橋水基金算是全球最大的對沖基金，它的傳奇故事總是在市場流傳，而其創始人達里奧更是神話一般的人物。但是就在這兩天一則橋水爆倉的消息傳出，這是據說最近在華爾街廣為流傳的一封信，分享給大家品一品。
以下為信件的全文及翻譯：（翻譯在文後）
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 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 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．
希望你一切都好，我想我們馬上就要到美國了。這篇文章值得你注意……
夥計們，
我想分享任何輸入。我一直在觀察市場的動向，我的結論是，風險平價已被打破，Citadel和Millennium陷入了大麻煩。我剛接到高盛(158.67, 4.01, 2.59%)一位老朋友的電話，他現在在美國經營著一家日本銀行的大部分資產負債表，他非常激動……
他的觀察是，橋水基金面臨著來自沙特和其它國家的大規模贖回，而這正是導致該基金上週出現一些更劇烈波動（黃金、債券、股票和外匯）的原因。他認為AQR和2西格瑪在同一條船上。風險平價出現了大規模的被迫平倉。所有這些都在戰略中起到了槓桿作用，有時是非常重要的。他認為，主權財富基金就像其他人一樣，正在逃之夭夭。
大家都知道，我認為布里奇沃特破產的原因不在於此，而在於大規模欺詐的曝光。
我的朋友解釋說，由於沃爾克規則，現在波動率上升了，我們不得不在許多領域削減80%的風險限制——從另一個角度來看，他的美元/墨西哥商品交易所頭寸限制已從2億美元增至1200萬美元。因此，就在他本應證明流動性的時候，他卻不得不減少流動性。他的手被綁住了。更糟的是，他還得與公司借款人對沖交易對手風險，這加劇了拋售。銀行沒有流動資金。
他聲稱，同樣的VAR問題正在衝擊Citadel和Millennium，但情況有所不同。他和所有銀行一樣，正在把對交易對手的貸款利率從倫敦銀行同業拆放利率（Libor） +35上調至Libor +90，他的資產負債表規模達到1.5萬億美元。資金壓力正迫使銀行降低貸款風險。問題在於，資金壓力似乎來自Citadel和Millennium。他們依賴回購，但通過銀行，但傳導機制被打破（監管）。貝南克似乎可能打電話給鮑威爾，要求他在回購時注入大量流動性，但他只提取了78美元，而不是5000億美元。銀行不需要現金，也不想貸款給交易對手。問題就在於此——一場全面的信貸緊縮。
隨著利率上升，所有的相對價值交易都泡湯了。當他們利用巨大的槓桿（脫離運行，等等）在非流動性資產上賺取12個基點時，一切都不再奏效。隨著融資的增加，它們很快就會變得無利可圖，要麼苦苦哀求回購融資，要麼不得不分拆，以實現鉅額虧損。沒有資金。這是個大麻煩。
這些傢伙是短期波動率（VAR），短期流動性和短期利率。完美的風暴。
最重要的是，我的朋友幾乎是衝著我大喊大叫，他說他不能承擔任何風險，因此不能提供流動性。他的手被綁住了。
COVID讓情況變得更糟，流動性將在下週乃至未來幾周大量枯竭。你可以在FINRA的24系列中看到，交易者不能在國內做市。它是非法的。所以每個人都被送回家，除了交易員。問題是，交易員們現在都生病了——到目前為止，我只聽說過摩根大通(93.76, 5.40, 6.11%)和花旗這兩家公司。他們將不得不回家，每天做更多的事，或決定自己想做的事，流動性會變得更低。沒有人能創造市場。
另外，在公司的信貸市場上，事情同樣一團糟。由於流動性問題，信貸已停止交易。這是導致IG等爆炸。當銀行貸款給隊，一個單獨的桌子（腦血管意外或桌子CPM）短褲股票或購買CDS等作為對沖（規定），如果貸款仍在書（他們不允許自己的債券，但可以借錢給交易對手，奇怪的是）他們繼續這樣做股票下跌或cd擴大。本質上，他們是做空伽瑪，創造一個高側市場。每個人都是賣家，沒有人是買家。當債務市場變得更糟時，銀行通過對沖獲利。
這導致許多公司的股票價值，如哈利伯頓，跌至債務水平以下。這些借款人資產負債表上是否有現金並不重要，因為這個市場的股票價值不斷下跌，以及來自CVA的對沖。這將導致利差擴大，並將導致評級下調，從而形成一個厄運循環。
所以，如果伏留在這裡一段時間，我們就會有一場狗屎風暴。我看不到卷下降，將導致一個非常大的問題與Citadel，年，所有風險平價打開，所有的冒險者信貸賣空對沖和回購，沒有人希望在銀行，但他們的交易對手迫切需要。這種情況每持續一天，就會變得越危險……
我們有個他媽的保證金通知。
在我朋友看來，阻止這種情況發生的唯一辦法是取消《緊急權力法案》（emergency powers act）中的沃爾克規則（Volker rule）（允許銀行提供流動性），美聯儲（Fed）削減至零，並讓他們購買公司債券。 所有的銀行都在與FINRA進行對話，並表示要去政府。 問題是傑米·戴蒙躺在床上。 他們需要他來管理美國財政部，因為他是唯一瞭解所有這些情況並可以在政治中進行導航的人。
這可能是需要進行的修復。 在不瞭解觸發因素之前，Citadel，Millennium，Bridgewater，AQR，2 Sigma和公司債券市場會發生什麼。
我以為你們都會感興趣。
爆倉消息一出，迅速引發市場強烈關注，對此有網友評論道：
假設謠言是真的，橋水全天候人民幣基金在他的幾個產品組合裡今年跌的最少，只有9%，如果爆倉或者有鉅額贖回，人民幣這個組合清盤首當其衝，今天A股中午以後不斷下殺，除了美股期指的原因，大頭主要是是國內機構擔心雷曼重演恐慌性拋售。
不過也有分析師對於橋水爆倉的真實性提出了質疑。當下美國面臨的問題可能比我們想象的要嚴重的多，今年或許我們還要一起見證更多的歷史，但在暴風雨面前，作為深入參與投資的我們更需要保持理性睿智，冷靜思考。股市震盪，大家做好風險對沖和資產配置，莫要被過度影響生活。
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