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BofA: Hedging Asymmetric Risk In Hong Kong

HONG KONG

With USD/HKD operating around the upper limit of its permitted trading band Bank of America note that “the market is pricing an aggressive narrowing of HK/U.S. rate differentials. We like paying 2-Year HK vs U.S. SOFR IRS as we see an asymmetric profile for Hong Kong rates. A faster-than-expected HKMA draining cycle combined with FX spillover from CNY will keep HKD rates and implied volatility high.”

MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com
MNI London Bureau | +44 0203-865-3809 | anthony.barton@marketnews.com

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