Supply demand and a third variable

How do we know that they are holding not more but less risky portfolios? We know because we know that supply curves slope up, and if they were holding more risky portfolios in total—supplying more risk-bearing capacity to the market—the price of risk would have not fallen but risen, and interest rate risk spreads would be not lower but higher, wouldn't they? At least, that is the case as long as the supply curve for risk-bearing capacity slopes up, like a good supply curve should.

The Fed is an account entry on the sheets of the primary dealers. 

The Fed absorbed a huge liability from Congress, and Congress paid with an immediate interest rate hike on the ten year.  That was an equalizing charge against the implied bond tax of QE. Finance is quite aware that risk is  a conserved quantity and finance keeps an entry for implied Fed risk. 

What government risk?

In a downturn, government is hit with enormous insurance charges, unexpectedly because government agencies are not on cash flow accounting and not measured.  Congress is doing the borrowing on the Fed account, there is no sensible government index except the deficit.  The Fed needs to see the accounts of major government agencies, and these agencies need to see their own relative position. The risk, quite simply, is that Congress a has a for shit velocity equation, they have no idea.

The effect is to synchronize all the black swans with government regime change.   And then to synchronize the regime changes with generational defaults.  Government agencies bottle necked, they have no mechanism to prepare to exigencies in their markets.