全球货币新秩序的诞生——俄乌战争催生布雷顿森林体系3.0版本

作者简介

Zoltan Pozsar，华尔街最负盛名的货币学者之一，前美联储和美国财政部官员，现任瑞信全球短期利率策略主管，常驻纽约。本文《布雷顿森林体系III（Bretton Woods III）》作为其工作报告发布，引发华尔街热议。

核心观点

俄乌战争催生大宗商品价格波动，非俄罗斯大宗商品价格飙升，俄罗斯大宗商品价格暴跌。在关闭两者价差的努力中，只有中国大有可为。在此过程中，中国将成为俄乌战争的大赢家，不仅能降低本国的通货膨胀率，还能实现人民币国际化。相比之下，西方国家将会成为其自身制裁的牺牲者，美国和欧盟的货币和债券将不再被信任，布雷顿森林体系的3.0版本将依赖于黄金和资源这些更底层的信用。此外，西方国家还要吞下高通货膨胀率、高利率、金融市场动荡等一系列苦果。

翻译

我们正在见证布雷顿森林体系 III 的诞生——一种东方的、以大宗商品为锚的新国际货币秩序，这可能会削弱欧洲美元体系，并加大西方的通胀压力。

一场危机正在徐徐展开——大宗商品危机。大宗商品可以抵押，抵押品即货币。在这场危机中，相对于内部货币（信用货币），外部货币（无交易对手方货币，如黄金、比特币）吸引力上升。

布雷顿森林体系 II 建立在内部货币（信用货币）之上，一周前，当 G7 冻结俄罗斯的外汇储备时，布雷顿森林体系 II的基础就崩塌了。

“利率是线性的”——这注定只是一个美丽的悖论。大部分时间你需要通过线性思考来寻找相对投资价值，但是当你面对政治巨变时，就不得不动用非线性方式思考，从而让自己活下来。

目前，融资市场正在发生政治巨变，随之而来的是通货膨胀形成机理和外汇储备管理实践的巨大转变。

我们今天可以确信两件事情：一是，6月FRA-OIS 利差可能扩大到至少 50 个基点，资金将进一步紧张。一方面由于大宗商品价格上涨，另一方面受美联储加息影响。

（FRA-OIS利差指的是远期利率和隔夜利率之间的差值，是流动性紧张的指征）

二是，运费将大幅上涨。运费，在当下的时间节点上，与国际货币体系的变革有关。运费构成商品贸易公司和那些转移并储存受制裁大宗商品的主权国家的成本。

1.大宗商品价格波动推动资金进一步紧张。

自乌克兰冲突发生以来，即期美元 Libor、FRA-OIS 和外汇掉期一直显示出承压迹象。我们在融资市场听到两件事：现金需要竞标才能得到，而长期资金也很难获得。

正常情况下，外汇掉期市场中的隔夜交易决定了其余期限的交易（隔夜的低溢价意味着长期交易的低溢价）。

但现在不是正常情况，各种危机正在展开。在危机中，就像2008 年，每个人只放短期贷款，导致隔夜利率下降。然而隔夜利率的下降是以长期利率的飙升为代价的——在危机中，隔夜利率并不像往常一样向长期端传导。

是谁在驱动资金的需求？答案是大宗商品世界。出于三个原因。

首先，由于制裁导致俄罗斯大宗商品“下线”，非俄罗斯大宗商品价格上涨。如果你是（杠杆）商品交易员，您需要从银行借更多资金来购买大宗商品以便出售。

其次，如果你做多非俄罗斯商品并做空相关期货，您可能需要追加保证金。大宗商品世界中的每一个人都在经历一场完美风暴，所有的品种都不能幸免。虽然西方只是制裁单一商品生产国俄罗斯，但他几乎出售所有大宗商品。在 1973 年欧佩克供应冲击 50 周年之际，我们看到的情况与今天类似，但更糟糕的是，它不是由供应商驱动，而是由消费者驱动的。

第三，如果你做空俄罗斯大宗商品并做多相关期货，那么你很可能也需要追加保证金，像上述情况一样需要资金。

侵略者正在受到制裁的惩罚，而制裁驱动的大宗商品价格波动也威胁着西方世界的金融稳定。是否有足够的抵押品和信用额度来借入保证金？如果玩家失败，商品期货交易所会发生什么？ CCPs是防弹服的吗？

（CCPs Central Counterparties中央对手方清算所，在衍生品交易中取代双边清算，成为每一个卖方的买方，每一个买方的卖方，如果有一方交易对手违约，也能够确保交易的完成。）

迄今为止，我都没有看到对这些问题的广泛关注，你们看见了吗？场外商品衍生品市场风险是如此之大，却视而不见。与1973年欧佩克供应危机相比，今天的大宗商品市场金融化和杠杆化程度更高，而今天的俄罗斯供应危机规模更大、范围更广、相关性更强。

所以，更可怕。

2.非俄罗斯大宗商品价格越高，俄罗斯大宗商品价格越低，FRA-OIS 的价差就越大，资金越紧张，危机越深重。

熟悉我的读者都知道Perry Mehrling（哥伦比亚大学的货币银行学教授）：我的“凯恩斯”和金钱观之父。正如 Perry Mehrling 教我的那样，金钱有四个价格：

(1)面值：这是不同类型货币的比价，这意味着现金、存款和货币基金份额应始终以 1:1 的比例进行交易。

(2) 利息：这是未来货币的价格，它指的是 OIS（隔夜利率）以及所有围绕 OIS 展开的其他利率。

(3) 汇率：外币的价格，即美元vs其余货币的比价。

(4) 价格水平：即大宗商品价格，以及受大宗商品价格影响的其他所有商品价格。

当前正在发生的危机与 1997 年、2008 年和 2020 年危机之间具有相似之处。回顾之前的危机，每一次都发生在资金市场与抵押品市场的交汇处。在目前的危机中，大宗商品是抵押品，更准确地说，俄罗斯大宗商品就像次级抵押品，而所有其他大宗商品都是优质抵押品。现在，回到金钱的四种价格以及它们如何与危机联系起来：

(1) 面值：2008 年金融危机中，货币基金跌破面值，融资市场因担心次级抵押贷款抵押品安全而出现冻结。

(2) 利息：这是 2020 年新冠疫情爆发时发生的情况，当时债券 RV（相对价值）交易崩盘，因为信贷额度的减少使得资金率先从优质抵押品中撤走。

(3) 汇率：1997 年东南亚金融危机中，东南亚国家耗尽抵押品后（即外汇储备），美元融资在亚洲突然断流。

(4) 价格水平：这就是现在正在发生的……

如果你看到我所看到的模式，你应该感到担心。在此之前，大宗商品交易的价差很小，因为存在一个统一的全球市场可以套利。房屋抵押贷款在 2008 年之前也是如此——无论是公共的或私人的、优质贷或次级贷，他们的信用等级都是一样的...直到危机爆发，他们分道扬镳。

目前，相同的事情正在大宗商品市场发生。大宗商品不再平价：俄罗斯商品价格暴跌，非俄罗斯商品价格上涨。上涨由俄罗斯的供给冲击导致，是制裁打上的烙印。

而且这次是买家罢工，不是卖家罢工，让事情变得更加荒谬......

今天的俄罗斯大宗商品就像 2008 年的次贷 CDOs；非俄罗斯大宗商品就像 2008 年的美国国债。一种价格暴跌，另一种价格飙升。 “大宗商品价差”飙升！无论你站在交易的哪一边，都需要追加保证金。

（CDOs：Collateralized Debt Obligation，担保债务凭证。资产证券化家族中的重要组成部分。它的标的资产通常是信贷资产或债券）

从 1997 年、2008 年和 2020 年的危机中，我们还了解到，每次危机都是内部和外部原因共同导致的：纽约大型银行 1997 年拒绝在东南亚推出美元融资；融资提供方2008 年拒绝接受贝尔斯登和雷曼兄弟的次级抵押品；2020 年拒绝接受对冲基金的优质抵押品。

从这些危机中，我们还了解到，最终总要有人以某种方式提供支持——或者正如Perry Mehrling所说的“外部利差”。1997 年是国际货币基金组织在东南亚提供背书，以换取华盛顿共识式的结构性改革；2008 年，美联储资金支持范围扩容到影子银行系统，以换取巴塞尔协议 III等一系列改革措施推进；2020年3月，美联储通过 QE 和 SRF（常备回购便利）来支持对冲基金，以换取什么，我们尚未可知。但历史将证明这一切都是有代价的。

3.只有中国人民银行有能力抹平大宗商品的价差，并在此过程中成为最大赢家

如果我们是对的，这将是一场类似于2008年金融危机的“大宗商品危机”——抛开规模和严重性暂且不论——谁将为之提供背书？

我们只看到一个实体：中国人民银行！

西方央行无法关闭不断扩大的“大宗商品价差”，因为它们各自服务的主权国家是推动制裁的始作俑者。所以他们将无法对俄大宗商品提供外部背书，因此无法关闭“俄罗斯-非俄罗斯”大宗商品的价差。他们将不得不应对由此带来的通胀影响，并试图通过加息来降温。

商品交易商也无法做到。请记住，嘉能可是从 Marc Rich 的废墟上崛起的。随着瑞士放弃中立立场加入制裁行列，瑞士的这家大宗商品交易商也将三思而后行。

（嘉能可：全球大宗商品交易巨头，总部设于瑞士巴尔，前身是Marc Rich公司，在70年代末的伊朗人质危机期间，被指控与伊朗进行非法原油交易及偷税漏税）

只有中国人民银行可以...

因为它是一个可以随自己曲调而起舞的主权者。让事情变得更复杂的是，由于 G7 冻结了俄罗斯的外汇储备，中国可能正在深入和认真地思考其外汇储备中的价值。

中国人民银行有两个“地缘金融战略”的选项。

第一，出售美国国债来资助船舶的租赁和装载，以清仓俄罗斯的大宗商品。这将损害美国的长期国债收益率并稳定中国的大宗商品基础，与此同时，中国央行能够控制住中国的通胀，而西方将遭受大宗商品短缺、经济衰退和更高的国债收益率之苦。

第二，实施自己的QE——印制更多人民币在市场上购买俄罗斯大宗商品。如果是这样，那就是欧洲人民币市场的诞生，也是中国真正打破欧洲美元市场霸权的第一步。人民币参与角逐商品，对西方来说也是一种通胀；多了人民币这个资产选择，市场上对西方长期国债的需求也将减少。这同样不利于西方的长期国债收益率。

看涨运费背后的逻辑也很简单：理论上，中国人民银行支付装满俄罗斯商品的租船费用将上升，但可以被俄罗斯商品价格暴跌的幅度相抵消。如果中国在大陆没有足够的存储能力，它会将俄罗斯商品存放在海上漂浮的船只上，这不仅使得人民银行的资产负债表承压（人民银行可以通过印钞来提供资金），同时拖累全球航运能力。对于世界其他地区来说，也将导致通货膨胀。

再次重申，如果你相信西方的制裁能最大限度给俄罗斯带来痛苦，同时最大限度降低西方的金融稳定风险和价格稳定风险，那么你也可以相信世间还有独角兽，G-SIBs（全球系统重要性银行）有助于维护金融稳定，嘉能可有助于维护价格稳定......这一系列的“美好的传说”。

综上所述，大宗商品价格不稳定助长了金融不稳定：追加保证金可能会引发一些较小的商品交易商甚至 CCPs交易所的倒闭。

固然，美联储和其他央行或将能够提供流动性支持…….但这些都只是权宜之策。

这里真正的问题不是流动性本身，流动性只是更大问题的表像，那就是俄罗斯-非俄罗斯商大宗商品的价差，只有中国才能关闭。

你是否看到我所看到的危机？您是否像我一样看到西方的通货膨胀？

自从尼克松总统在 1971 年将美元与黄金脱钩以来，基于大宗商品的货币时代终结，人类走向信用货币。而这场危机与我们之前所见过的都不一样。

当俄乌战争结束时，美元将更加疲弱，而另一方面，在一篮子大宗商品的支持下，人民币会更加坚挺。

从黄金支持的布雷顿森林时代，到内部货币（国债，具有不可对冲的罚没风险）支持的布雷顿森林II，再到外部货币（黄金和大宗商品）支持的布雷顿森林III。

当这场战争结束后，全球货币体系将与从前大不相同......比特币可能会从这一切中受益。

原文

We are witnessing the birth of Bretton Woods III – a new world (monetary) order centered around commodity-based currencies in the East that will likely weaken the Eurodollar system and also contribute to inflationary forces in the West.

A crisis is unfolding. A crisis of commodities. Commodities are collateral, and collateral is money, and this crisis is about the rising allure of outside money over inside money. Bretton Woods II was built on inside money, and its foundations crumbled a week ago when the G7 seized Russia’s FX reserves...

The beautiful paradox of linear rates (the stuff you trade and I write about) is that you need to think linear to find relative value most of the time, but you have to think non-linear to recognize and survive regime shifts. We are seeing a regime shift unfold in funding markets currently (which, as always, will pass), and a sea change in inflation dynamics and FX reserve management practices.

We have two convictions today. First, June FRA-OIS spreads can widen more, to at least 50 bps, both due to funding premiums driven by commodity prices and the market taking out Fed hikes, and second, it’s a good time to get long...

...shipping freight rates. Yes, freight rates, which, at the current juncture are linked to “geo-monetary” dynamics. Freight rates are the price of balance sheet for “commodity RV traders” (the commodity trading houses) and for sovereigns that can take the risk of moving and storing subprime, sanctioned commodities.

First, funding. Since the start of the conflict in Ukraine, spot U.S. dollar Libor, FRA-OIS, and FX swaps have been showing signs of stress. Not much, but we hear two things from funding desks: cash is bid, and term cash is hard to come by. Normally, where o/n points trade in the FX swap market determines how the rest of the curve trades (low premia in o/n space mean low premia in term space). But these aren’t normal times. We have a crisis of sorts unfolding, and in a crisis, like in 2008, everyone lends at short maturities and the collapse in o/n premia is at the expense of term premia – in a crisis, term funding premia increase on the back of compressed o/n premia, as opposed to decline as they normally would.

Who drives the bid for cash, i.e. whose bid is driving term funding premia in this environment where lenders are less willing to lend cash for longer tenors? The commodities world, for three reasons. First, non-Russian commodities are more expensive due to the sanctions-driven supply shock that basically took Russian commodities “offline”. If you are a (leveraged) commodities trader, you need to borrow more from banks to buy commodities to move and sell them.

Second, if you are long non-Russian commodities and short the related futures, you are likely having margin calls that need to be funded. Anyone in the commodities world is experiencing a perfect storm as correlations suddenly shot to 1, which is never a good thing. But that’s precisely what happens when the West sanctions the single-largest commodity producer of the world, which sells virtually everything. What we are seeing at the 50-year anniversary of the 1973 OPEC supply shock is something similar but substantially worse – the 2022 Russia supply shock, which isn’t driven by the supplier but the consumer.

Third, if you are short Russian commodities and long the related futures, then you are likely having margin calls too that also need to be funded like above.

The aggressor in the geopolitical arena is being punished by sanctions, and sanctions-driven commodity price moves threaten financial stability in the West. Is there enough collateral for margin? Is there enough credit for margin? What happens to commodities futures exchanges if players fail? Are CCPs bulletproof?

I haven’t seen these topics in the wide offering of Financial Stability Reports, have you? Is the OTC commodity derivatives market the gorilla in the room? The commodities market is much more financialized and leveraged today than it was during the 1973 OPEC supply crisis, and today’s Russian supply crisis is much bigger, much more broad-based, and much more correlated. It’s scarier.

The higher non-Russian commodity prices get and the lower Russian commodity prices fall, the wider FRA-OIS will get, and if you want to express all this in the credit space, look at what CDS spreads on some bigger commodity traders have done since we published our Dispatch on commodity derivatives on Friday.

Spot on! Next, let’s move on to the freight rates and Bretton Woods III angles.

Regular readers of this publication know of Perry Mehrling: my “Keynes” and father of the money view. As Perry Mehrling taught me, money has four prices:

(1) Par – which is the price of different types of money and which means that cash, deposits, and money fund shares should always trade 1:1.

(2) Interest – which is the price of future money and which refers to OIS and spreads around OIS across all possible money market segments.

(3) Exchange rate – the price of foreign money, i.e. U.S. dollars vs. the rest.

(4) Price level – which is the price of commodities (all of the Russian,

non-Russian stuff) and, via commodities, the price of everything else.

Recall our conversation in Friday’s Dispatch about the parallels between the currently unfolding crisis and the crises of 1997, 1998, 2008, and 2020, and the conclusions that we drew from the review of these crises. These were that every crisis occurs at the intersection of funding and collateral markets and that, in the presently unfolding crisis, commodities are collateral, and more precisely, Russian commodities are like subprime collateral and all other stuff is prime. Now, back to the four prices of money and how they link up with these themes:

(1) Par – this is what broke in 2008 when money funds broke the buck and funding markets froze from fearing subprime mortgage collateral.

(2) Interest – this is what broke in 2020 when bond RV trades crashed as the drawdown of credit lines pulled funding away from good collateral.

(3) Exchange rate – this is what broke in 1997 when collateral (FX reserves)  went missing and U.S. dollar funding staged a sudden stop in Asia.

(4) Price level – this is what’s in play as we speak...

...and if you see the pattern I see, you should be concerned. Commodities used to trade at tight spreads until now. There was one global market across all commodities that the large commodities traders arbitraged, much like a bond RV hedge funds arbitrage the cash-futures basis. Mortgages were like that too before 2008 – public or private, prime or subprime, they all traded at par...

...until they didn’t.

Commodities no longer trade at par. There are Russian commodities that are collapsing in price and there are non-Russian commodities that are rallying – this rally is due to the 2022 Russia supply shock that we referred to above, which, once again, is driven by present and future sanctions-related stigma.

It’s a buyers’ strike. Not a seller’s strike, to make things all the more absurd...

Russian commodities today are like subprime CDOs were in 2008. Conversely, non-Russian commodities are like U.S. Treasury securities were back in 2008. One collapsing in price, and the other one surging in price, with margin calls on both regardless of which side you are on. The “commodities basis” is soaring!

Commodity correlations are also at 1, which, to stress, is never a good thing.

From the 1997, 2008, and 2020 crises, we also learned that...

...every crisis is about the core vs. the periphery (large New York banks refusing to roll U.S. dollar funding in Southeast Asia in 1997; secured funding against subprime collateral to SIVs, Bear Stearns, and Lehman Brothers in 2008; and secured funding against good collateral to RV hedge funds during 2020).

And from these crises we also learned that...

...someone, somehow must always provide a backstop – or as Perry Mehrling would say, an “outside spread” (the IMF in Southeast Asia in 1997 in exchange for Washington consensus-type structural reforms; the Fed backstopping the shadow banking system with a range of facilities in 2008 in exchange for Basel III; and the Fed backstopping RV funds with QE and the SRF in March 2020, in exchange for “we don’t yet know what,” but history says there will be a price).

Which brings us back to today – the present – and shipping freight rates.

If we are right, and if this is a “crisis of commodities” – a 2008 of sorts thematically, if not in terms of size or severity – who will provide the backstop?

We see but only one entity: the PBoC!

Western central banks cannot close the gaping “commodities basis” because their respective sovereigns are the ones driving the sanctions. They will have to deal with the inflationary impacts of the “commodities basis” and try to cool them with rate hikes, but they will not be able to provide the outside spreads and won’t be able to provide balance sheet to close “Russia-non-Russia” spreads.

Commodity traders won’t be able to either. Remember that Glencore rose from the ashes of Marc Rich + Co, and with Switzerland along with the sanctions, Swiss-based commodity traders will think twice about arbitraging the spreads.

But the PBoC can...

...as it banks for a sovereign who can dance to its own tune. To make things more complicated, China is probably thinking deep and hard about the value of the inside money claims in its FX reserves, now that the G7 seized Russia’s.

The PBoC has two “geo-strategic” = “geo-financial” options...

...sell Treasuries to fund the leasing and filling of vessels to clean up subprime Russian commodities. That would hurt long-term Treasury yields and stabilize the commodities basis and would give the PBoC control over inflation in China, while the West would suffer commodity shortages, a recession, and higher yields.

That can’t be good for long-term Treasury yields.

The PBoC’s second option is to do its own version of QE – printing renminbi to buy Russian commodities. If so, that’s the birth of the Eurorenminbi market and China’s first real step to break the hegemony of the Eurodollar market. That is also inflationary for the West and means less demand for long-term Treasuries.

That can’t be good for long-term Treasury yields either.

The idea behind going long shipping freight rates is simple: the price the PBoC will be paying to lease ships to fill them up with Russian commodities can in theory rise as much as the collapse in the price of Russian commodities: a lot. Renting boats is like renting balance sheet at a dealer to fund inventory, and if China does not have enough storage capacity on the mainland, it will store Russian commodities on vessels floating on the seas, encumbering not balance sheet (the PBoC is funding all this by printing money) but shipping capacity, which, for the rest of the world, will also be inflationary. Once again:

if you believe that the West can craft sanctions that maximize pain for Russia while minimizing financial stability risks and price stability risks in the West, you could also believe in unicorns. What G-SIBs are for financial stability...

...Glencore is for price stability.

In this instance, price instability (surging and collapsing commodity prices) feeds financial instability: margin calls may trigger the failure of some smaller commodity traders and maybe even some CCPs – the commodity exchanges.

Again, commodity correlations are at 1, which is never a good thing...

The Fed and other central banks will be able to provide liquidity backstops...

...but those will be Band-Aid solutions. The true problem here is not liquidity per se. Liquidity is just a manifestation of a larger problem, which is the Russian-non-Russian commodities basis, which only China will be able to close.

Do you see what I see?

Do you see inflation in the West written all over this like I do?

This crisis is not like anything we have seen since President Nixon took the U.S. dollar off gold in 1971 – the end of the era of commodity-based money.

When this crisis (and war) is over, the U.S. dollar should be much weaker and, on the flipside, the renminbi much stronger, backed by a basket of commodities.

From the Bretton Woods era backed by gold bullion, to Bretton Woods II backed by inside money (Treasuries with un-hedgeable confiscation risks), to Bretton Woods III backed by outside money (gold bullion and other commodities).

After this war is over, “money” will never be the same again... ...and Bitcoin (if it still exists then) will probably benefit from all this.