野村：亚洲洞察 - 港元-联系汇率制维持，但压力上升

Investment Rating - The report maintains a strong base case that the USD/HKD peg will hold, particularly the strong side at 7.750, over the medium term [2][8]. Core Insights - The report discusses the current pressures on the USD/HKD peg, particularly focusing on the strong side of the convertibility undertaking at 7.750, and the potential risks of it being tested [2][3]. - The HKMA's recent liquidity injections have eased some downside pressures on the spot USD/HKD, but concerns remain about the sustainability of the peg [2][4]. - The report highlights that the HKMA can sustain its USD buying interventions for an extended period, which may lead to lower local interest rates [6][7]. - Historical context is provided, comparing current conditions to the capital inflows and currency dynamics observed during 2003-2004, suggesting potential similarities in market expectations [5][10]. Summary by Sections Section 1: Downside Pressure on USD/HKD - The primary cause of the downside pressure on USD/HKD is strong demand for HKD driven by equity-related demand and expectations of currency appreciation in Asia [3]. - The Hang Seng Index has increased by 17% in the past month, contributing to the demand for HKD [3]. Section 2: Short-End Rates and FX Points - Recent HKD liquidity injections have caused the 1M HIBOR to drop from nearly 4% to 2.09% [4]. - If demand for HKD remains high, further liquidity injections could push short-end HKD rates lower, similar to trends observed in 2003-2004 [4]. Section 3: Historical Context - The report draws parallels between current market conditions and those in 2003-2004, noting that the DXY index fell by 21% during that period, which contributed to capital inflows [5]. - Current investor sentiment reflects expectations of medium-term USD weakness, similar to the past [5]. Section 4: HKMA's Intervention - The HKMA's sustained USD buying could lead to excess domestic liquidity, but current domestic price pressures are limited, with CPI at 1.4% year-on-year [7]. - If liquidity concerns arise, the HKMA could issue more exchange fund bills to absorb excess liquidity [7]. Section 5: FX Valuation Models - The average of four FX valuation models suggests that HKD is close to fair value, with some models indicating undervaluation and others overvaluation [9]. - The report notes that the market could interpret a break of 7.750 as a signal for further depreciation of HKD [10]. Section 6: Market Expectations - The report indicates that the market does not show a consistent directional bias for HKD, with risks of viewing a break of 7.750 as leading to a stronger USD/CNH rate [10]. - The report emphasizes the importance of upcoming IPOs and potential arbitrage trades as catalysts for narrowing the HK-US rates spread [15].