Re: [新聞] 美國某大對沖基金爆倉已刪文

看板Stock (股票)作者H2 (超級噴火龍X)時間6年前 (2020/03/18 16:28)推噓0(1推 1噓 1→)

留言3則, 3人參與討論串2/2 (看更多)

大家參考 Hope u are welll I think we are heading to a total stop in US. This piece is worth your attention... 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 agitate d... 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 (go ld, bonds, equities and FX). He thinks AQR and 2 Sigma are in the same boat. The re is massive forced liquidation of risk parity. All of them run leverage in the strategy, sometimes significant. Sovereign wealth, he thinks, is running for th e hills as are others. As you all know, I think Bridgewater goes under for reason not involving this bu t 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 twis t. He, along with all the banks, is jacking up lending rates to counterparties f rom Libor +35 to Libor +90 and he has a $1.5trn balance sheet. The funding stres s 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 ba nks but the transmission mechanism is broken (regulation). It appears that Berna nke probably called Powe -- ※ 發信站: 批踢踢實業坊(ptt.cc), 來自: 223.137.200.170 (臺灣) ※ 文章網址: https://www.ptt.cc/bbs/Stock/M.1584520135.A.C2B.html