看过经典港剧《大时代》的朋友，可能记得刘青云饰演的方展博在股市的第一次成名之作，是“火烧连环船”，大破陈万贤。（不禁再次感慨神剧） 桥水一直使用的Risk Parity策略，看起来无懈可击，但实际上和连环船一样，整体抗风险能力很强，但是由于反复叠加杠杆，一旦敌方火力够猛，一艘船起火，那么整个舰队都将付之一炬。 从目前看到的信息来看，负责点火的，貌似是沙特。周瑜打黄盖，愿打愿挨；沙俄闹沙特，重挫原油。由于原油价格下跌，沙特需要资金维持国家财政，再加上美国疫情暴发，股市看起来没那么好，就想起来从美国赎回资金，而由于达里奥的天才销售能力，沙特有很多资金在桥水里面，也有很多钱在类似桥水的Risk Parity里面。 但是仅有沙特这个黄盖，是不会那么夸张的，因为缺一个东西，东风。但是疫情在美国启动的时点，几乎和沙特点火时点吻合。 东风一到，火光冲天。 由于沙特的大额资产赎回，桥水和其他Risk Parity策略需要对其连环船资产进行平仓，需要市场的流动性。但是，由于疫情刚好暴发，加上原油大跌，大宗商品和股票的流动性非常差；又由于疫情，提供流动性的银行和其他对冲基金策略，由于交易员上班出现了问题，提供的流动性就更少。于是Risk Parity策略，相当于要在历史上前所未有的流动性巨差的条件下，强行平掉巨大规模的头寸，而且越平仓，其资产价值就越差，流动性也越差；反过来赎回却越多，就需要越平仓。这样就很容易陷入正反馈过程。 所以先起火的股票和大宗商品，迅速把火势蔓延到其他所有资产上，连本来避险的黄金，也大幅下挫。因为所有Risk Parity持有的资产，其实有共同的风险。所有资产流动性都出现了问题。 同时，多数非Risk Parity策略的头寸，由于过去几年的大牛市，可以理解成做空波动性、做空融资利率、做多流动性的，其实是更大的连环船。Risk Parity起火，其他的策略也开始崩盘。 所以联储周末之后，直接祭出天量大水，奈何如今火势太烈，联储之水能否灭火，还尚未可知。 最后附上近期看到的资料，希望对大家有帮助。 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. |
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发表于 2020-3-18 04:17 AM
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发表于 2020-3-18 05:58 AM