---
ticker: "KRFXCCB5"
title: "South Korean Won to U.S. Dollar 5-Year Cross-Currency Basis"
unit: "bp"
frequency: "Daily"
source: ""
release: "Updated Daily"
category: "Exchange Rates"
country: "KR"
language: "en"
canonical: "https://kred.dev/en/series/KRFXCCB5"
license: "https://creativecommons.org/licenses/by-nc-nd/4.0/"
latest_value: -43.75
latest_date: "2026-09-09"
first_date: "2002-02-21"
observations_total: 6030
observations_shown: 120
---

# South Korean Won to U.S. Dollar 5-Year Cross-Currency Basis

## Overview

The structural, five-year component, set by standing hedging demand and limited dealer capacity.

## Key Figures

|  | Value | Date |
|---|---|---|
| Latest | -43.75 | 2026-09-09 |
| Change from previous | -5.25 | 2026-09-08 |
| Change over one year | -4.75 | 2025-09-09 |
| Highest on record | 43.00 | 2005-11-14 |
| Lowest on record | -344.00 | 2009-03-31 |
| Period covered | 2002-02-21 – 2026-09-09 |  |
| Observations | 6030 |  |

## Recent observations

| Date | Value | Change |
|---|---|---|
| 2026-03-06 | -42.75 | -4.75 |
| 2026-03-09 | -50.50 | -7.75 |
| 2026-03-10 | -48.50 | +2.00 |
| 2026-03-11 | -47.00 | +1.50 |
| 2026-03-12 | -45.25 | +1.75 |
| 2026-03-13 | -47.50 | -2.25 |
| 2026-03-16 | -47.50 | 0.00 |
| 2026-03-17 | -47.00 | +0.50 |
| 2026-03-18 | -40.75 | +6.25 |
| 2026-03-19 | -42.50 | -1.75 |
| 2026-03-20 | -44.00 | -1.50 |
| 2026-03-23 | -51.50 | -7.50 |
| 2026-03-24 | -45.25 | +6.25 |
| 2026-03-25 | -46.25 | -1.00 |
| 2026-03-26 | -46.50 | -0.25 |
| 2026-03-27 | -47.00 | -0.50 |
| 2026-03-30 | -45.00 | +2.00 |
| 2026-03-31 | -48.50 | -3.50 |
| 2026-04-01 | -43.75 | +4.75 |
| 2026-04-02 | -50.25 | -6.50 |
| 2026-04-03 | -51.00 | -0.75 |
| 2026-04-06 | -52.00 | -1.00 |
| 2026-04-07 | -52.50 | -0.50 |
| 2026-04-08 | -51.25 | +1.25 |
| 2026-04-09 | -51.75 | -0.50 |
| 2026-04-10 | -52.75 | -1.00 |
| 2026-04-13 | -54.00 | -1.25 |
| 2026-04-14 | -50.00 | +4.00 |
| 2026-04-15 | -52.75 | -2.75 |
| 2026-04-16 | -52.00 | +0.75 |
| 2026-04-17 | -51.50 | +0.50 |
| 2026-04-20 | -51.25 | +0.25 |
| 2026-04-21 | -49.00 | +2.25 |
| 2026-04-22 | -48.50 | +0.50 |
| 2026-04-23 | -53.25 | -4.75 |
| 2026-04-24 | -53.75 | -0.50 |
| 2026-04-27 | -48.50 | +5.25 |
| 2026-04-28 | -44.50 | +4.00 |
| 2026-04-29 | -46.25 | -1.75 |
| 2026-04-30 | -50.00 | -3.75 |
| 2026-05-04 | -50.00 | 0.00 |
| 2026-05-06 | -50.50 | -0.50 |
| 2026-05-07 | -49.25 | +1.25 |
| 2026-05-08 | -47.00 | +2.25 |
| 2026-05-11 | -49.50 | -2.50 |
| 2026-05-12 | -52.75 | -3.25 |
| 2026-05-13 | -50.75 | +2.00 |
| 2026-05-14 | -52.75 | -2.00 |
| 2026-05-15 | -54.25 | -1.50 |
| 2026-05-18 | -52.00 | +2.25 |
| 2026-05-19 | -49.00 | +3.00 |
| 2026-05-20 | -48.50 | +0.50 |
| 2026-05-21 | -49.75 | -1.25 |
| 2026-05-22 | -50.25 | -0.50 |
| 2026-05-29 | -53.00 | -2.75 |
| 2026-06-05 | -57.00 | -4.00 |
| 2026-06-10 | -52.75 | +4.25 |
| 2026-06-11 | -55.25 | -2.50 |
| 2026-06-12 | -50.75 | +4.50 |
| 2026-06-15 | -50.25 | +0.50 |
| 2026-06-16 | -55.25 | -5.00 |
| 2026-06-17 | -51.75 | +3.50 |
| 2026-06-18 | -57.00 | -5.25 |
| 2026-06-19 | -56.50 | +0.50 |
| 2026-06-22 | -59.25 | -2.75 |
| 2026-06-23 | -57.50 | +1.75 |
| 2026-06-24 | -57.75 | -0.25 |
| 2026-06-25 | -59.00 | -1.25 |
| 2026-06-26 | -52.75 | +6.25 |
| 2026-06-29 | -50.50 | +2.25 |
| 2026-06-30 | -43.50 | +7.00 |
| 2026-07-01 | -50.00 | -6.50 |
| 2026-07-02 | -48.75 | +1.25 |
| 2026-07-03 | -47.25 | +1.50 |
| 2026-07-06 | -46.00 | +1.25 |
| 2026-07-07 | -50.50 | -4.50 |
| 2026-07-08 | -52.75 | -2.25 |
| 2026-07-09 | -51.50 | +1.25 |
| 2026-07-10 | -48.50 | +3.00 |
| 2026-07-13 | -47.25 | +1.25 |
| 2026-07-14 | -52.00 | -4.75 |
| 2026-07-15 | -50.25 | +1.75 |
| 2026-07-16 | -49.25 | +1.00 |
| 2026-07-20 | -50.50 | -1.25 |
| 2026-07-21 | -46.25 | +4.25 |
| 2026-07-22 | -46.25 | 0.00 |
| 2026-07-23 | -45.25 | +1.00 |
| 2026-07-24 | -46.75 | -1.50 |
| 2026-07-27 | -47.50 | -0.75 |
| 2026-07-28 | -44.00 | +3.50 |
| 2026-07-29 | -40.75 | +3.25 |
| 2026-07-30 | -42.00 | -1.25 |
| 2026-07-31 | -40.00 | +2.00 |
| 2026-08-03 | -37.25 | +2.75 |
| 2026-08-04 | -37.50 | -0.25 |
| 2026-08-05 | -35.75 | +1.75 |
| 2026-08-06 | -40.00 | -4.25 |
| 2026-08-07 | -40.25 | -0.25 |
| 2026-08-10 | -44.25 | -4.00 |
| 2026-08-11 | -43.75 | +0.50 |
| 2026-08-12 | -42.50 | +1.25 |
| 2026-08-13 | -43.75 | -1.25 |
| 2026-08-14 | -42.75 | +1.00 |
| 2026-08-18 | -40.25 | +2.50 |
| 2026-08-19 | -36.75 | +3.50 |
| 2026-08-20 | -35.75 | +1.00 |
| 2026-08-21 | -38.00 | -2.25 |
| 2026-08-24 | -35.75 | +2.25 |
| 2026-08-25 | -36.25 | -0.50 |
| 2026-08-26 | -34.00 | +2.25 |
| 2026-08-27 | -31.75 | +2.25 |
| 2026-08-28 | -35.50 | -3.75 |
| 2026-08-31 | -36.00 | -0.50 |
| 2026-09-01 | -35.75 | +0.25 |
| 2026-09-02 | -38.00 | -2.25 |
| 2026-09-03 | -37.25 | +0.75 |
| 2026-09-04 | -39.00 | -1.75 |
| 2026-09-07 | -38.50 | +0.50 |
| 2026-09-08 | -38.50 | 0.00 |
| 2026-09-09 | -43.75 | -5.25 |

## Definition

The cross-currency basis is the deviation from covered interest parity (CIP) in the market for swapping Korean won into U.S. dollars, where under CIP the basis is zero and a negative basis means synthetic dollar funding carries a premium over direct borrowing (Du, Tepper, and Verdelhan 2018). This series is the basis at the 5-year tenor, which captures the medium-term, structural component of the basis rather than transient short-horizon funding spikes.

At the 5-year horizon the basis reflects the persistent imbalance between standing hedging demand for dollars and the costly balance-sheet capacity that supplies it (Sushko et al. 2016). It therefore moves more slowly than the 1-year and is a cleaner read on the structural negative basis than on acute funding stress. It is reported in basis points.

## Methodology

The basis is a direct difference of two quoted swap rates at the matched tenor, with no estimation or model layer.

**(1) Mid pricing.** The cross-currency interest-rate swap (CCIRS) and the won interest-rate swap (IRS) are reduced to mid quotes,

$$p^{\text{mid}}_{t,\tau} = \tfrac{1}{2}\left(p^{\text{offer}}_{t,\tau} + p^{\text{bid}}_{t,\tau}\right).$$

**(2) Basis construction.** The basis is the CCIRS mid less the IRS mid at the same tenor,

$$\text{basis}_{t,\tau} = \text{CCIRS}^{\text{mid}}_{t,\tau} - \text{IRS}^{\text{mid}}_{t,\tau}.$$

Both legs are quoted semiannual on an Actual/365 day count, so no day-count or compounding conversion is applied.

**(3) Sign and units.** Under covered interest parity the basis is zero, and a negative value is the CIP deviation signalling a premium on synthetic dollar funding. Stored in percentage points, the series is displayed in basis points,

$$\text{basis}^{\text{bp}}_{t,\tau} = 100 \times \text{basis}_{t,\tau},$$

so lower readings indicate tighter dollar funding.

## Applications in Economics

The 5-year basis is the medium-term structural gauge. It strips out the transient funding spikes that dominate the 1-year tenor and instead reflects the standing demand imbalance (Sushko et al. 2016). In that imbalance, hedging demand for forward dollars meets a constrained supply of intermediary balance sheet, pinning the basis below zero across the cycle.

Korea's structural negative basis at this horizon is rooted in long-horizon institutional hedging. Economies with large positive net foreign assets carry standing FX-hedging demand that is negatively correlated with the basis, and Korea is among them (International Monetary Fund 2019). The persistence of medium-term deviations is owed to the same regulatory balance-sheet costs that prevent arbitrage from closing them (Du, Tepper, and Verdelhan 2018). This medium-term cross-section is governed by macrofinancial determinants rather than transient noise (Cerutti, Obstfeld, and Zhou 2021).

Read against the 1-year tenor, the 5-year basis isolates structural from cyclical pressure. A widening confined to the short end signals funding stress, while a move at the 5-year tenor signals a shift in the durable supply-demand balance for synthetic dollars.

## Applications in Financial Markets

The 5-year basis drives the cost of longer-dated hedged dollar positions. Institutions rolling multi-year currency hedges pay or receive the basis over the life of the hedge, so its level feeds directly into the economics of long-horizon overseas investment and its hedging.

It is best read together with the 1-year basis to separate structural from short-term funding pressure, and with the 10-year tenor to complete the term-structure view of CIP deviations (Cerutti, Obstfeld, and Zhou 2021).

## Statistical Tests

Over 5968 observations from 2002-02-21 to 2026-07-01, the unit-root reading of the five-year won-dollar cross-currency basis is ambiguous, since the Dickey and Fuller (1979) and Phillips and Perron (1988) tests reject a unit root at p = 0.0109 and p = 0.0002 while the Kwiatkowski et al. (1992) test also rejects stationarity at p < 0.01, the near-unit-root disagreement of a persistent bounded signal, so no clean order is assigned. On the level the first-order autocorrelation is 0.990 with an implied half-life of about 71.7 observations, a descriptive persistence summary and not an integration claim, the Ljung and Box (1978) portmanteau on the level rejects white noise at lags 10 and 20, Q = 54364.20 and Q = 102313.00 at p = 0.000 and p = 0.000, and the Bai and Perron (1998) procedure, by the Bai and Perron (2003) algorithm, finds 4 breaks in the mean at 2007-11-12, 2013-09-06, 2018-04-13, 2022-01-11 (Andrews 1993; Perron 1989).

This signal, the five-year won-dollar cross-currency basis, has no daily seasonal period, so the seasonal-unit-root and seasonal-stationarity machinery of Hylleberg et al. (1990) and Canova and Hansen (1995) is deliberately not run (Beaulieu and Miron 1992; Ghysels and Osborn 2001).

## Frequently Asked Questions

### What is the won-dollar cross-currency basis?

A deviation from covered interest parity, measuring how far the cost of obtaining dollars through the swap market exceeds what the interest differential alone would imply.

### How does the cross-currency basis relate to covered interest parity?

Covered interest parity is the no-arbitrage condition that borrowing dollars directly must cost the same as borrowing won, hedging the currency risk fully and swapping into dollars. A persistently non-zero basis means something is preventing that arbitrage.

### What does a widening cross-currency basis indicate?

That dollar funding has become scarce, or that the balance sheet capacity of the intermediaries who would run the arbitrage has contracted. It is a standard gauge of cross-border funding pressure.