) demand drifted as demand for the 84-day loans (which would get them over the holiday/end-of-year funding debacles and a decent way into the first quarter refi-ganza of next year) was far preferred at the obviously preferential rate of 50bps over 3 month OIS (0.61%). It's also worth noting that the size and demand for Euro-based USD funding is still significantly higher and while cross-currency basis swaps for both JPY and EUR are leaking back towards extreme stress levels, the EUR-USD is getting worse faster than the JPY-USD level (as the differential has widened from 56bps to 78bps in the last week).
Both the JPY-USD and EUR-USD basis swaps are drifting back wider as the initial knee-jerk reaction to the swap lines was positive but as is very evident from the lower pane - the demand for USD relative to EUR is growing much faster as the differential has widened back close to record levels again.
(As an FYI, the longer-term JPY-USD basis swap market has been much more active than the short-term until the last 6 months when short-dated funding needs obviously picked up. The longer-term swap levels are significantly higher than the short-term still as traders find it a long-term way to manage currency exposure against the momentum behind the JPY-USD FX rate trend).
