HIBOR breaks away from SOFR

By: Macro Strategy Team

June 12, 2025

By: Macro Strategy Team

Macro Strategy Team

The Hong Kong interbank rate (HIBOR) should trade close to the US SOFR rate under normal circumstances due to HKD’s peg to the USD. But since the steep appreciation of TWD in May, HIBOR has decoupled from SOFR. The yield differential with the US is already quite substantial and the interest rate arbitrage of buying higher-yielding USD funded by lower-yielding HKD has not been able to close the interest rate gap for more than a month now, perhaps reflecting the very strong desire to sell the dollar in Asia.

Author Bios

Macro Strategy Team

The Macro Strategy team provides cross-asset research and market intelligence across developed and emerging economies. Their expertise in FX, equities, and fixed income is complemented by proprietary indicators on investor behavior, inflation, and sentiment—turning complex data into actionable insights that help clients anticipate risks and capture opportunities.

1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.