特朗普提名Kevin Warsh（凯文·沃什）担任下任美联储主席，引发市场对资产负债表收缩的担忧。虽然 沃什以资产负债表鹰派立场著称，但花旗认为完全重启QT（量化紧缩）的可能性不大。 花旗分析师认为，真正值得关注的是美联储SOMA投资组合的加权平均到期期限（WAM）调整——通 过将到期券种转为短期国债，美联储可以在不引发市场动荡的情况下实现资产负债表"瘦身"。这一策略 可能在2026年下半年至2027年释放约4200亿美元的再投资空间。对投资者而言，这意味着曲线将进一步 陡峭化，3年至5年期或成为最佳"避风港"。 沃什的鹰派立场：对资产负债表"动刀"的可能性 花旗判断，完全重启QT在去年回购市场波动后将面临重重阻力。更可能的操作是： 储备管理购买（RMPs）的缩减：从目前的每月400亿美元降至约100亿美元（花旗预计4月 中旬后自然降至200亿美元）。但这对宏观影响有限。 SOMA投资组合的WAM调整：将到期的美国国债券种转投短期国债。按每月300亿美元上 限计算，2026年下半年可实现约1400亿美元，2027年可达约2750亿美元。这一做法将获得美 联储内部广泛支持。 花旗在研报中指出，美联储可能将短期国 ...

Core Viewpoint - The Federal Reserve's newly launched Reserve Management Purchases (RMPs) plan, in conjunction with the U.S. Treasury's bond issuance strategy adjustments, is creating a market effect similar to quantitative easing (QE) [1] Group 1: RMPs and Market Effects - The RMPs plan, while not traditional QE, allows the Treasury to increase short-term Treasury bill issuance and reduce the supply of medium- to long-term bonds [1][2] - Bank of America (BofA) projects that by 2026, the Federal Reserve will purchase a total of $560 billion in Treasury bills through RMPs and MBS reinvestments, while the Treasury plans to issue an additional $500 billion in short-term bills and reduce medium- to long-term bond issuance by $600 billion [1][2] Group 2: Treasury Issuance Adjustments - The Treasury is expected to issue $500 billion more in short-term bills in 2026 compared to 2025, while reducing medium- to long-term bond issuance by $600 billion [3][4] - This significant shift in supply structure aims to address the large amount of medium- to long-term bonds maturing in 2026 and the increased Treasury buyback operations [4] Group 3: Impact on Treasury Yields - The Treasury has indicated its intention to maintain stable long-term bond auction sizes in the coming quarters, focusing on increasing short-term Treasury bill issuance to meet financing needs [5] - BofA's scenario analysis suggests that a higher issuance of Treasury bills could lead to a net easing effect of 20-30 basis points on the 10-year Treasury yield [5][6] Group 4: Investment Opportunities - BofA recommends investors focus on three trading opportunities: 1. Going long on front-end swap spreads, currently at negative 18 basis points, with risks stemming from unexpected fiscal deficits [8] 2. Going long on 5-year real yields, currently at 103 basis points, supported by a historically accommodative financial environment [8] 3. Selling the volatility spread between 1-year and 10-year rates, currently at 2 basis points, with risks from rising uncertainty in Fed policy [8]