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来源:挂讯网 编辑: 2020-03-19 12:55



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

This piece is worth your attention.

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


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 whonowruns 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 Libor +35 to Libor +90 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 spads 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.








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Libor +90,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。









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。






4、除了桥水,还有millennium, citadel等大基金也面临类似问题,在拆借和资产平仓上行成踩踏;因为都在赎回,从孙正义那赎回资金,从桥水赎回,都想持现金,都在挤兑。银行也不敢出钱救,怕被传染,货币政策传导不灵!各国央行只能自己下场,砸钱救市了。