其实这篇文章说的主要问题，我在去年夏天就讨论过了。https://club.6parkbbs.com/finance/index.php?app=forum&act=threadview&tid=14524693。在现在美国政府的财政状况下，FED不在对Treasury market 提供支持，单靠primary dealer是不管用的。Treasury market 可能会frozen up/malfunction； Treasury yield 也会失控。每月的Treasury 流拍在英国和美国确实出现过（在2008金融危机后），所以这个危险也不是空穴来风。流拍也是导致两国央行做出QE决定的一个重要因素。今年四月我又预测了，FED在这次加息+缩表的过程中碰壁后可能出现政策反转。https://club.6parkbbs.com/finance/index.php?app=forum&act=threadview&tid=14601721； 6park.com

CONSIDER THE life of a Treasury bill or bond. Typically
once or twice a week, a batch of fresh Treasuries are born. Their first home is
usually, briefly, an investment bank's dealing desk. Those dealers might hold
on to a few for themselves, but generally they distribute the bulk to more
permanent owners, like the bond portfolios of a mutual fund, a foreign
government or a company or the Federal Reserve. A certain slice will swap hands
repeatedly—some $700bn or so are traded each business day—but many will stay
put for their lifetimes. Their deaths are predetermined: they come of age, or
“mature”, as little as one month or as long as 30 years after their birth, at
which point they are settled and cease to exist. 6park.com
  6park.com
The
Fed is the single largest holder of Treasuries—its balance-sheet is where many
of those securities have found their permanent home. Thanks to bond-buying
schemes put in place to ease monetary conditions during the pandemic, the Fed
now holds some $5.8trn-worth of Treasuries, a quarter of the $23.2trn-worth the
government has issued (see chart—it also holds $2.7trn-worth of mortgage-backed
securities). On May 4th, however, Jerome Powell, the chairman of the Fed, said
it would start shrinking this giant portfolio, a process known as “quantitative
tightening” (QT), in June. The reversal could spark a repeat of the temporary,
yet troubling breakdowns that the world’s most important financial market has
suffered in recent years—on a bigger scale. 6park.com
According to the policy statement released on May 4th,
the Fed will reduce its balance-sheet not by actively making sales, but by
letting bonds that have reached the end of their lives mature without buying a
new bill or bond to replace them. By September, if all has gone to plan, the
Fed’s portfolio will be shrinking by $95bn a month, split between $60bn of
Treasuries and $35bn of mortgage-backed bonds. At that pace the Fed’s
balance-sheet will shrivel by more than $1trn over the next year. That is
“quite the clip”, says Darrell Duffie of Stanford University. 6park.com

There
are two reasons why investors and policymakers are watching QT closely.
The first is its potentially vast impact on monetary policy. Estimates of the
effect of bond-buying on the cost of money vary—but any downward pressure on
interest rates exerted as the Fed bought up Treasuries is likely to be reversed
as its holdings start to ebb. Two-year Treasury yields have already climbed
from 0.8% in January 2022 to 2.7% as investors have come to expect quicker
balance-sheet shrinking and faster rate increases. On May 4th Mr Powell
announced a 50-basis-point rate rise, the first increase of that size since
2000, and signalled more would be “on the table at the next couple of
meetings”.
 6park.com
It is also possible that QT will cause the
Treasury market to malfunction—the second reason for concern. Its smooth
running matters well beyond America: Treasury rates are a crucial benchmark for
pricing virtually all other financial assets globally. And recent history is
not encouraging. A series of episodes—including the “flash rally” of 2014;
stress in the repo market (a key money market where Treasuries can be swapped
for cash) in September 2019; and the covid-19 shock of March 2020, in which the
Treasury market in effect ceased to function for periods of time—have created
serious doubts about how robust the Treasury market is. 6park.com
Each of the episodes had slightly different causes.
Regardless of the robustness of the Treasury market, there was little that
would have stopped the extreme nature of the covid-19 shock from rocking it.
The repo crisis was in part the result of some perverse incentives caused by
post-crisis regulation that deterred banks from holding Treasuries. But both
were exacerbated by a deeper issue, says Randal Quarles, a former vice-chair
for supervision at the Fed, which is that the Treasury market “has grown out of
its waist size”. 6park.com
A combination of financial-crisis stimulus, fiscal
deficits under President Trump and pandemic-era splurge have caused the
Treasury market to grow nearly five-fold since 2007. At the same time fresh
regulation imposed on investment banks, which are the main conduits in Treasury
markets, such as the introduction of the supplemental-leverage ratio, which
measures the total size of bank assets relative to the amount of capital they
hold, has restricted their ability to facilitate Treasury-market activity. The
rule is not very friendly to low-risk activities, such as holding Treasuries. A
report released last year by the Group of Thirty, an economics advisory body,
warned that “the aggregate amount of capital allocated to market-making by
bank-affiliated dealers has not kept pace” with its lightning growth. 6park.com
To combat issues that have cropped up in the past the
Fed has taken measures to increase liquidity, such as opening up a “standing
facility” for selected intermediaries to swap Treasuries for cash. But few
think that this is a panacea for dysfunction. Mr Duffie favours replacing the
current market structure, which relies on broker-dealers, with a
central-clearing system. This would make it easier for market participants to
interact directly—for one mutual fund, say, to sell to another without relying
on a bank to intermediate the transaction. But the fix would be no match for
“the scale of the problem”, says Mr Quarles. A more urgent task, he argues, is
to loosen the regulatory shackles hampering investment banks from supporting
the market. That is unlikely to happen soon: there is little appetite in
Washington for weakening bank regulation. 6park.com
In the absence of an obvious fix, the unknowable
fallout from the Fed’s pull-out is adding to the uncertainty created by rising
rates, stagflation and geopolitical ructions. Liquidity in the Treasury market
is already thinning: the “yield error” captured by the Bloomberg Treasury
liquidity index, which measures the difference between the yield a Treasury is
traded at and a measure of fair value, is 12% higher than it was in January. It
has more than doubled since August 2021. The growing possibility of renewed
dysfunction could deter investors from dealing further, making it yet likelier
that the market seizes up. The once-placid life of Treasury bills and bonds
could get more chaotic for a while. ■