据美国纽约联储数据，上个交易日（11月19日，美联储会议纪要发布当天）担保隔夜融资利率 （SOFR）报3.91%，之前一天报3.94%。 ...

今天分享的是：2025美元流动性的三维度观测 报告共计：16页 美元流动性三维度观测：压力积聚但危机可控 在全球金融体系中，美元流动性的变化始终是市场关注的焦点。近日，一份研究报告从三个关键市场出发，系统性地分析了美 元流动性的现状与未来走势。该研究构建了一个三维观测矩阵，分别从联邦基金市场、回购市场和离岸美元市场切入，通过规 模、价格和政策三个维度，全面评估美元流动性的真实状况。 联邦基金市场作为美元流动性的基石，其核心观测指标已从"价格"转向"规模"。在充裕准备金框架下，银行体系的准备金总量 直接反映了基础美元的充裕程度。数据显示，尽管美联储自2022年6月开启新一轮缩表，总资产规模趋势性走低，但得益于逆回 购工具的缓冲作用，银行体系准备金尚未被大幅抽离。截至2025年9月，准备金总量维持在3.2万亿美元，占银行总资产比重为 12.9%，处于相对充裕区间。然而，随着缩表持续进行，财政部一般账户余额回升，以及隔夜逆回购工具规模濒临枯竭，准备金 正面临收缩压力，预计将向美联储设定的流动性警戒线逼近。 回购市场作为美元流动性的重要枢纽，其价格指标SOFR与数量指标一级交易商行为成为观测重点。担保隔夜融资利率通常 ...

Core Viewpoint - The U.S. short-term financing market is showing signs of liquidity tightening again, raising doubts about the effectiveness of recent Federal Reserve interventions. The rise in key interest rate indicators suggests speculation that the Fed may be forced to expand its balance sheet again, interpreted by some as a new round of quantitative easing (QE) [1][3]. Group 1: Market Dynamics - The secured overnight financing rate (SOFR) has recently surged, widening the spread with the Fed's interest on reserves (IOR) to 8 basis points, indicating a return to a tense financing environment [1][4]. - Following the Fed's decision to end quantitative tightening (QT) at the end of October, the banking system's reserves may be sliding towards "scarcity" levels, increasing pressure for further Fed action [3][9]. - The rebound in SOFR and tri-party repo rates above the IOR suggests that bank reserves have moved from "ample" to "scarce" levels [4][10]. Group 2: Federal Reserve's Position - Fed officials have indicated that reserves are no longer "ample," hinting that "reserve management purchases" may be the next step in normalizing the Fed's balance sheet [6][11]. - The timing for the Fed to expand its balance sheet will depend on the relationship between the effective federal funds rate (EFFR) and the IOR, with expectations that the EFFR-IOR spread may narrow by year-end [8][9]. - The continued use of the standing repo facility (SRF) is seen as a clear signal of scarce reserves, with recent data showing a resurgence in daily usage of the SRF tool [10][11]. Group 3: Current Reserve Levels - U.S. bank reserve levels have dropped to their lowest point in five years, indicating a challenging transition from "ample" to "scarce" reserves, with market signals suggesting potential volatility in this process [11][12].

Group 1 - Wall Street investment banks warn that recent liquidity pressures in the money market are not a one-time event, indicating ongoing liquidity risks that may require Federal Reserve intervention [1] - The Federal Reserve announced the end of its three-year balance sheet reduction (QT) due to increasing signs of liquidity tightening, with the overnight general collateral repo rate surging to 4.32%, exceeding the Fed's policy rate range for the first time since 2020 [3][4] - Analysts express concerns that the liquidity crisis is exacerbated by the simultaneous occurrence of QT and record U.S. Treasury issuances, which are draining market funds and increasing liquidity pressures [5] Group 2 - In Europe, while the financing market remains relatively calm, signs of liquidity tightening are emerging in the unsecured lending market, with the euro short-term rate aligning closely with the European Central Bank's deposit rate [6] - The UK is experiencing increased volatility in pound repo rates, with the overnight repo index average rising to 4.28%, reflecting a significant demand for alternative funding sources as banks repay record amounts of loans to the Bank of England [6] - Global money markets are facing challenges in operating without excess reserves, raising questions about the effectiveness of central bank liquidity tools in directing funds to where they are most needed [6]

Core Viewpoint - The tightening of the money market is expected to persist until November, with increasing pressure on the Federal Reserve to support liquidity before halting balance sheet reduction next month [2][3]. Group 1: Market Conditions - The Secured Overnight Financing Rate (SOFR) surged by 18 basis points last Friday, marking the largest single-day increase since the Fed's rate hike cycle began in March 2020 [2]. - Despite a slight retreat on Monday, SOFR remains above key policy benchmarks like the federal funds rate, indicating ongoing liquidity issues in the market [2]. - Other short-term rates in the overnight repurchase market continue to trade above the Fed's managed rates, reflecting persistent funding pressures [2]. Group 2: Federal Reserve Actions - The Federal Reserve announced it will stop reducing its holdings of Treasury securities in December, ending a three-year quantitative tightening effort due to increasing liquidity constraints [3]. - There are internal disagreements within the Fed regarding the timing of asset purchases, with some officials advocating for a minimal balance sheet while others suggest increasing reserves to keep pace with the banking system and economic growth [3][4]. - Recent data shows bank reserves have fallen to $2.8 trillion, the lowest level since September 2020, raising concerns about market distortions [3]. Group 3: Interest Rate Dynamics - Dallas Fed President Logan indicated that if repo rates remain high, the Fed will need to purchase assets, expressing disappointment over the three-party repo rates exceeding the Fed's standing repo facility rate [4]. - The SOFR was 32 basis points higher than the reserve balance rate last Friday, the largest spread since 2020, although it fell to 4.13% on Monday, still above the current reserve balance rate of 3.9% [4]. - The pressure in the tri-party market may be more severe than indicated by published rates, prompting calls for the Fed to take more aggressive actions, including purchasing Treasury securities [4][5]. Group 4: Historical Context and Future Implications - The current situation may reflect greater fragility in overnight financing rates compared to 2019, with large hedge funds holding approximately $1 trillion more in Treasury long positions than six years ago [5]. - The use of repo financing has nearly doubled since then, suggesting that similar actions to those taken in 2019, where the Fed injected $500 billion into the market, may be necessary to alleviate pressure during Treasury settlement periods or critical payment dates [5].

Core Viewpoint - The tightening conditions in the money market are expected to persist until November, pressuring the Federal Reserve to take action to replenish liquidity before halting balance sheet reduction next month [1] Group 1: Market Conditions - The overnight secured financing rate (SOFR) surged by 18 basis points last Friday, marking the largest single-day volatility since the Fed's rate hike cycle began in March 2020 [1] - Despite a decrease in SOFR on Monday after month-end pressures eased, it remains above the Fed's key policy benchmark rates, including the federal funds rate [1] - Other short-term rates in the overnight repurchase market continue to trade above the Fed's managed rates [1] Group 2: Federal Reserve Actions - The Federal Reserve announced it will stop reducing its holdings of U.S. Treasury securities by December, ending a three-year quantitative tightening effort due to increasing financing pressures [1] - The Fed's internal divisions are evident, as some officials advocate for maintaining a minimal balance sheet while others suggest increasing reserves to keep pace with the banking system and economic growth [5] - Recent data shows bank reserves have fallen to $2.8 trillion, the lowest level since September 2020, indicating a potential need for the Fed to act [5] Group 3: Market Reactions and Predictions - The spread between SOFR and the interest on reserves balance (IORB) reached 32 basis points last Friday, the largest since 2020, indicating significant market pressure [6] - Analysts suggest that the Fed may need to take more aggressive actions, such as purchasing Treasury securities, to alleviate market tensions similar to the actions taken in 2019 [9] - If financing market pressures persist, the possibility of temporary open market operations by the Fed cannot be ruled out [9]

Core Insights - The report constructs a "3×3" matrix for analyzing USD liquidity, focusing on the federal funds market, repo market, and offshore USD market, while monitoring liquidity changes across scale, price, and policy dimensions [1][6][8] - Current structural pressures on USD liquidity are attributed to the Federal Reserve's balance sheet reduction and large-scale debt issuance, but the likelihood of a comprehensive liquidity crisis remains low under non-extreme conditions due to robust policy tools [1][3][6] Federal Funds Market - The federal funds market is the cornerstone of USD liquidity, with a focus on scale indicators. The Fed's balance sheet reduction since June 2022 has decreased total assets to 74.1% of the June 2022 level, but reverse repo tools (RRP) have provided a buffer, maintaining reserves at $3.2 trillion as of September 2025, which is 12.9% of total bank assets [1][13] - The effective federal funds rate (EFFR) remains stable within the interest on reserves balance (IORB) of 4.15% and ON RRP of 4.0%, with discount window usage being restrained due to stigma effects [1][17] Repo Market - The repo market is a critical liquidity hub, with the secured overnight financing rate (SOFR) and primary dealer market-making capabilities as core observation points. Since September 2025, SOFR has fluctuated around the upper limit of the rate corridor, with a spread to ON RRP increasing to 16 basis points, indicating marginal tightening [2][20] - The ratio of primary dealer reverse repos to reserves has risen to 0.88, reflecting ongoing pressure, although it remains below crisis levels [2][20] Offshore USD Market - The offshore USD market has shown characteristics of "bondification" and "derivatization," with currency swap basis as a key observation indicator. Since 2025, the cross-currency basis for euro/USD and yen/USD has narrowed, indicating maintained offshore liquidity [2][27] - The use of central bank currency swaps and FIMA repo facilities during crises serves as significant signals of systemic liquidity pressure, with both tools available to address liquidity needs across various market levels [2][35][38] Future Outlook - Future USD liquidity faces multiple contraction pressures, including ongoing balance sheet reduction by the Fed and increased Treasury issuance, which may lead reserves to drop below $3 trillion by September 2025, approaching a critical threshold of $2.7 trillion [3][6] - The Fed has established a multi-layered liquidity management toolset, which includes the discount window, SRF, FIMA repo, and central bank currency swaps, to mitigate systemic risks under non-extreme conditions [3][6]

Core Viewpoint - The Federal Reserve's decision to halt balance sheet reduction on December 1 aims to address liquidity risks in the money market, marking a significant shift towards a more accommodative monetary policy [1][2]. Background of Policy Adjustment - Signs of liquidity risk are emerging, with overnight rates rising and the Effective Federal Funds Rate (EFFR) and Secured Overnight Financing Rate (SOFR) showing significant increases, indicating tightening liquidity in the U.S. banking system [2]. - The reserve levels are nearing critical thresholds, with bank reserves dropping to $2.93 trillion, approximately 9% of GDP, close to the liquidity adequacy threshold of $2.5 trillion to $3 trillion [2]. - Economic pressures include a cooling job market and persistent high inflation, with the September CPI at 3% but core inflation remaining above the 2% target due to tariffs and other factors [2][3]. Impact on U.S. and Global Markets - The cessation of balance sheet reduction is expected to stabilize bank reserves, alleviate short-term financing pressures, and reduce volatility in repo rates [5]. - Demand for U.S. Treasuries may increase as the Fed reallocates maturing MBS funds to Treasuries, easing upward pressure on long-term interest rates, particularly benefiting short-term bonds [5]. - The stock market may see limited support from liquidity improvements, as corporate earnings and the pace of interest rate cuts remain dominant factors [5]. - Globally, the end of liquidity withdrawal could stabilize dollar financing costs, reducing capital outflow pressures in emerging markets, which may benefit from capital inflows and narrowing sovereign debt spreads [5]. - Commodity performance may vary, with gold supported by declining real interest rates, while a strong dollar may suppress overall commodity performance [5]. Potential Risks - Risks include the possibility of recurring inflation; if the U.S. economy proves more resilient than expected, rising inflation could compel the Fed to slow down rate cuts, counteracting the effects of liquidity easing [5]. - Political pressures may challenge the Fed's independence, and aggressive rate cuts could impact the credibility of the dollar [5]. Future Outlook - In the short term, the likelihood of further rate cuts in December remains uncertain, depending on employment and inflation data, with current market expectations at about 70% [6]. - In the medium to long term, if reserves continue to deplete, the Fed may initiate structural quantitative easing to provide deeper economic support, primarily to prevent liquidity crises rather than to stimulate the economy actively [6].

Core Viewpoints - The Federal Reserve's balance sheet reduction is ongoing but has slowed down, leading to liquidity in the financial system approaching a critical threshold [2][6] - Recent signs of tension in the repurchase market and increased volatility in funding rates raise concerns about potential severe liquidity shocks [6][10] Group 1: Liquidity at a Critical Point - U.S. liquidity is diminishing as the Federal Reserve continues its balance sheet reduction, with the overnight reverse repurchase (ON RRP) balance dropping to $5.48 billion as of October 15, down from $2.5 trillion at the end of 2022 [6][10] - The secured overnight financing rate (SOFR) experienced a significant spike on September 15, indicating tightening liquidity conditions [6][10] - The reduction in liquidity is attributed to the rebuilding of the Treasury General Account (TGA), which absorbed approximately $140 billion in liquidity during the week of September 17 [10][11] Group 2: Will a "Liquidity Crunch" Reoccur? - The likelihood of a liquidity crunch is low, as bank reserves are expected to decrease but remain above critical levels [3][22] - The next significant influx of tax revenue into the TGA is anticipated in April, which may coincide with a slowdown in Treasury issuance [3][22] - Despite the depletion of excess liquidity, SOFR may remain elevated, but conditions similar to the 2019 liquidity shock are not expected to recur [22] Group 3: When Will Balance Sheet Reduction Stop? - The balance sheet reduction process is likely to continue unless unexpected events occur, with the Federal Reserve expected to halt reductions when reserves are slightly above adequate levels [4][24] - Estimates suggest that the appropriate level for bank reserves is around $2.7 trillion, which may be reached by mid-next year if the current pace of reduction continues [4][24] - Even if a liquidity crisis occurs, the Federal Reserve has tools to provide temporary liquidity and may consider slight balance sheet expansion to support the market [26]

Core Insights - The current financial market is experiencing significant liquidity tightening, reminiscent of past crises in 2019 and 2023, with rising concerns over potential credit events in the banking sector [1][4][9] Group 1: Banking Sector Challenges - Regional banks are facing severe volatility, particularly due to their reliance on commercial and industrial loans, consumer loans, and exposure to commercial real estate (CRE) [2][3] - Zions Bancorporation reported a $50 million write-off related to fraudulent loans, raising broader concerns about consumer loan challenges and CRE exposure [2] - The stock price of Zions fell sharply, marking a significant decline since the onset of the 2023 regional banking crisis [2] Group 2: Market Reactions - The turmoil in regional banks is beginning to affect larger banks, with notable declines in stock prices for major institutions like Citigroup and Goldman Sachs [3] - The KRE (Regional Bank ETF) experienced its largest single-day drop of 2023, indicating heightened market anxiety [3] Group 3: Liquidity and Repo Market - The repo market is under pressure, with the SOFR (Secured Overnight Financing Rate) showing signs of liquidity shortages, reaching levels not seen since 2019 [5][6] - The use of the Federal Reserve's Standing Repo Facility (SRF) has increased, signaling a need for emergency liquidity support [6][7] - A negative difference between reverse repos and SRF indicates a systemic shift from liquidity surplus to shortage [6] Group 4: Economic Factors - The liquidity shortage is attributed to multiple factors, including a significant fiscal deficit, the rebuilding of the Treasury General Account (TGA), and ongoing quantitative tightening (QT) by the Federal Reserve [8] - The U.S. fiscal deficit has reached 7% of GDP, unprecedented in non-recessionary periods, which is draining liquidity from the financial system [8] Group 5: Credit Risk and Market Outlook - There is a growing risk of credit events, particularly if regional banks continue to face write-offs, which could lead to deposit outflows and stock price collapses [10] - The widening credit spreads, as indicated by the LQD/HYG ratio, reflect deteriorating liquidity and increasing default risks [10] - The S&P 500 futures showed early signs of market confidence erosion, suggesting potential further declines if liquidity issues persist [10] Group 6: Policy Responses - The Federal Reserve may need to reconsider its quantitative tightening stance and potentially reintroduce quantitative easing to inject liquidity into the system [11] - Adjustments to TGA management by the Treasury could also help alleviate liquidity pressures, although any easing must be approached cautiously in a high-inflation environment [11]