Indeed, even framing the issue in terms of relative rates of return, rather than in terms of funding and investing currencies shifts the focus. The papers at this symposium generally address these issues, coming at them from a variety of perspectives.
A common theme across the papers is that banks aren’t the only players and that the arbitrage is not risk free, and perhaps at least as important, the arbitrage is not costless. The manner in which it is not risk free and what and how large the costs are, very much depends on who you are.