For comparative purposes only: Please note that the ... · Graph 1 SORf CORf ARRf ADRf MIN 0.00% 0.00% 0.01% 0.01% MAX 6.60% 6.64% 6.49% 6.53% AVERAGE 1.61% 1.61% 1.60% 1.60% ST DEV

1

General

Bloomberg has provided graphs that roughly illustrate the four approaches to adjusted RFRs and

three spread adjustment methodologies described in Annexes A and B, respectively, to the ISDA

July 2018 Consultation. The graphs cover U.S. dollar (SOFR), Canadian dollar (CORRA) and

Hong Kong dollar (HONIA).

The graphs roughly illustrate the following subset of possible adjusted RFR and spread

adjustment pairs:

Compounded Setting in Arrears Rate with Forward Approach

Compounded Setting in Arrears Rate with Historical Mean/Median Approach

Spot Overnight Rate with Spot-Spread Approach

For comparative purposes only: Compounded Setting in Arrears Rate with Spot-Spread

Approach

This subset of all possible pairs should provide respondents with information to analyze the

remaining possible pairs.

Please note that the examples below are rough illustrations for informational purposes. Actual

build out and implementation of the selected approach may yield different values. However, the

graphs below should provide a good sense of how the approaches would function.

2

Additional Notes Regarding SOFR Data

Official SOFR percentiles and accompanying volumes The Secured Overnight Financing Rate (SOFR) is a broad measure of the cost of borrowing cash

overnight collateralized by Treasury securities. SOFR is calculated as a volume-weighted

median of transaction-level tri-party repurchase (repo) data collected from the Bank of New

York Mellon (BNYM) as well as GCF Repo transaction data and data on bilateral Treasury repo

transactions (filtered to remove a portion of transactions considered “specials”) cleared through

the Fixed Income Clearing Corporation's Delivery-versus-Payment service. The GCF repo data

and bilateral Treasury repo data are obtained from DTCC Solutions LLC, an affiliate of the

Depository Trust & Clearing Corporation.

On a Bloomberg terminal press: {SOFR<GO>} and {SOFRRATE Index Des <GO>}

New York Fed Landing Page for SOFR: Secured Overnight Financing Rate

Dates used for these graphs: April 2, 2018 to March 21, 2019

New York Fed Data Excel®: Secured Overnight Financing Rate data

Use of the Secured Overnight Financing Rate is subject to important disclaimers, limitations and

indemnification obligations. See the New York Fed’s Terms of Use. The New York Fed has no

liability for publication of the rate on its webpage or in any other sources.

Indicative SOFR and accompanying volumes The New York Fed released indicative historical rates for SOFR prior to official publication of

SOFR in April 2018. These indicative, historical data only extended back to August 2014 due to

data availability issues prior to that date.

On a Bloomberg terminal press: {.SOFRHIST G Index HP<GO>} (for indicative SOFR history)

New York Fed Statement Landing Page: FRBNY Statement Introducing the Treasury Repo

Reference Rates

Dates used for these graphs: August 25, 2014 to April 1, 2018

New York Fed Data Excel: Indicative historical SOFR data

Overnight Treasury GC Repo Primary Dealer Survey Rate (%)

Since the late 1990s, the Open Market Trading Desk at the New York Fed has conducted a

survey of primary dealers each morning covering their borrowing activity in the Treasury general

collateral repurchase (repo) market on that day. On March 9, 2018, the New York Fed released a

time series of the volume-weighted mean rate of the primary dealers’ overnight Treasury general

collateral repo borrowing activity collected through the survey (the survey rate).

It is important to note that there are a number of technical differences between the survey rate

and SOFR. The survey rate is calculated as a volume-weighted mean, whereas as SOFR is

calculated as a volume-weighted median of transaction-level data. In addition, the transactions

underlying the survey rate are not as broad as those underlying SOFR; the survey collects only

the general collateral segments of the repo market and does not capture borrowing activity

conducted by non-primary dealer market participants. Nonetheless, the survey rate can play an

https://apps.newyorkfed.org/markets/autorates/SOFR

https://websvcgatewayx2.frbny.org/mktrates_external_httponly/services/v1_0/mktRates/excel/retrieveLastN?n=25000&rateType=R3

https://www.newyorkfed.org/markets/reference-rates-terms-of-use

https://www.newyorkfed.org/markets/opolicy/operating_policy_180403



3

important role in providing insight into how a broad measure of repo market activity would have

behaved over a significantly longer time.

Not Available on the Bloomberg terminal.

New York Fed Statement Landing Page: FRBNY Statement Regarding the Publication of

Historical Repo Rate Data

Dates used for these graphs: June 7, 2000 to August 24, 2014

New York Fed Data Excel: FRBNY Overnight Treasury General Collateral Repo Primary Dealer

Survey Rate





4

Contents

Adjusted RFRs

• Graphs 1 through 6 illustrate the full history of SORf, CORf, ARRf, and ADRf for the 1-

month and 6-month tenors.

• For a more detailed view, the full history for each currency is broken into five shorter

periods in graphs 7 through 12.

Spread Adjustments

• Graphs 13 through 24 illustrate the forwards computed from the IBOR swap and RFR

swap curves and their spreads, in several IBOR tenors.

• Graphs 25 through 36 illustrate an average (mean) spread over the past five years for the

1-month and 6-month IBOR tenors, with linear interpolation/extrapolation over the next

year (i.e., the "transitional period"), and beyond that, constant extrapolation to the mean.

These are all based on the compounded setting in arrears rate.

• Graphs 37 through 60 illustrate the spot-spread approach over the past five years, based

upon 10-day, 5-day, and 1-day (i.e., "spot") moving averages. Graphs 37 through 48 are

based on the spot overnight rate. Graphs 38 through 60 are based on the compounded

setting in arrears rate.

5

Adjusted RFRs

Graphs 1 through 6 illustrate the full history of SORf, CORf, ARRf, and ADRf for the 1-

month and 6-month tenors.

Graph 1

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.01% 0.01%

MAX 6.60% 6.64% 6.49% 6.53%

AVERAGE 1.61% 1.61% 1.60% 1.60%

ST DEV 1.870% 1.879% 1.852% 1.865%

Source: Bloomberg Finance L.P.

0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Rat

es

Date

USD 1M Adjusted RFR Long History

SORf CORf ARRf ADRf

6

Graph 2

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.04% 0.04%

MAX 6.60% 6.82% 6.54% 6.76%

AVERAGE 1.61% 1.64% 1.56% 1.58%

ST DEV 1.870% 1.922% 1.781% 1.847%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

8.00%

Rat

es

Date

USD 6M Adjusted RFR Long History

SORf CORf ARRf ADRf

7

Graph 3

SORf CORf ARRf ADRf

MIN 0.20% 0.20% 0.23% 0.23%

MAX 5.88% 5.91% 5.80% 5.83%

AVERAGE 2.03% 2.03% 2.02% 2.03%

ST DEV 1.520% 1.526% 1.512% 1.522%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Rat

es

Date

CAD 1M Adjusted RFR Long History

SORf CORf ARRf ADRf

8

Graph 4

SORf CORf ARRf ADRf

MIN 0.20% 0.20% 0.24% 0.24%

MAX 5.88% 6.06% 5.85% 6.02%

AVERAGE 2.03% 2.06% 1.99% 2.03%

ST DEV 1.519% 1.559% 1.457% 1.512%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

7.00%

Rat

es

Date

CAD 6M Adjusted RFR Long History

SORf CORf ARRf ADRf

9

Graph 5

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 5.70% 5.73% 4.92% 4.94%

AVERAGE 0.27% 0.27% 0.26% 0.26%

ST DEV 0.656% 0.659% 0.554% 0.558%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

11/2/2007 11/2/2009 11/2/2011 11/2/2013 11/2/2015 11/2/2017

Rat

es

Date

HKD 1M Adjusted RFR Long History

SORf CORf ARRf ADRf

10

Graph 6

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 5.70% 5.87% 2.45% 2.48%

AVERAGE 0.27% 0.25% 0.21% 0.18%

ST DEV 0.656% 0.658% 0.407% 0.393%


11

For a more detailed view, the full history for each currency is broken into five shorter

periods in graphs 7 through 12.

1-month USD (SOFR)

Graph 7-A

SORf CORf ARRf ADRf

MIN 2.16% 2.16% 3.50% 3.43%

MAX 5.31% 5.34% 5.26% 5.28%

AVERAGE 4.79% 4.81% 4.82% 4.79%

ST DEV 0.5639% 0.5682% 0.4897% 0.5631%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

9/2/2005 12/2/2005 3/2/2006 6/2/2006 9/2/2006 12/2/2006 3/2/2007 6/2/2007 9/2/2007

Spre

ad (

bp

s)

Date

USD 1M Rates Pre-crisis

SORF CORf ARRF ADRf

12

Graph 7-B

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.05% 0.05%

MAX 5.20% 5.22% 4.78% 4.98%

AVERAGE 1.60% 1.60% 1.51% 1.70%

ST DEV 1.5811% 1.5871% 1.4797% 1.5915%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

9/4/2007 12/4/2007 3/4/2008 6/4/2008 9/4/2008 12/4/2008 3/4/2009 6/4/2009 9/4/2009

Spre

ad (

bp

s)

Date

USD 1M Rates During-crisis

SORF CORf ARRF ADRf

13

Graph 7-C

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.01% 0.01%

MAX 0.29% 0.29% 0.23% 0.23%

AVERAGE 0.13% 0.13% 0.13% 0.13%

ST DEV 0.0708% 0.0708% 0.0633% 0.0631%


0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

Spre

ad (

bp

s)

Date

USD 1M Rates Post-crisis

SORF CORf ARRF ADRf

14

Graph 7-D

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.02% 0.02%

MAX 0.28% 0.28% 0.22% 0.22%

AVERAGE 0.12% 0.12% 0.12% 0.12%

ST DEV 0.0664% 0.0665% 0.0596% 0.0586%


0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

Spre

ad (

bp

s)

Date

USD 1M Rates 2011-2013

SORF CORf ARRF ADRf

15

Graph 7-E

SORf CORf ARRf ADRf

MIN 0.25% 0.25% 0.27% 0.27%

MAX 2.12% 2.12% 2.04% 1.95%

AVERAGE 1.09% 1.09% 1.12% 1.06%

ST DEV 0.5151% 0.5161% 0.5169% 0.5060%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

9/2/2016 12/2/2016 3/2/2017 6/2/2017 9/2/2017 12/2/2017 3/2/2018 6/2/2018 9/2/2018

Spre

ad (

bp

s)

Date

USD 1M Rates Recent

SORF CORf ARRF ADRf

16

6-month USD (SOFR)

Graph 8-A

SORf CORf ARRf ADRf

MIN 2.16% 2.18% 3.85% 3.03%

MAX 5.31% 5.46% 5.29% 5.43%

AVERAGE 4.79% 4.91% 4.90% 4.72%

ST DEV 0.5639% 0.5898% 0.4034% 0.7660%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

9/2/2005 12/2/2005 3/2/2006 6/2/2006 9/2/2006 12/2/2006 3/2/2007 6/2/2007 9/2/2007

Spre

ad (

bp

s)

Date

USD 6M Rates Pre-crisis

SORF CORf ARRF ADRf

17

Graph 8-B

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.10% 0.18%

MAX 5.20% 5.34% 3.89% 5.25%

AVERAGE 1.60% 1.62% 1.09% 2.25%

ST DEV 1.5811% 1.6165% 1.1156% 1.7720%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

9/4/2007 12/4/2007 3/4/2008 6/4/2008 9/4/2008 12/4/2008 3/4/2009 6/4/2009 9/4/2009

Spre

ad (

bp

s)

Date

USD 6M Rates During-crisis

SORF CORf ARRF ADRf

18

Graph 8-C

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.06% 0.06%

MAX 0.29% 0.29% 0.21% 0.21%

AVERAGE 0.13% 0.13% 0.13% 0.14%

ST DEV 0.0708% 0.0709% 0.0565% 0.0497%


0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

0.35%

Spre

ad (

bp

s)

Date

USD 6M Rates Post-crisis

SORF CORf ARRF ADRf

19

Graph 8-D

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.04% 0.05%

MAX 0.28% 0.28% 0.19% 0.19%

AVERAGE 0.12% 0.12% 0.11% 0.12%

ST DEV 0.0664% 0.0665% 0.0571% 0.0481%


0.00%

0.05%

0.10%

0.15%

0.20%

0.25%

0.30%

Spre

ad (

bp

s)

Date

USD 6M Rates 2011-2013

SORF CORf ARRF ADRf

20

Graph 8-E

SORf CORf ARRf ADRf

MIN 0.25% 0.25% 0.44% 0.37%

MAX 2.12% 2.14% 2.30% 1.82%

AVERAGE 1.09% 1.09% 1.32% 0.91%

ST DEV 0.5151% 0.5211% 0.5431% 0.4459%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

9/2/2016 12/2/2016 3/2/2017 6/2/2017 9/2/2017 12/2/2017 3/2/2018 6/2/2018 9/2/2018

Spre

ad (

bp

s)

Date

USD 6M Rates Recent

SORF CORf ARRF ADRf

21

1-month CAD (CORRA)

Graph 9-A

SORf CORf ARRf ADRf

MIN 2.46% 2.47% 2.69% 2.48%

MAX 4.58% 4.60% 4.53% 4.55%

AVERAGE 3.93% 3.94% 3.97% 3.90%

ST DEV 0.5296% 0.5329% 0.5023% 0.5690%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

9/2/2005 12/2/2005 3/2/2006 6/2/2006 9/2/2006 12/2/2006 3/2/2007 6/2/2007 9/2/2007

Spre

ad (

bp

s)

Date

CAD 1M Rates Pre-crisis

SORF CORf ARRF ADRf

22

Graph 9-B

SORf CORf ARRf ADRf

MIN 0.20% 0.20% 0.23% 0.23%

MAX 4.57% 4.59% 4.53% 4.54%

AVERAGE 2.40% 2.41% 2.32% 2.51%

ST DEV 1.5454% 1.5513% 1.5438% 1.5419%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

9/4/2007 12/4/2007 3/4/2008 6/4/2008 9/4/2008 12/4/2008 3/4/2009 6/4/2009 9/4/2009

Spre

ad (

bp

s)

Date

CAD 1M Rates During-crisis

SORF CORf ARRF ADRf

23

Graph 9-C

SORf CORf ARRf ADRf

MIN 0.23% 0.23% 0.24% 0.24%

MAX 1.03% 1.03% 1.01% 1.01%

AVERAGE 0.74% 0.74% 0.76% 0.72%

ST DEV 0.3318% 0.3321% 0.3240% 0.3360%


0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

Spre

ad (

bp

s)

Date

CAD 1M Rates Post-crisis

SORF CORf ARRF ADRf

24

Graph 9-D

SORf CORf ARRf ADRf

MIN 0.95% 0.95% 0.99% 0.99%

MAX 1.11% 1.11% 1.03% 1.03%

AVERAGE 1.01% 1.01% 1.01% 1.01%

ST DEV 0.0156% 0.0156% 0.0091% 0.0091%


0.85%

0.90%

0.95%

1.00%

1.05%

1.10%

1.15%

Spre

ad (

bp

s)

Date

CAD 1M Rates 2011-2013

SORF CORf ARRF ADRf

25

Graph 9-E

SORf CORf ARRf ADRf

MIN 0.45% 0.45% 0.48% 0.48%

MAX 1.56% 1.56% 1.50% 1.50%

AVERAGE 0.87% 0.87% 0.89% 0.85%

ST DEV 0.3587% 0.3592% 0.3634% 0.3479%


0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

9/2/2016 12/2/2016 3/2/2017 6/2/2017 9/2/2017 12/2/2017 3/2/2018 6/2/2018 9/2/2018

Spre

ad (

bp

s)

Date

CAD 1M Rates Recent

SORF CORf ARRF ADRf

26

6-month CAD (CORRA)

Graph 10-A

SORf CORf ARRf ADRf

MIN 2.46% 2.49% 3.09% 2.53%

MAX 4.58% 4.68% 4.49% 4.46%

AVERAGE 3.93% 4.01% 4.15% 3.80%

ST DEV 0.5296% 0.5493% 0.3563% 0.6846%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

9/2/2005 12/2/2005 3/2/2006 6/2/2006 9/2/2006 12/2/2006 3/2/2007 6/2/2007 9/2/2007

Spre

ad (

bp

s)

Date

CAD 6M Rates Pre-crisis

SORF CORf ARRF ADRf

27

Graph 10-B

SORf CORf ARRf ADRf

MIN 0.20% 0.20% 0.24% 0.30%

MAX 4.57% 4.67% 4.36% 4.60%

AVERAGE 2.40% 2.44% 1.91% 3.00%

ST DEV 1.5454% 1.5807% 1.4396% 1.4162%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

4.50%

5.00%

9/4/2007 12/4/2007 3/4/2008 6/4/2008 9/4/2008 12/4/2008 3/4/2009 6/4/2009 9/4/2009

Spre

ad (

bp

s)

Date

CAD 6M Rates During-crisis

SORF CORf ARRF ADRf

28

Graph 10-C

SORf CORf ARRf ADRf

MIN 0.23% 0.23% 0.25% 0.24%

MAX 1.03% 1.03% 1.01% 1.01%

AVERAGE 0.74% 0.74% 0.84% 0.65%

ST DEV 0.3318% 0.3339% 0.2594% 0.3372%


0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

Spre

ad (

bp

s)

Date

CAD 6M Rates Post-crisis

SORF CORf ARRF ADRf

29

Graph 10-D

SORf CORf ARRf ADRf

MIN 0.95% 0.96% 1.00% 1.01%

MAX 1.11% 1.11% 1.02% 1.03%

AVERAGE 1.01% 1.01% 1.01% 1.02%

ST DEV 0.0156% 0.0158% 0.0053% 0.0046%


0.85%

0.90%

0.95%

1.00%

1.05%

1.10%

1.15%

Spre

ad (

bp

s)

Date

CAD 6M Rates 2011-2013

SORF CORf ARRF ADRf

30

Graph 10-E

SORf CORf ARRf ADRf

MIN 0.45% 0.45% 0.50% 0.50%

MAX 1.56% 1.57% 1.70% 1.34%

AVERAGE 0.87% 0.87% 1.01% 0.76%

ST DEV 0.3587% 0.3620% 0.3956% 0.2976%


0.00%

0.20%

0.40%

0.60%

0.80%

1.00%

1.20%

1.40%

1.60%

1.80%

9/2/2016 12/2/2016 3/2/2017 6/2/2017 9/2/2017 12/2/2017 3/2/2018 6/2/2018 9/2/2018

Spre

ad (

bp

s)

Date

CAD 6M Rates Recent

SORF CORf ARRF ADRf

31

1-month HKD (HONIA)

Graph 11-A

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 3.31% 3.32% 2.63% 4.94%

AVERAGE 0.78% 0.78% 0.75% 0.89%

ST DEV 0.8728% 0.8745% 0.8232% 0.9683%


0.00%

1.00%

2.00%

3.00%

4.00%

5.00%

6.00%

Spre

ad (

bp

s)

Date

HKD 1M Rates Pre-crisis

SORF CORf ARRF ADRf

32

Graph 11-B

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 2.76% 2.76% 1.93% 1.94%

AVERAGE 0.27% 0.27% 0.24% 0.30%

ST DEV 0.5688% 0.5697% 0.5268% 0.5693%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

7/2/2008 10/2/2008 1/2/2009 4/2/2009 7/2/2009 10/2/2009 1/2/2010 4/2/2010 7/2/2010

Spre

ad (

bp

s)

Date

HKD 1M Rates During-crisis

SORF CORf ARRF ADRf

33

Graph 11-C

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 0.14% 0.14% 0.05% 0.05%

AVERAGE 0.01% 0.01% 0.02% 0.01%

ST DEV 0.0180% 0.0180% 0.0118% 0.0118%


0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0.14%

0.16%

Spre

ad (

bp

s)

Date

HKD 1M Rates Post-crisis

SORF CORf ARRF ADRf

34

Graph 11-D

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.01% 0.01%

MAX 0.54% 0.54% 0.14% 0.14%

AVERAGE 0.04% 0.04% 0.04% 0.04%

ST DEV 0.0353% 0.0353% 0.0223% 0.0221%


0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

Spre

ad (

bp

s)

Date

HKD 1M Rates 2011-2013

SORF CORf ARRF ADRf

35

Graph 11-E

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.01% 0.01%

MAX 1.92% 1.92% 0.46% 0.46%

AVERAGE 0.09% 0.09% 0.10% 0.09%

ST DEV 0.1537% 0.1539% 0.1090% 0.0964%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

Spre

ad (

bp

s)

Date

HKD 1M Rates Recent

SORF CORf ARRF ADRf

36

6-month HKD

Graph 12-A

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.02%

MAX 3.31% 3.36% 1.78% 2.48%

AVERAGE 0.78% 0.79% 0.55% 0.80%

ST DEV 0.8728% 0.8827% 0.6326% 0.6999%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

3.50%

4.00%

Spre

ad (

bp

s)

Date

HKD 6M Rates Pre-crisis

SORF CORf ARRF ADRf

37

Graph 12-B

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 2.76% 2.79% 1.05% 1.46%

AVERAGE 0.27% 0.27% 0.11% 0.43%

ST DEV 0.5688% 0.5738% 0.2408% 0.5639%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

3.00%

7/2/2008 10/2/2008 1/2/2009 4/2/2009 7/2/2009 10/2/2009 1/2/2010 4/2/2010 7/2/2010

Spre

ad (

bp

s)

Date

HKD 6M Rates During-crisis

SORF CORf ARRF ADRf

38

Graph 12-C

SORf CORf ARRf ADRf

MIN 0.00% 0.00% 0.00% 0.00%

MAX 0.14% 0.14% 0.05% 0.03%

AVERAGE 0.01% 0.01% 0.02% 0.02%

ST DEV 0.0180% 0.0180% 0.0135% 0.0077%


0.00%

0.02%

0.04%

0.06%

0.08%

0.10%

0.12%

0.14%

0.16%

Spre

ad (

bp

s)

Date

HKD 6M Rates Post-crisis

SORF CORf ARRF ADRf

39

Graph 12-D

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.02% 0.01%

MAX 0.54% 0.54% 0.05% 0.05%

AVERAGE 0.04% 0.04% 0.04% 0.04%

ST DEV 0.0353% 0.0353% 0.0106% 0.0123%


0.00%

0.10%

0.20%

0.30%

0.40%

0.50%

0.60%

Spre

ad (

bp

s)

Date

HKD 6M Rates 2011-2013

SORF CORf ARRF ADRf

40

Graph 12-E

SORf CORf ARRf ADRf

MIN 0.01% 0.01% 0.02% 0.02%

MAX 1.92% 1.94% 0.37% 0.23%

AVERAGE 0.09% 0.09% 0.12% 0.06%

ST DEV 0.1537% 0.1546% 0.0884% 0.0470%


0.00%

0.50%

1.00%

1.50%

2.00%

2.50%

Spre

ad (

bp

s)

Date

HKD 6M Rates Recent

SORF CORf ARRF ADRf

41

Spread Adjustments

Forward Approach

As this is a "forward looking" method, the input market data is based upon the market swap

quotes from only one day. Maturities and curve construction varied across the three currencies.

The graphs are based upon forward swap (or FRA) rates, obtained (calibrated) via "dual curve

stripping" of the input swap curves, using standard Bloomberg interpolation/extrapolation

methods (extrapolation beyond the final input maturity is based upon "constant forward"

extrapolation).

For more information on swap curve construction, dual curve stripping, and

interpolation/extrapolation methods, please see OIS <go> on a Bloomberg Terminal.

Graphs 13 through 24 illustrate the forwards computed from the IBOR swap and RFR

swap curves and their spreads, in several IBOR tenors.

NOTE1: The forward credit spreads shown have multiple points of inflection (i.e., they vary

back and forth between convex and concave shape, etc.). This could be improved with joint

curve calibration/stripping. However for the purpose of this consultation, these graphs should

suffice as a reasonable, approximate representation of forwards spreads.

NOTE2: The RFR swap forwards that are projected from this calibration of OIS market quotes,

are (implicitly) consistent with the compounded setting in arrears rate, as described in Annex A

of the ISDA July 2018 Consultation.

42

USD (SOFR)

Graph 13


0

5

10

15

20

25

30

35

40

45

50

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years

USD 1M Forward Rates and Spreads

USD.1M OIS diff

43

Graph 14


0

5

10

15

20

25

30

35

40

45

50

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years


USD.3M OIS diff

44

Graph 15


0

10

20

30

40

50

60

70

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years


USD.BASIS.3M.6M OIS diff

45

Graph 16


0

10

20

30

40

50

60

70

80

0

0.5

1

1.5

2

2.5

3

3.5

4

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years


USD.12M OIS diff

46

Graph 17


0

10

20

30

40

50

60

70

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Years

USD Forward Spreads

1mo 3mo 6mo 12mo

47

CAD (CORRA)

Graph 18


0

5

10

15

20

25

30

35

40

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years

CAD 1M Forward Rates and Spreads

CAD.1M OIS diff

48

Graph 19


10

15

20

25

30

35

40

45

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years

CAD 3M Forward Rates and Spreads

CAD.3M OIS diff

49

Graph 20


0

5

10

15

20

25

30

35

40

45

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Years

CAD Forward Spreads

1mo 3mo

50

HKD (HONIA)

Graph 21


0

20

40

60

80

100

120

0

0.5

1

1.5

2

2.5

3

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years

HKD 1M Forward Rates and Spreads

HKD.1M OIS diff

51

Graph 22


0

20

40

60

80

100

120

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years


HKD.3M OIS diff

52

Graph 23


0

20

40

60

80

100

120

140

0

0.5

1

1.5

2

2.5

3

3.5

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Rat

es

Years


s311 OIS diff

53

Graph 24


0

20

40

60

80

100

120

140

0 10 20 30 40 50 60 70

Spre

ad (

bp

s)

Years

HKD Forward Spreads

1mo 3mo 6mo

54

Historical Mean/Median Approach

Graphs 25 through 36 illustrate an average (mean) spread over the past five years for the

1-month and 6-month IBOR tenors, with linear interpolation/extrapolation over the next

year (i.e., the "transitional period"), and beyond that, constant extrapolation to the mean.

These are all based on the compounded setting in arrears rate.

55

USD (SOFR)

Graph 25


-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00

4/1/2012 8/14/2013 12/27/2014 5/10/2016 9/22/2017 2/4/2019 6/18/2020 10/31/2021

Spre

ad (

bp

s)

Date

USD 1M Credit Spread (Method 2) with ARRf; Long History View

Future Past

56

Graph 26


-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00

3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 1/4/2021

Spre

ad (

bp

s)

Date

USD 1M Credit Spread (Method 2) with ARRf; Short History View

Future Past

57

Graph 27


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

4/1/2012 8/14/2013 12/27/2014 5/10/2016 9/22/2017 2/4/2019 6/18/2020 10/31/2021

Spre

ad (

bp

s)

Date

USD 6M Credit Spread (Method 2) with ARRf; Long History View

Future Past

58

Graph 28


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020

Spre

ad (

bp

s)

Date

USD 6M Credit Spread (Method 2) with ARRf; Short History View

Future Past

59

CAD (CORRA)

Graph 29


0.00

10.00

20.00

30.00

40.00

50.00

60.00

4/1/2012 8/14/2013 12/27/2014 5/10/2016 9/22/2017 2/4/2019 6/18/2020 10/31/2021

Spre

ad (

bp

s)

Date

CAD 1M Credit Spread (Method 2) with ARRf; Long History View

Future Past

60

Graph 30


0.00

10.00

20.00

30.00

40.00

50.00

60.00

3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020 1/4/2021

Spre

ad (

bp

s)

Date

CAD 1M Credit Spread (Method 2) with ARRf; Short History View

Future Past

61

Graph 31


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

4/1/2012 8/14/2013 12/27/2014 5/10/2016 9/22/2017 2/4/2019 6/18/2020 10/31/2021

Spre

ad (

bp

s)

Date

CAD 6M Credit Spread (Method 2) with ARRf; Long History View

Future Past

62

Graph 32


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

3/6/2017 9/22/2017 4/10/2018 10/27/2018 5/15/2019 12/1/2019 6/18/2020

Spre

ad (

bp

s)

Date

CAD 6M Credit Spread (Method 2) with ARRf; Short History View

Future Past

63

HKD (HONIA)

Graph 33


-50.00

0.00

50.00

100.00

150.00

200.00

6/1/2008 1/22/2010 9/14/2011 5/6/2013 12/27/2014 8/18/2016 4/10/2018 12/1/2019 7/23/2021

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 2) with ARRf; Long History View

Future Past

64

Graph 34


-50.00

0.00

50.00

100.00

150.00

200.00

12/27/2014 10/23/2015 8/18/2016 6/14/2017 4/10/2018 2/4/2019 12/1/2019 9/26/2020 7/23/2021

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 2) with ARRf; Short History View

Future Past

65

Graph 35


0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

6/1/2008 1/22/2010 9/14/2011 5/6/2013 12/27/2014 8/18/2016 4/10/2018 12/1/2019 7/23/2021

Spre

ad (

bp

s)

Date

HKD 6M Credit Spread (Method 2) with ARRf; Long History View

Future Past

66

Graph 36


0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

12/27/2014 10/23/2015 8/18/2016 6/14/2017 4/10/2018 2/4/2019 12/1/2019 9/26/2020

Spre

ad (

bp

s)

Date

HKD 6M Credit Spread (Method 2) with ARRf; Short History View

Future Past

67

Spot-Spread Approach

Graphs 37 through 60 illustrate the spot-spread approach over the past five years, based

upon 10-day, 5-day, and 1-day (i.e., "spot") moving averages.

Graphs 37 through 48 are based on the spot overnight rate.

Graphs 49 through 60 are based on the compounded setting in arrears rate. Please note

that ISDA does not contemplate implementing the compounded setting in arrears rate with

the spot-spread approach. Therefore these graphs are provided only for purposes of

comparing the spot-spread approach to the historical mean/median approach and the

forward approach (both of which are illustrated above based on the compounded in

arrears rate).

68

USD (SOFR)

Graph 37


-80.00

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

21

-Au

g-1

3

21

-No

v-1

3

21

-Fe

b-1

4

21

-May

-14

21

-Au

g-1

4

21

-No

v-1

4

21

-Fe

b-1

5

21

-May

-15

21

-Au

g-1

5

21

-No

v-1

5

21

-Fe

b-1

6

21

-May

-16

21

-Au

g-1

6

21

-No

v-1

6

21

-Fe

b-1

7

21

-May

-17

21

-Au

g-1

7

21

-No

v-1

7

21

-Fe

b-1

8

21

-May

-18

21

-Au

g-1

8

21

-No

v-1

8

Spre

ad (

bp

s)

DateUSD 1M Credit Spread (Method 3) with SORf Long History View

5day moving avg 10day moving avg Spot

69

Graph 38


-80.00

-60.00

-40.00

-20.00

0.00

20.00

40.00

60.00

Spre

ad (

bp

s)

DateUSD 1M Credit Spread (Method 3) with SORf Short History View


70

Graph 39


0.00

20.00

40.00

60.00

80.00

100.00

120.00

21

-Au

g-1

3

21

-No

v-1

3

21

-Fe

b-1

4

21

-May

-14

21

-Au

g-1

4

21

-No

v-1

4

21

-Fe

b-1

5

21

-May

-15

21

-Au

g-1

5

21

-No

v-1

5

21

-Fe

b-1

6

21

-May

-16

21

-Au

g-1

6

21

-No

v-1

6

21

-Fe

b-1

7

21

-May

-17

21

-Au

g-1

7

21

-No

v-1

7

21

-Fe

b-1

8

21

-May

-18

21

-Au

g-1

8

Spre

ad (

bp

s)

DateUSD 6M Credit Spread (Method 3) with SORf Long History View


71

Graph 40


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

100.00

Spre

ad (

bp

s)

DateUSD 6M Credit Spread (Method 3) with SORf Short History View


72

CAD (CORRA)

Graph 41


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

12

-Au

g-1

3

12

-No

v-1

3

12

-Fe

b-1

4

12

-May

-14

12

-Au

g-1

4

12

-No

v-1

4

12

-Fe

b-1

5

12

-May

-15

12

-Au

g-1

5

12

-No

v-1

5

12

-Fe

b-1

6

12

-May

-16

12

-Au

g-1

6

12

-No

v-1

6

12

-Fe

b-1

7

12

-May

-17

12

-Au

g-1

7

12

-No

v-1

7

12

-Fe

b-1

8

12

-May

-18

12

-Au

g-1

8

12

-No

v-1

8

12

-Fe

b-1

9

Spre

ad (

bp

s)

DateCAD 1M Credit Spread (Method 3) with SORf Long History View


73

Graph 42


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

Spre

ad (

bp

s)

DateCAD 1M Credit Spread (Method 3) with SORf Short History View


74

Graph 43


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

100.00

13

-Au

g-1

3

13

-No

v-1

3

13

-Fe

b-1

4

13

-May

-14

13

-Au

g-1

4

13

-No

v-1

4

13

-Fe

b-1

5

13

-May

-15

13

-Au

g-1

5

13

-No

v-1

5

13

-Fe

b-1

6

13

-May

-16

13

-Au

g-1

6

13

-No

v-1

6

13

-Fe

b-1

7

13

-May

-17

13

-Au

g-1

7

13

-No

v-1

7

13

-Fe

b-1

8

13

-May

-18

13

-Au

g-1

8

Spre

ad (

bp

s)

DateCAD 6M Credit Spread (Method 3) with SORf Long History View


75

Graph 44


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

100.00

Spre

ad (

bp

s)

DateCAD 6M Credit Spread (Method 3) with SORf Short History View


76

HKD (HONIA)

Graph 45


-200.00

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

15

-Oct

-09

15

-Jan

-10

15

-Ap

r-1

01

5-J

ul-

10

15

-Oct

-10

15

-Jan

-11

15

-Ap

r-1

11

5-J

ul-

11

15

-Oct

-11

15

-Jan

-12

15

-Ap

r-1

21

5-J

ul-

12

15

-Oct

-12

15

-Jan

-13

15

-Ap

r-1

31

5-J

ul-

13

15

-Oct

-13

15

-Jan

-14

15

-Ap

r-1

41

5-J

ul-

14

15

-Oct

-14

15

-Jan

-15

15

-Ap

r-1

51

5-J

ul-

15

15

-Oct

-15

15

-Jan

-16

15

-Ap

r-1

61

5-J

ul-

16

15

-Oct

-16

15

-Jan

-17

15

-Ap

r-1

71

5-J

ul-

17

15

-Oct

-17

15

-Jan

-18

15

-Ap

r-1

81

5-J

ul-

18

15

-Oct

-18

15

-Jan

-19

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 3) with SORf Long History View


77

Graph 46


-200.00

-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

26

-No

v-1

52

6-D

ec-1

52

6-J

an-1

62

6-F

eb

-16

26

-Mar

-16

26

-Ap

r-1

62

6-M

ay-1

62

6-J

un

-16

26

-Ju

l-1

62

6-A

ug-

16

26

-Se

p-1

62

6-O

ct-1

62

6-N

ov-

16

26

-Dec

-16

26

-Jan

-17

26

-Fe

b-1

72

6-M

ar-1

72

6-A

pr-

17

26

-May

-17

26

-Ju

n-1

72

6-J

ul-

17

26

-Au

g-1

72

6-S

ep

-17

26

-Oct

-17

26

-No

v-1

72

6-D

ec-1

72

6-J

an-1

82

6-F

eb

-18

26

-Mar

-18

26

-Ap

r-1

82

6-M

ay-1

82

6-J

un

-18

26

-Ju

l-1

82

6-A

ug-

18

26

-Se

p-1

82

6-O

ct-1

82

6-N

ov-

18

26

-Dec

-18

26

-Jan

-19

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 3) with SORf Short History View


78

Graph 47


-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

15

-Oct

-09

15

-Jan

-10

15

-Ap

r-1

01

5-J

ul-

10

15

-Oct

-10

15

-Jan

-11

15

-Ap

r-1

11

5-J

ul-

11

15

-Oct

-11

15

-Jan

-12

15

-Ap

r-1

21

5-J

ul-

12

15

-Oct

-12

15

-Jan

-13

15

-Ap

r-1

31

5-J

ul-

13

15

-Oct

-13

15

-Jan

-14

15

-Ap

r-1

41

5-J

ul-

14

15

-Oct

-14

15

-Jan

-15

15

-Ap

r-1

51

5-J

ul-

15

15

-Oct

-15

15

-Jan

-16

15

-Ap

r-1

61

5-J

ul-

16

15

-Oct

-16

15

-Jan

-17

15

-Ap

r-1

71

5-J

ul-

17

15

-Oct

-17

15

-Jan

-18

15

-Ap

r-1

81

5-J

ul-

18

Spre

ad (

bp

s)

Date

HKD 6M Credit Spread (Method 3) with SORf Long History View


79

Graph 48


-150.00

-100.00

-50.00

0.00

50.00

100.00

150.00

200.00

250.00

26

-No

v-1

52

6-D

ec-1

5

26

-Jan

-16

26

-Fe

b-1

62

6-M

ar-1

6

26

-Ap

r-1

62

6-M

ay-1

6

26

-Ju

n-1

62

6-J

ul-

16

26

-Au

g-1

6

26

-Se

p-1

62

6-O

ct-1

6

26

-No

v-1

62

6-D

ec-1

6

26

-Jan

-17

26

-Fe

b-1

72

6-M

ar-1

7

26

-Ap

r-1

72

6-M

ay-1

7

26

-Ju

n-1

72

6-J

ul-

17

26

-Au

g-1

7

26

-Se

p-1

72

6-O

ct-1

7

26

-No

v-1

72

6-D

ec-1

7

26

-Jan

-18

26

-Fe

b-1

82

6-M

ar-1

8

26

-Ap

r-1

82

6-M

ay-1

8

26

-Ju

n-1

82

6-J

ul-

18

26

-Au

g-1

8

Spre

ad (

bp

s)

Date

HKD 6M Credit Spread (Method 3) with SORf Short History View


80

USD (SOFR)

Graph 49


-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00

21

-Au

g-1

3

21

-No

v-1

3

21

-Fe

b-1

4

21

-May

-14

21

-Au

g-1

4

21

-No

v-1

4

21

-Fe

b-1

5

21

-May

-15

21

-Au

g-1

5

21

-No

v-1

5

21

-Fe

b-1

6

21

-May

-16

21

-Au

g-1

6

21

-No

v-1

6

21

-Fe

b-1

7

21

-May

-17

21

-Au

g-1

7

21

-No

v-1

7

21

-Fe

b-1

8

21

-May

-18

21

-Au

g-1

8

21

-No

v-1

8

Spre

ad (

bp

s)

Date

USD 1M Credit Spread (Method 3) with ARRf Long History View


81

Graph 50


-10.00

-5.00

0.00

5.00

10.00

15.00

20.00

25.00

30.00

Spre

ad (

bp

s)

Date

USD 1M Credit Spread (Method 3) with ARRf Short History View


82

Graph 51


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

80.00

90.00

21

-Au

g-1

3

21

-No

v-1

3

21

-Fe

b-1

4

21

-May

-14

21

-Au

g-1

4

21

-No

v-1

4

21

-Fe

b-1

5

21

-May

-15

21

-Au

g-1

5

21

-No

v-1

5

21

-Fe

b-1

6

21

-May

-16

21

-Au

g-1

6

21

-No

v-1

6

21

-Fe

b-1

7

21

-May

-17

21

-Au

g-1

7

21

-No

v-1

7

21

-Fe

b-1

8

21

-May

-18

21

-Au

g-1

8

Spre

ad (

bp

s)

Date

USD 6M Credit Spread (Method 3) with ARRf Long History View


83

Graph 52


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

Spre

ad (

bp

s)

DateUSD 6M Credit Spread (Method 3) with ARRf Short History View


84

CAD (CORRA)

Graph 53


0.00

10.00

20.00

30.00

40.00

50.00

60.00

12

-Au

g-1

3

12

-No

v-1

3

12

-Fe

b-1

4

12

-May

-14

12

-Au

g-1

4

12

-No

v-1

4

12

-Fe

b-1

5

12

-May

-15

12

-Au

g-1

5

12

-No

v-1

5

12

-Fe

b-1

6

12

-May

-16

12

-Au

g-1

6

12

-No

v-1

6

12

-Fe

b-1

7

12

-May

-17

12

-Au

g-1

7

12

-No

v-1

7

12

-Fe

b-1

8

12

-May

-18

12

-Au

g-1

8

12

-No

v-1

8

12

-Fe

b-1

9

Spre

ad (

bp

s)

Date

CAD 1M Credit Spread (Method 3) with ARRf Long History View


85

Graph 54


0.00

10.00

20.00

30.00

40.00

50.00

60.00

Spre

ad (

bp

s)

Date

CAD 1M Credit Spread (Method 3) with ARRf Short History View


86

Graph 55


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

13

-Au

g-1

3

13

-No

v-1

3

13

-Fe

b-1

4

13

-May

-14

13

-Au

g-1

4

13

-No

v-1

4

13

-Fe

b-1

5

13

-May

-15

13

-Au

g-1

5

13

-No

v-1

5

13

-Fe

b-1

6

13

-May

-16

13

-Au

g-1

6

13

-No

v-1

6

13

-Fe

b-1

7

13

-May

-17

13

-Au

g-1

7

13

-No

v-1

7

13

-Fe

b-1

8

13

-May

-18

13

-Au

g-1

8

Spre

ad (

bp

s)

Date

CAD 6M Credit Spread (Method 3) with ARRf Long History View


87

Graph 56


0.00

10.00

20.00

30.00

40.00

50.00

60.00

70.00

Spre

ad (

bp

s)

Date

CAD 6M Credit Spread (Method 3) with ARRf Short History View


88

HKD (HONIA)

Graph 57


-50.00

0.00

50.00

100.00

150.00

200.00

15

-Oct

-09

15

-Jan

-10

15

-Ap

r-1

01

5-J

ul-

10

15

-Oct

-10

15

-Jan

-11

15

-Ap

r-1

11

5-J

ul-

11

15

-Oct

-11

15

-Jan

-12

15

-Ap

r-1

21

5-J

ul-

12

15

-Oct

-12

15

-Jan

-13

15

-Ap

r-1

31

5-J

ul-

13

15

-Oct

-13

15

-Jan

-14

15

-Ap

r-1

41

5-J

ul-

14

15

-Oct

-14

15

-Jan

-15

15

-Ap

r-1

51

5-J

ul-

15

15

-Oct

-15

15

-Jan

-16

15

-Ap

r-1

61

5-J

ul-

16

15

-Oct

-16

15

-Jan

-17

15

-Ap

r-1

71

5-J

ul-

17

15

-Oct

-17

15

-Jan

-18

15

-Ap

r-1

81

5-J

ul-

18

15

-Oct

-18

15

-Jan

-19

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 3) with ARRf Long History View


89

Graph 58


-50.00

0.00

50.00

100.00

150.00

200.00

26

-No

v-1

52

6-D

ec-1

52

6-J

an-1

62

6-F

eb

-16

26

-Mar

-16

26

-Ap

r-1

62

6-M

ay-1

62

6-J

un

-16

26

-Ju

l-1

62

6-A

ug-

16

26

-Se

p-1

62

6-O

ct-1

62

6-N

ov-

16

26

-Dec

-16

26

-Jan

-17

26

-Fe

b-1

72

6-M

ar-1

72

6-A

pr-

17

26

-May

-17

26

-Ju

n-1

72

6-J

ul-

17

26

-Au

g-1

72

6-S

ep

-17

26

-Oct

-17

26

-No

v-1

72

6-D

ec-1

72

6-J

an-1

82

6-F

eb

-18

26

-Mar

-18

26

-Ap

r-1

82

6-M

ay-1

82

6-J

un

-18

26

-Ju

l-1

82

6-A

ug-

18

26

-Se

p-1

82

6-O

ct-1

82

6-N

ov-

18

26

-Dec

-18

26

-Jan

-19

Spre

ad (

bp

s)

Date

HKD 1M Credit Spread (Method 3) with ARRf Short History View


90

Graph 59


0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

15

-Oct

-09

15

-Jan

-10

15

-Ap

r-1

01

5-J

ul-

10

15

-Oct

-10

15

-Jan

-11

15

-Ap

r-1

11

5-J

ul-

11

15

-Oct

-11

15

-Jan

-12

15

-Ap

r-1

21

5-J

ul-

12

15

-Oct

-12

15

-Jan

-13

15

-Ap

r-1

31

5-J

ul-

13

15

-Oct

-13

15

-Jan

-14

15

-Ap

r-1

41

5-J

ul-

14

15

-Oct

-14

15

-Jan

-15

15

-Ap

r-1

51

5-J

ul-

15

15

-Oct

-15

15

-Jan

-16

15

-Ap

r-1

61

5-J

ul-

16

15

-Oct

-16

15

-Jan

-17

15

-Ap

r-1

71

5-J

ul-

17

15

-Oct

-17

15

-Jan

-18

15

-Ap

r-1

81

5-J

ul-

18

Spre

ad (

bp

s)

Date

HKD 6M Credit Spread (Method 3) with ARRf Long History View


91

Graph 60


0.00

20.00

40.00

60.00

80.00

100.00

120.00

140.00

160.00

26

-No

v-1

52

6-D

ec-1

5

26

-Jan

-16

26

-Fe

b-1

62

6-M

ar-1

6

26

-Ap

r-1

62

6-M

ay-1

6

26

-Ju

n-1

62

6-J

ul-

16

26

-Au

g-1

6

26

-Se

p-1

62

6-O

ct-1

6

26

-No

v-1

62

6-D

ec-1

6

26

-Jan

-17

26

-Fe

b-1

72

6-M

ar-1

7

26

-Ap

r-1

72

6-M

ay-1

7

26

-Ju

n-1

72

6-J

ul-

17

26

-Au

g-1

7

26

-Se

p-1

72

6-O

ct-1

7

26

-No

v-1

72

6-D

ec-1

7

26

-Jan

-18

26

-Fe

b-1

82

6-M

ar-1

8

26

-Ap

r-1

82

6-M

ay-1

8

26

-Ju

n-1

82

6-J

ul-

18

26

-Au

g-1

8

Spre

ad (

bp

s)

DateHKD 6M Credit Spread (Method 3) with ARRf Short History View


Documents

For comparative purposes only: Please note that the ... · Graph 1 SORf CORf ARRf ADRf MIN 0.00% 0.00% 0.01% 0.01% MAX 6.60% 6.64% 6.49% 6.53% AVERAGE 1.61% 1.61% 1.60% 1.60% ST DEV