美联储缩表引发“供给荒” 10年期美债交割失败规模创八年新高

Group 1 - The U.S. Treasury market is experiencing significant friction due to the Federal Reserve's reduction of its Treasury holdings since 2022, with the failure to deliver 10-year Treasury bonds reaching the highest level in eight years, indicating a supply-demand imbalance in the repo market [1][4] - As of the week ending December 10, the value of failed transactions for the latest 10-year Treasury bonds reached $30.5 billion, the highest since December 2017 [1][4] - The borrowing rate for these 10-year bonds has seen an unusual decline, with some holders willing to lend at negative rates, which increases the likelihood of settlement failures [4] Group 2 - The decline in available 10-year Treasury bonds for lending is attributed to a significant reduction in the Federal Reserve's purchases, which were only half of the amounts seen in previous periods [4][5] - In November, the Treasury sold $42 billion in 10-year bonds, with the Federal Reserve only adding $6.5 billion to replace maturing debt, compared to much higher additional purchases in previous quarters [4][5] - The decrease in the Federal Reserve's System Open Market Account (SOMA) maturing Treasury bonds, which fell below $22 billion in November, is linked to the Fed's balance sheet reduction policy initiated in mid-2022 [5]