随着下周12月10日美联储议息会议临近，市场不仅仅聚焦于板上钉钉的降息举措，华尔街资深策略师指出，美联储可能即将宣布一项重大的资产负债表扩张计 划。 近日，前纽约联储回购专家、美银利率策略师Mark Cabana预测， 除了广泛预期的降息25个基点外，美联储主席鲍威尔将在下周三宣布每月购买450亿美元国 库券（T-bills）的计划，这一购债操作将于2026年1月正式实施， 旨在通过向系统注入流动性，防止回购市场利率进一步飙升。 Cabana在报告中警告称，虽然利率市场对降息反应平淡，但投资者普遍"低估"了美联储在资产负债表方面的行动力度。他指出，目前的货币市场利率水平表明 银行体系的准备金已不再"充裕"，美联储必须通过重启购车据来填补流动性缺口。与此同时，瑞银交易部门也给出了类似的预测，认为美联储将在2026年初开 始每月购买约400亿美元的国库券，以维持短期利率市场的稳定。 Cabana详细拆解了这一数字的构成：美联储每月需要购买至少200亿美元以应对其负债的自然增长，此外还需要额外购买250亿美元以扭转此前的"过度缩 表"带来的准备金流失。 他预计，这一力度的购债将至少持续6个月。 这一声明预计将包含在 ...

Core Viewpoint - Barclays Bank predicts a significant decline in bank reserves below $3 trillion in September due to the reconstruction of the U.S. Treasury account, quarterly tax payments, and bond settlements, but the risk of severe "funding squeeze" remains low due to market resilience and the Federal Reserve's backup tools [1][3]. Group 1: Factors Leading to Liquidity Drain - The report identifies three main drivers contributing to the sharp decline in reserves in September, particularly around mid-month [4]. - The U.S. Treasury plans to restore its cash balance at the Federal Reserve (TGA) to a target level of $850 billion, which will inherently withdraw liquidity from the banking system [5]. - The quarterly tax payment deadline on September 15 is expected to result in approximately $100 billion or more flowing into the TGA, with an additional $30 billion on the 16th [6]. - On September 15, there will also be about $80 billion in net coupon settlements, with over $100 billion in settlements by the end of the month [7]. - The combined impact of tax and bond settlements on September 15 could withdraw nearly $200 billion in reserves from the banking system, leading to total reserves dropping below $3 trillion in mid-September and further declining to below $2.9 trillion by the end of the month [8]. Group 2: Market Resilience - Despite the looming liquidity shock, Barclays believes the market is prepared to handle the situation [10]. - The market has demonstrated its absorption capacity, having "calmly" digested up to $350 billion in net short-term Treasury issuance in August, with only a slight increase in the Secured Overnight Financing Rate (SOFR) [10]. - The pace of Treasury issuance is expected to provide a buffer in the second half of September, with a net short-term Treasury issuance of approximately $30 billion, and the net issuance turning negative due to the maturity of cash management bills (CMBs) [10]. Group 3: Federal Reserve's Backup Tools - The report emphasizes that the Federal Reserve's Standing Repo Facility (SRF) is crucial for mitigating tail risks in the market [12]. - The SRF allows eligible counterparties to borrow cash from the Federal Reserve at a fixed rate, providing a reliable liquidity ceiling for the market [12]. - The Federal Reserve has been enhancing the effectiveness of the SRF, including adding morning operation windows before the end of the quarter to lower usage barriers [12]. - Additionally, the report mentions that the Federal Reserve may introduce term repo operations to provide longer-term liquidity support in response to fluctuations in the Treasury account [12]. Group 4: Market Pricing and Vigilance - The report analyzes whether the risks have been priced into the market, noting that reserves as a percentage of total bank assets will drop below 12% but remain slightly above the "adequate level sweet spot" of 11% [13]. - The September interest rate futures market indicates that SOFR is expected to be about 4 basis points higher than the federal funds rate, which Barclays considers a "fair" pricing reflecting a certain "insurance premium" for the mid-month reserve decline and quarter-end volatility [13]. - Overall, the report conveys a clear message that while September's liquidity tightening will be severe and rapid, the risk of a systemic funding squeeze is low due to existing market resilience and strong Federal Reserve support [13].