HTTP Adaptive Streaming (HAS) refers to a set of novel streaming services that allow clients to adapt video quality based on current network conditions. Their use of existing HTTP delivery infrastructure makes them perfectly suited for deployment on existing Content Delivery Networks (CDNs). Nevertheless, this leads to some new challenges, related to the distribution of content across servers and the latency caused by request redirection. The federation or interconnection of CDNs proliferates these problems, as it allows content to be distributed across networks and increases the number of redirects. This paper focuses on the second problem, assessing the impact of redirection on the Quality of Experience of HAS in CDN interconnection scenarios. Additionally, several novel inter-CDN request routing policies are proposed that aim to reduce the number of redirects. Our results indicate that redirection latency significantly impacts performance of HAS and more intelligent routing mechanisms are capable of solving this problem.