达拉斯联储一份研究报告审视了三种资产组合结构及其利弊，结论认为：资产负债久期匹配策略可有效 降低收益波动，而资产多元化组合则能减少集中风险，具有更强可行性。 大家好，关注一下美联储的消息。 美银称：美联储资产组合调整可能为财政部带来2万亿美元资金 8月16日，据美国银行分析，如果美联储调整其国债资产组合结构，未来两年可能将购买近2万亿美元的 短期国债（T-bills），几乎足以覆盖同期财政部所有的短期国债发行。 美国银行策略师马克·卡巴纳与凯蒂·克雷格指出，美联储预计将调整其投资组合，使资产与负债更好匹 配，从而降低利率风险和负权益，并缩短其负债的久期。这一调整还将意外地成为财政部的一项重要利 好，后者近期不断发行短期债务，以弥补财政赤字和补充在上月提高债务上限后急剧减少的现金余额。 卡巴纳表示："如果你假设美联储将抵押贷款证券（MBS）的到期和提前偿付部分全部再投资于短期国 债，并将到期的长期国债也滚动至短期国债，大致可以达到1万亿美元的规模。这几乎恰好等于财政部 发行的短期国债，意味着在短端市场上出现了一个新的需求来源。" 据美银策略师估算，如果美联储将近50%的资产转向短期国债，将更好地匹配其短期负债（ ...

Core Viewpoint - The adjustment of the Federal Reserve's asset portfolio could potentially provide the U.S. Treasury with $2 trillion in funding over the next two years, primarily through the purchase of short-term Treasury bills [3]. Group 1: Federal Reserve's Asset Portfolio Adjustment - According to Bank of America, if the Federal Reserve adjusts its bond portfolio structure, it may purchase nearly $2 trillion in short-term Treasury bills, which could cover all short-term debt issuance by the Treasury during the same period [3]. - The Federal Reserve is expected to realign its asset portfolio to better match its liabilities, thereby reducing interest rate risk and negative equity while shortening the duration of its liabilities [3][4]. - If the Federal Reserve reinvests the proceeds from maturing mortgage-backed securities and long-term Treasury bonds into short-term Treasury bills, it could create a new source of demand in the short-end market [3][4]. Group 2: Impact on Treasury and Market Demand - This shift is anticipated to ensure strong market demand for short-term government debt, alleviating concerns about liquidity shortages due to large-scale Treasury issuance [4]. - The estimated supply of short-term Treasury bills is projected to be $825 billion for fiscal year 2026 and $1.067 trillion for fiscal year 2027, assuming the Treasury maintains its long-term bond auction size until October 2026 [3]. Group 3: Federal Reserve's Current Operations - The Federal Reserve is currently in a quantitative tightening phase, but recent comments from policymakers suggest discussions about asset portfolio adjustments may have occurred during the July FOMC meeting [4]. - The Dallas Fed's research indicates that matching asset and liability durations can effectively reduce income volatility, while a diversified asset portfolio can mitigate concentration risks [5]. Group 4: Future Expectations - Bank of America analysts expect the Federal Reserve to end its balance sheet reduction by December 2025 and subsequently begin adjusting its reinvestment strategy [6].