纽约联储-美国国债市场从全球金融危机到疫情的运作（英）-2025.4_36页_1mb

U.S. Treasury Market Functioning from the GFC to the Pandemic

Key Points

1. Market Liquidity Trends:

   • Liquidity deteriorated sharply during the Global Financial Crisis (GFC) and worsened again during the 2013 taper tantrum and the 2020 dash-for-cash.
   • Electronic trading since the 1990s improved liquidity through narrower spreads and greater order book depth, but also introduced risks like algorithmic volatility.
   • Post-crisis regulatory changes, including Basel III and the Volcker Rule, constrained dealer intermediation capacity by increasing capital and liquidity requirements.

2. Ownership Changes:

   • Primary dealer purchases at auctions declined, while investment funds and PTFs increased their holdings.
   • Mutual funds' rise, especially buy-and-hold strategies, amplified liquidity risks during crises, forcing funds to sell securities and overwhelm dealers.

3. Intermediation Challenges:

   • Deleveraging pressures during stress periods (e.g., COVID-19) strained dealer capacity, leading to higher volatility and pricing dislocations.
   • PTFs provide intraday liquidity but lack inter-day resilience, exacerbating gaps during market shocks.

4. Policy Responses:

   • Measures to enhance resilience include the Standing Repo Facility (SRF), central clearing expansion, and increased transparency via TRACE and repo data.
   • Regulations aimed to rebalance market structure, reduce systemic risks, and improve liquidity monitoring.

Conclusions:

• The Treasury market has evolved considerably post-GFC, with improved liquidity and resilience through electronic trading and regulatory reforms, yet vulnerabilities persist.
• Sustained policy efforts focus on mitigating deleveraging risks and ensuring market stability in times of stress.