抛补套利机会的呈现与消失——从内地交易员视角看港币市场

Presentation and Disappearance of Arbitrage Opportunities——A Look at HKD Market from the Perspective of a Mainland Trader

2015年美联储开启新一轮加息进程后,虽然香港金管局提高基准利率与之匹配,但由于储蓄存款逐年稳步增加,总规模近7万亿的港元存款为市场提供了充裕的流动性和低成本的资金,港币利率调整传导存在滞后性,市场长时间形成了标准的抛补套利机会。但2019年5月之后港币利率快速上涨,抛补套利交易的空间被逐步关闭,文章深入思考了其原因,并探讨了港币未来交易机会。

After the Fed started a new round of rate-hike cycle in 2015,the Hong Kong Monetary Authority raised the benchmark interest rate to match such a rate-hike cycle.However,as the saving deposits have steadily increased year by year,the total deposits of nearly HK$7 trillion have provided the market with ample liquidity and lowcost funds,leading to the lagging of the transmission of HKD interest rate adjustment,and a standard arbitrage opportunity has been existing in the market for a long time.Nonetheless,following the rapid rise of the HKD interest rate after May 2019,the room for arbitrage trading has been gradually closed.This article carries some in-depth reflections on the reasons of such closure and discusses future HKD trading opportunities.