短端港元拆息追趕美息 (Chinese Only)


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財資市場部環球市場策略師 - 李若凡19 Aug 2022


    自從今年3月以來,美國聯儲局持續大幅加息,迄今已上調利率225個基點,惟1個月港元拆息仍遠低於同期美元拆息,差距達到逾80個基點。

    筆者通常聽到這樣的疑問:既然港元與美元掛鈎,為何美國加息,無法立即推升短期港元拆息?

    美加息幾個步驟傳至港息

    答案很簡單,正因採用了聯滙制度,香港金管局並不能夠決定本地利率。而在聯滙制度之下,聯儲局的加息需要經過幾個步驟才能傳達到短端港息上。這些步驟如下:第一,聯儲局加息推升短端美元拆息(如今1個月已高達2.38厘左右,接近聯邦基金利率上限2.5厘),而短端港元拆息仍較低(1個月僅達1.56厘),因此港美息差擴大,帶來套息誘因。第二,套息活動令港滙不斷觸及7.85,金管局入市干預,導致總結餘減少。第三,總結餘減少(即銀行間市場港元流動性減少),推動短端港元拆息向上。

    簡而言之,聯儲局加息,並不會直接推升短端港元拆息。那麽,下一個問題是,短端港元拆息接下來的走勢如何?這將取決於銀行間的港元需求和供應。

    供應方面,截至8月11日,銀行體系流動性(即總結餘)自今年5月以來,已經減少了超過60%至1247.4億港元。7月派息潮及月結過後,港元需求轉弱。同時,7月底聯儲局進一步加息75個基點之後,套息交易再度活躍。因此,筆者估計,銀行體系總結餘可能在9月底之前,跌向1000億港元的水平。

    套息交易活動料將放緩

    踏入第四季,若聯儲局如市場預期般放慢加息步伐,美元拆息的升勢可能放緩。同時,由於銀行間流動性(總結餘)在第三季進一步減少,短端港元拆息可能上升。因此,美元和港元的息差可能收窄,並減少套息誘因。由於近期資金流走主要由套息交易推動(截至今年6月香港整體存款仍按年升0.4%,而年初至上周五「深港通」「滬港通」的南向資金淨流入仍高達逾1700億港元,反映股票等投資相關的跨境資金流出有限),套息交易減少意味港滙觸及7.85的頻率減少,因此總結餘於第四季的縮減速度亦可能放慢。

    最優惠貸款利率或9月升

    不過,由於銀行間流動性已顯著縮減,季節性因素(例如季結及年結)或大型招股活動,對港元需求帶來的支持,可能增添短端港元拆息的上升壓力。以2018年12月為例,當總結餘維持在760億港元左右時,1個月港元拆息因年結而達到當年最高的2.38厘。因此,筆者預計,1個月港元拆息可能在今年9月(季末)和12月(年末)分別上試2厘和2.5厘的水平。若未來數月出現大型/熱門IPO,1個月港元拆息或進一步上升。

    隨着1個月港元拆息進一步上升,基於1個月港元拆息的按揭貸款浮動利率,可能維持在封頂利率上方,從而不利銀行淨息差。因此,若1個月港元拆息維持在1.5厘以上,銀行可能在9月上調最優惠貸款利率。至於這個加息周期,本地銀行的最優惠貸款利率將有多少上調空間,將取決於1個月港元拆息最終升至什麽水平,以及維持在高位的時間,而這個問題則取決於聯儲局的加息速度、加息周期結束時間,以及終端利率,因這些因素將影響香港銀行體系總結餘的變動

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