桥水爆仓了 「桥水基金回应爆仓」

桥水基金算是全球最大的对冲基金，它的传奇故事总是在市场流传，而其创始人达里奥更是神话一般的人物。但是就在这两天一则桥水爆仓的消息传出，这是据说最近在华尔街广为流传的一封信，分享给大家品一品。

Hope you are well，I think we are heading to a total stop in US

This piece is worth your attention.

FYI... Not to be used but for your interest.

Guys，

I wanted to share for any input. I’ve been watching what is going on in markets and my conclusion was that Risk Parity has blown up and Citadel and Millennium are in deep trouble. I just received a call from an old GS friend who now runs a large part of a Japanese bank balance sheet in the US and he was highly agitated...

His observation is that Bridgewater has faced massive redemptions from Saudi and others and that is what is caused some of the more dramatic moves last week （gold， bonds， equities and FX）. He thinks AQR and 2 Sigma are in the same boat. There is massive forced liquidation of risk parity. All of them run leverage in the strategy， sometimes significant. Sovereign wealth， he thinks， is running for the hills as are others.

As you all know， I think Bridgewater goes under for reason not involving this but the exposure of massive fraud but this will force it.

My friend explained that due to the Volker rules， now that vol has risen， we has to cut risk limits by 80％ in many areas – to put it in perspective his Dollar Mex position limit has gone from 200m to 12m. Thus， just when he was supposed to prove liquidity， he has to reduce it. His hands are tied. Even worse， he has to hedge counterparty risk with corp borrowers and that is adding to the tail spin of selling. There is no liquidity from the banks.

The same VAR issue， he claims， is hitting Citadel and Millennium but with a twist. He， along with all the banks， is jacking up lending rates to counterparties from Libor35 to Libor90 and he has a $1.5trn balance sheet. The funding stress is forcing banks to reduce lending risk. The issue is that the funding stress is coming from Citadel and Millennium it seems. They rely on repo but via the banks but the transmission mechanism is broken （regulation）. It appears that Bernanke probably called Powell and asked him to flood with liquidity at repo but instead of $500bn being drawn， only $78 was drawn. The banks don’t need the cash and don’t want to lend to counterparties. And there in lies the problem – a full credit crunch.

With rates going up， all the relative value trades have blown up. Nothing works any more as they were making 12bps in illiquid stuff on massive leverage （off the runs， etc）. As funding goes up they instantly go wildly unprofitable and are stuck either begging for repo funding or having to unwind and realize massive losses. There is no funding. This is big trouble.

These guys are short vol （VAR）， short liquidity and short rates. The perfect fucking storm.

Then on top of that， my friend who was almost yelling to me about it， says he cannot take any risk and therefore cannot provide liquidity. His hands are tied.

COVID makes it even worse and liquidity is going to massively dry up next week and for the next few weeks. You see under Series 24 of FINRA， a trader cannot make markets from home. It is illegal. So everyone is getting sent home but the traders. The problem is the traders are now falling ill – JPM and CS are the two I’ve heard thus far. They will have to go home and each day more do， or decide they want to， the lower liquidity gets. No one can make markets.

Also， in the corp credit markets things are equally fucked up. Credit， due to the liquidity issues， has stopped trading. That is causing IG etc to blow out. When banks lend to corps， a separate desk （CVA or CPM desk） shorts the stock or buys the CDS etc as a hedge （regulations again） and if the loan is still on the books （they are not allowed to own the bonds but can lend to counterparties， bizarrely） they continues to do that as stocks fall or CDS widens. Essentially， they are short gamma， creating a lob sided market. Everyone is a seller and no one is a buyer. The banks have made money on the hedges while the debt markets get worse.

This is causing the equity value of many firms such as Haliburton， to fall below the debt levels. Whether these borrowers have cash on balance sheet or not is irrelevant because of the falling equity value in this market and from the CVA hedging. That is causing spreads to blow out and it will cause downgrades， thus creating a doom loop.

So， we have a total shit storm if vol stays here for any period of time. I do not see vol falling yet and that is going to cause a really big issue with Citadel， Millennium， all the risk parity unwinds， all the risker credit that is being shorted for hedging and the repo that no one wants in the banks but their counterparties desperately needs. Every day this situation continues， the more dangerous it is going to get....

We have a big fucking margin call under way.

In my friends opinion， the only way to stop this is to remove the Volker rule under the emergency powers act （ to allow banks to provide liquidity）， the Fed to cut to zero and for them to buy corporate bonds. All the banks have been talking to FINRA and they have said go to the government. Problem is Jamie Dimon is in bed. They need him to run the US Treasury as he is the only person who understands all of this and can navigate it through the politics.

This is likely the fix that needs to happen. What happens to Citadel， Millennium， Bridgewater， AQR， 2 Sigma and the corp bond market until they pull that trigger， I have no idea.I thought you’d all be interested.

全文翻译（仅供参考）

希望你一切都好，我想我们马上就要到美国了。这篇文章值得你注意……

伙计们，

我想分享一些意见。我一直在观察市场的动向，我的结论是，风险平价已被打破，Citadel和Millennium陷入了大麻烦。我刚接到高盛一位老朋友的电话，他现在在美国经营着一家日本银行的大部分资产负债表，他非常激动……

他的观察是，桥水基金面临着来自沙特和其它国家的大规模赎回，而这正是导致该基金上周出现一些更剧烈波动（黄金、债券、股票和外汇）的原因。他认为AQR和2西格玛在同一条船上。风险平价出现了大规模的被迫平仓。所有这些都在战略中起到了杠杆作用，有时是非常重要的。他认为，主权财富基金就像其他人一样，正在逃之夭夭。

大家都知道，我认为布里奇沃特破产的原因不在于此，而在于大规模欺诈的曝光。

我的朋友解释说，由于沃尔克规则，现在波动率上升了，我们不得不在许多领域削减80％的风险限制——从另一个角度来看，他的美元/墨西哥商品交易所头寸限制已从2亿美元增至1200万美元。因此，就在他本应证明流动性的时候，他却不得不减少流动性。他的手被绑住了。更糟的是，他还得与公司借款人对冲交易对手风险，这加剧了抛售。银行没有流动资金。

他声称，同样的VAR问题正在冲击Citadel和Millennium，但情况有所不同。他和所有银行一样，正在把对交易对手的贷款利率从伦敦银行同业拆放利率（Libor）35上调至Libor90，他的资产负债表规模达到1.5万亿美元。资金压力正迫使银行降低贷款风险。问题在于，资金压力似乎来自Citadel和Millennium。他们依赖回购，但通过银行，但传导机制被打破（监管）。贝南克似乎可能打电话给鲍威尔，要求他在回购时注入大量流动性，但他只提取了78美元，而不是5000亿美元。银行不需要现金，也不想贷款给交易对手。问题就在于此——一场全面的信贷紧缩。

随着利率上升，所有的相对价值交易都泡汤了。当他们利用巨大的杠杆（脱离运行，等等）在非流动性资产上赚取12个基点时，一切都不再奏效。随着融资的增加，它们很快就会变得无利可图，要么苦苦哀求回购融资，要么不得不分拆，以实现巨额亏损。没有资金。这是个大麻烦。

这些家伙是短期波动率（VAR），短期流动性和短期利率。完美的风暴。

最重要的是，我的朋友几乎是冲着我大喊大叫，他说他不能承担任何风险，因此不能提供流动性。他的手被绑住了。

COVID让情况变得更糟，流动性将在下周乃至未来几周大量枯竭。你可以在FINRA的24系列中看到，交易者不能在国内做市。它是非法的。所以每个人都被送回家，除了交易员。问题是，交易员们现在都生病了——到目前为止，我只听说过摩根大通和花旗这两家公司。他们将不得不回家，每天做更多的事，或决定自己想做的事，流动性会变得更低。没有人能创造市场。

另外，在公司的信贷市场上，事情同样一团糟。由于流动性问题，信贷已停止交易。这是导致IG等爆炸。当银行贷款给队，一个单独的桌子（脑血管意外或桌子CPM）短裤股票或购买CDS等作为对冲（规定），如果贷款仍在书（他们不允许自己的债券，但可以借钱给交易对手，奇怪的是）他们继续这样做股票下跌或cd扩大。本质上，他们是做空伽玛，创造一个高侧市场。每个人都是卖家，没有人是买家。当债务市场变得更糟时，银行通过对冲获利。

这导致许多公司的股票价值，如哈利伯顿，跌至债务水平以下。这些借款人资产负债表上是否有现金并不重要，因为这个市场的股票价值不断下跌，以及来自CVA的对冲。这将导致利差扩大，并将导致评级下调，从而形成一个厄运循环。

所以，如果伏留在这里一段时间，我们就会有一场狗屎风暴。我看不到卷下降，将导致一个非常大的问题与Citadel，年，所有风险平价打开，所有的冒险者信贷卖空对冲和回购，没有人希望在银行，但他们的交易对手迫切需要。这种情况每持续一天，就会变得越危险……

我们有个他妈的保证金通知。

在我朋友看来，阻止这种情况发生的唯一办法是取消《紧急权力法案》（emergency powers act）中的沃尔克规则（Volker rule）（允许银行提供流动性），美联储（Fed）削减至零，并让他们购买公司债券。所有的银行都在与FINRA进行对话，并表示要去政府。问题是杰米·戴蒙躺在床上。他们需要他来管理美国财政部，因为他是唯一了解所有这些情况并可以在政治中进行导航的人。这可能是需要进行的修复。在不了解触发因素之前，Citadel，Millennium，Bridgewater，AQR，2 Sigma和公司债券市场会发生什么。我以为你们都会感兴趣。

爆仓消息一出，迅速引发市场强烈关注，对此有网友评论道：

假设谣言是真的，桥水全天候人民币基金在他的几个产品组合里今年跌的最少，只有9％，如果爆仓或者有巨额赎回，人民币这个组合清盘首当其冲，今天A股中午以后不断下杀，除了美股期指的原因，大头主要是是国内机构担心雷曼重演恐慌性抛售。

不过也有分析师对于桥水爆仓的真实性提出了质疑：

当下美国面临的问题可能比我们想象的要严重的多，今年或许我们还要一起见证更多的历史，但在暴风雨面前，作为深入参与投资的我们更需要保持理性睿智，冷静思考。股市震荡，大家做好风险对冲和资产配置，莫要被过度影响生活。（来源：富途牛牛）