2022-02-28-纽约联储-全球对现金的需求_为什么2020年3月主权债券市场在不同司法管辖区的运作有所不同（英）_26页_1mb

Summary: The Global Dash for Cash: Why Sovereign Bond Market Functioning Varied across Jurisdictions (March 2020)

This report analyzes the March 2020 global market disruptions caused by the COVID-19 pandemic, focusing on why the U.S. Treasury market experienced disproportionately severe consequences compared to other sovereign bond markets.

Key Findings

1. The "Dash for Cash": The onset of the COVID-19 pandemic led investors to sell safe assets (including sovereign bonds) seeking cash due to margin calls, redemption pressures, and liquidity buffers. This resulted in widespread bond yield spikes and a deterioration in market functioning across advanced economies.

2. Disproportionate Impact on Treasuries: Outcomes were significantly worse for U.S. Treasuries than other major sovereign bonds (German Bunds, UK Gilts, Japanese Government Bonds).

   • Drivers Identified:
     • Higher Selling Pressure: Selling in Treasuries was more pronounced, broad-based, and stemmed partly from the U.S. dollar being the dominant global currency and the security being viewed as highly liquid. Foreign central banks reduced their Treasury holdings significantly, primarily selling off U.S. dollar reserves.
     • Leverage Build-up: U.S. Treasury issuance grew substantially leading to the crisis, supporting higher leverage (borrowing) by investors, particularly hedge funds exploiting cash-futures basis trades. This resulted in a concentrated pool of leverage that was rapidly unwound during the shock, amplifying selling pressure and liquidity deterioration. This level of leverage grew significantly before the March crisis compared to other markets.
     • Supply Factors: Heavier private sector Treasury issuance relative to other sovereign bonds left dealers with less capacity to absorb large-scale selling during the crisis (U.S. dealer inventories tripled pre-crisis). This was less pronounced in other markets where dealer capacity appeared sufficient relative to bond supply.
     • Market Microstructure had a Minor Role: Differences in market structure (clearing, trading platforms, electronic vs. voice) were found to be less important factors overall, although some nuances existed (e.g., futures liquidity helped in some cases).
     • Policy Response: The Federal Reserve's response (large-scale asset purchases) was more substantial and faster relative to other central banks compared to the scale of interventions during the 2008 Global Financial Crisis.

3. Policy Implications: The report suggests significant ongoing efforts to strengthen the resilience of the Treasury market, including reviewing settlement finality periods, exploring central clearing expansion, and considering reforms to money market funds and open-ended bond funds that impact Treasury funding.