A crucial no-arbitrage condition on foreign exchange markets, covered interest\ud parity (CIP), held almost exaclty before the Global Financial Crisis (GFC) and\ud failed since then. CIP deviations have been particularly puzzling in relatively calm\ud markets after 2014. This paper explains deviations from CIP, measured by the\ud cross-currency basis from swaps (CCBS), in terms of significant policy and volatility\ud effects in a preferred habitat model of the Eurodollar swap market. Estimation is\ud done using EGARCH in mean for a set of CCBS maturities. The term structure of\ud the CCBS is further analysied in a Vector Error Correction Model (VECM).