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。

以下为信件的全文及翻译：

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.

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 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 calledPowell 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 IGetcto blow out. When banks lend to corps, a separate desk (CVA or CPM desk) shorts the stock or buys the CDSetcas 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.

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,

我想分享任何输入。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。

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。

这则消息最直接的体会就是流动性危机,而关于流动性危机则有几点思考：

1、近期桥水遇到的赎回的压力（主要来自沙特），因此近期在隔夜市场大量拆借，补充流动性。此外桥水短借长贷，现金流错配，所以很被动；现在桥水基金爆仓只是网传，真实性还有待证实。但是一个佐证是桥水2018年提前看衰美股，仓位没有加上去，导致2019年业绩不及预期，甚至还有亏损，他有可能迫于投资者压力加仓，但是这就遇到了美国真正意义上的股灾。这就是空头补仓之后最后的流动性被榨干，剩下的就是轰然倒地了。中外股市都一样。

2、市场流动性被抽干，低信用等级的垃圾债和投资级别债券没人要，隔夜市场利率飙升（昨天LIBOR跳升和这个有关），基金拆借不到钱；市场最担心的是，零利率或负利率催生大量“劣质需求”。在信贷市场上，有两类企业银行不敢轻易放贷：

一种是可以接受极高利率的企业——出现资金链危机，亟需资金输血，不惜向高利贷借款。一种是只能接受极低利率、甚至是零利率的企业——说明盈利能力极差，无法承受高利率。只能接受零利率、负利率的企业，其收益率已逼近零。这种企业其实是劣质企业，应该被市场淘汰的企业；这种贷款需求是劣质的需求，属于次级贷款；这种金融资产是用货币饲养的“巨婴”。这类企业和市场经不起任何风吹草动，稍微提高利率或遭遇外溢性风险（疫情、油价崩盘），就可能会亏损，达到“临界态”，引发债务危机。零利率和负利率实施越久，债务规模越大，经济越脆弱。同时，利率政策就会被债务风险绑架，货币政策会陷入黔驴技穷的境地。

3、流动性没了，黄金、原油等大类资产的价格必然跌；现在全球信仰崩了，所有资产都在跌，已经没有避险一说；再跌下去，必然发生流动性危机。

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。

5、美联储近期超预期的降息,直接将联邦基金利率降至零，并开启7000亿规模的量化宽松。美联储“自杀式”救市，吓得全球资本仓皇而逃，直接陷入流动性黑洞。给钱都不要，给钱更恐慌，市场到底在怕什么？市场明白，零利率或负利率，说明金融脆弱逼近极限,流动性枯竭黑洞深不可测。

但以上种种，关A股什么事呢？国内多少人认识桥水基金的？人家国际投行爆仓，干我们A股什么事。我们公募也没多少赎回啊，随便一发都有几百亿申购。养老金险资理财资金都没入场，央行的政策定力还足够，我们还有足够的应对措施！当然，如果是全球经济危机，那么我们的所有大招，也只是螳螂挡车。所以说不要恐慌，但也要做好坏的准备！全球一地鸡毛，没理由不警惕，先管住自己的手，无论如何不能满仓。

先看两大支撑位，一是2700点，二是2685点！围绕2700点震荡筑底,今年七月到明年三月迎接大牛市的思路不变。