Back to basis

Interest rates

asiarisk-oct08-06-gif

Towards the end of last year, the global credit crisis had reached critical mass in the Hong Kong fixed-income markets. For the previous six years, the Hong Kong basis spread - the spread between US dollar and Hong Kong dollar cross-currency interest rate swaps - had been trading in positive territory, albeit limited at about +10 basis points (bp).

Between November and March, it fell 70bp to -60bp before recovering to -40bp as of mid-September. While that is not as dramatic as in South Korea, whe

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: