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三井住友银行 · 2026/08/25

美国利率策略 · 增强回购火力

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美国利率策略 Joseph Abate 8月25, 2026 joseph.abate@smbcnikko-si.com 1 212 893-1592 增加回购火力 我们认为,财政部可以通过动用部分盈余现金来增加其回购能力,而不必增加国库券发行。定期回购总额可达$100bn,可添加到其现有的现金管理回购操作中。 • 尽管财政部现金余额接近$1trn,但只有超过其5d预期流出部分才可用于回购或投资于回购市场。 • 在不改变国库券发行或降低其预防性现金目标的情况下,我们估计它可以将$100bn从其美联储账户转移至定期债务购买。这将取代任何三方回购投资。 • 将这部分现金从回购转向购买定期债务,可能对一般担保利率影响不大。但在双边回购中,这种影响可能更为明显,因为财政部正在赎回的旧券的融资和流动性可能会改善。 • 财政部的盈余现金是不稳定的,在纳税日期前后最高。因此,定期回购可能会集中在与财政部常规现金管理回购操作相同的时间。 • 财政部的现金管理回购总额为$150bn/年,包括国库券和最长2y的旧券。单次操作规模在$12.5bn至$15bn(面值)之间。在这一曲线区域,回购需求强劲。 • 财政部可能会考虑增加这些操作的规模(每季度增加$25bn)并加入更长期限的债券,而不是用更长期限替换这些到期债券。 • 无论期限如何,回购都对债务上限动态敏感。投资者可能需要等待财政部现金余额恢复,才能将其非活跃持有的债券卖回给财政部。 额外现金 本周早些时候,有一些讨论认为财政部可以利用其在美联储账户中的现金回购定期债务。1 由于财政部在该账户中有近$1trn,利用它可能显著增加其回购火力。而且,由于这笔现金已经从债务中筹集1 参见“消息人士称,贝森特可能动用近$1trn的财政部一般账户来资助债券回购”,S. Liesman,CNBC,8月24, 2026。

SMBC美国利率策略 2 市场和税收收入,财政部将无需发行更多债务。实际上,财政部或许能够在不增加票据供应的情况下降低长期利率。相反,财政部将减少其超出预期 5 流出 E(1w) 的现金盈余规模。2 我们认为财政部不会考虑更小的运营缓冲——例如,一个针对 3 缓冲的目标。3 虽然 3 将匹配自 2000, 以来财政部无法进入融资市场的最长时期,但这不会给财政部增加太多缓冲。毕竟,每个周二和周四,财政部有 $250-$300bn 的未偿票据结算。财政部已经在考虑这笔现金。它正在考虑如何提高这笔“闲置”现金的回报,这笔现金在美联储赚不到任何收益。在5月和8月的季度再融资中,交易商被问及将盈余投资于三方回购市场的潜在影响。同样,美联储也在考虑财政部维持其预防性现金余额的地点和方式的变化对储备管理的影响。4 我们怀疑财政部通过将盈余现金投资于回购市场能获得多少收益。5 相反,我们的感觉是三方回购利率将继续低于IORB。额外的 $100bn 财政部现金投资于一个每天交易 $1.2trn 的市场,可能会使三方回购利率略微走低。然而,只要银行储备保持充裕,这种影响是微小且有限的。尽管如此,使用 $100bn 购买旧期限息票并减少其流通量,可能会降低其融资成本并改善二级市场流动性。财政部持有多少盈余现金?我们计算年初以来的 E(1w),并从财政部的每日现金持有量中减去此金额(图 1)。财政部在约 2/3 的时期内有额外现金。这些日子的平均金额约为 $165bn,但每日总额存在显著差异;盈余日的标准差约为 $96bn。根据财政部希望使用其盈余现金的积极程度,我们认为它可能每年再回购 $100bn 的定期债务。这笔现金是不规律的。如图 1, 所示,有时财政部没有盈余或盈余少于 $100bn。由于余额在税收日期前后最高,财政部可能将这些日期的定期回购集中起来——或许是每季度 $25bn。如果税收收入强于预期,操作可以扩大。现金管理回购但财政部已经利用其强劲的税收收入进行定期现金管理回购操作。这些操作旨在平滑财政部的现金流,同时平抑票据发行的季节性波动。在这些操作于 2024, 开始之前,4月的税收收入导致财政部的现金余额飙升。虽然这种情况仍然存在,但财政部不再需要在5月和6月如此积极地缩减票据发行,以将其现金恢复到 E(1w) 目标。相反,它使用 $150bn 的现金回购票据和期限至 2y 的息票。单次操作在 $12.5bn 至 $15bn(面值)之间。这有助于稳定票据发行,同时减少因货币基金将稀缺票据重新分配至隔夜回购而对短期利率产生的季节性影响。2 E(1w) 是财政部的预期现金流出;在我们的

分析中我们假设预期流出量等于实际流出量。3 参见美国财政部 PDO 助理部长 McMaster 的讲话,29, 年 2025 月。4 参见达拉斯联邦储备银行 L. Logan 和 S. Schulhofer-Wohl 的文章《关于减少美联储资产负债表规模的选项》,2, 年 2026 月。5 在 5 月份的再融资中,TBAC 估计财政部每年可能仅额外获得 $60-100 百万美元。

SMBC美国利率策略 3 向财政部出售短期债务的需求强劲,但不如对较长期限债券的需求强劲(图2)。因此,财政部可能不想用定期债务来替代其每季度现金管理操作的到期债务。相反,它可能会在其现有的现金管理购买基础上,每季度增加$25亿美元的定期债务回购。债务上限 在本分析中,我们忽略了债务上限的影响。当财政部通过非常会计措施创造的借款能力耗尽时,债务上限就会生效。这迫使财政部以较少的现金余额运作,并意味着其必须暂停回购。如果财政部扩大回购规模但随后被迫暂停,希望减少非活跃债券库存的投资者可能不得不等到国会批准提高上限(或暂时暂停)后,财政部的购买才能恢复。图1:每日现金减去E(1周)(十亿美元) 图2:按部门划分的面值出售与最大比率 来源:美国财政部,SMBC日兴 注:过去10次操作的平均值。 来源:美国财政部,SMBC日兴 -600 -400 -200 0 200 400 600 800 11月-25 1月-26 3月-26 5月-26 7月-26 0 2 4 6 8 10 12 14 16 现金管理 10-20年 20-30年

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关键论点
  • 财政部超出5天预期流出量的盈余现金可用于回购,而无需增加票据发行。
  • 可在现有现金管理回购操作基础上增加1000亿美元的定期回购。
  • 将现金从回购协议转为回购对一般担保利率影响可能很小,但可能改善旧息票的双边回购条件。
  • 盈余现金具有 lumpy 特征,在纳税日期前后最高,因此定期回购可能集中在这些时期。
  • 财政部可能不会更换期限,而是每季度增加250亿美元的定期回购并纳入更长期限。
  • 回购对债务上限动态敏感,因为约束性上限可能导致暂停。
  • 将盈余现金投资于回购市场的收益很小,利率可能仍低于IORB。
  • 使用1000亿美元购买旧息票可降低其融资成本并改善流动性。
风险
  • 债务上限动态可能迫使财政部暂停回购,导致投资者无法出售旧券持有。
  • 盈余现金具有 lumpy 特征,可能有时不足,限制回购的时机和规模。
  • 扩大回购可能受制于税收收入低于预期。
  • 将盈余现金投资于回购市场可能收益较低,并可能压低三方回购利率。