Core Viewpoint - A significant liquidity withdrawal is approaching the US money market due to actions by the US Treasury, tax payments, and bond settlements, but the market's resilience and the Federal Reserve's backup tools are likely to prevent a systemic financing crisis [1][10]. Group 1: Sources of "Liquidity Withdrawal" - The report identifies three main drivers contributing to the sharp decline in reserves in September, particularly around mid-month [2]. - The Treasury plans to rebuild its General Account (TGA) to a target level of $850 billion, which will inherently withdraw liquidity from the banking system [3]. - Quarterly tax payments are due on September 15, with corporate tax payments expected to lead to an inflow of approximately $100 billion or more into the TGA, followed by another $30 billion on the 16th [4]. - On the same day, there will be about $80 billion in net interest payments, with over $100 billion more due at the end of the month [5]. - The combined impact of tax and bond settlements on September 15 could withdraw nearly $200 billion from the banking system, reducing total reserves below $3 trillion mid-month and further to below $2.9 trillion by the end of the month [6]. Group 2: Market Resilience - The market has demonstrated its capacity to absorb liquidity changes, having managed to digest up to $350 billion in net short-term Treasury issuance in August with only a slight increase in the Secured Overnight Financing Rate (SOFR) [8]. - The pace of Treasury issuance is expected to provide a buffer in the second half of September, with a net issuance of approximately $30 billion, turning negative later in the month as cash management bills mature [8]. Group 3: Federal Reserve's Backup Tools - The report emphasizes the importance of the Federal Reserve's Standing Repo Facility (SRF) as a key tool to mitigate tail risks in the market, allowing eligible counterparties to borrow cash at a fixed rate [9]. - The Federal Reserve has been enhancing the effectiveness of the SRF, including adding morning operation windows to lower usage barriers, and market participants have shown willingness to utilize this tool [9]. - Additionally, the Fed may introduce term repo operations to provide longer-term liquidity support in response to fluctuations in the Treasury account [9]. Group 4: Market Pricing and Risk Assessment - The report indicates that while the ratio of reserves to total bank assets will drop below 12%, it is still expected to remain slightly above the "adequate level sweet spot" of 11%, indicating that while this is a low point, it is not yet in a danger zone [10]. - The September interest rate futures market suggests that SOFR is expected to be about 4 basis points higher than the federal funds rate, which is considered a fair pricing reflecting some "insurance premium" against mid-month reserve declines and quarter-end volatility [11].

随着夏末的临近，一场由美国财政部、税收和债券结算共同引发的巨额流动性抽离正在逼近美国货币市场。 据追风交易台消息，巴克莱于8月14日发布的研究报告，市场将在9月份面临一场急剧的准备金消耗，尤其是在月中将出现一个巨大的流动性冲击 点。然而，该报告的核心观点是，尽管"抽水"规模庞大且迅速，但由于市场已表现出韧性，且美联储已部署了关键的后备工具，一场系统性的融 资危机得以避免的可能性很高。 "大抽水"的来源：三大因素叠加 报告详细分析了导致9月份准备金急剧下降的三个主要驱动因素。这些因素的叠加，尤其是在月中，将构成一次严峻考验。 报告明确指出，仅在9月15日这一天，税收和债券结算的综合影响就可能从银行系统中抽走近2000亿美元的准备金。这将导致准备金总量在9月中 旬跌破3万亿美元，并在月底进一步降至2.9万亿美元以下。 对于投资者而言，最核心的问题是这些风险是否已被市场消化。 报告分析称，尽管准备金占银行总资产的比例将降至12%以下，但预计仍将略高于巴克莱认为的"充足水平甜蜜点"——11%。虽然这是本轮周期 中从未触及的低位，但尚未进入危险区。 市场为何能保持韧性？ 尽管流动性冲击看似来势汹汹，但巴克莱认为市场已为 ...