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  • 1
    Online Resource
    Online Resource
    On swing pricing and systemic risk mitigation (2017)
    [Washington, D.C.] : International Monetary Fund
    Details
    UID:
    gbv_896039641
    Format: 1 Online-Ressource (circa 41 Seiten) , Illustrationen
    ISBN: 9781484310151
    Series Statement: IMF working paper WP/17, 159
    Content: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of 'swinging' corporate bond funds, we provide policy considerations for enhancing the tool's effectiveness as a systemic risk mitigant
    Additional Edition: Erscheint auch als Druck-Ausgabe Malik, Sheheryar On Swing Pricing and Systemic Risk Mitigation Washington, D.C. : International Monetary Fund, 2017 ISBN 9781484310151
    Language: English
    Keywords: Arbeitspapier ; Graue Literatur
    DOI: 10.5089/9781484310151.001
    URL: kostenfrei
    URL: Volltext
    URL: Volltext
    URL: kostenfrei
    Library Location Call Number Volume/Issue/Year Availability
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  • 2
    Online Resource
    Online Resource
    On Swing Pricing and Systemic Risk Mitigation / (2017)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edoccha_9959301362002883
    Format: 1 online resource (41 pages)
    ISBN: 1-4843-1187-6 , 1-4843-1191-4
    Series Statement: IMF Working Papers
    Content: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.
    Note: Cover -- Contents -- Abstract -- Introduction -- I. Systemic Risk and Open-Ended Mutual Funds: Some Context -- II. Mechanics of Swing Pricing -- A. Swing Pricing as a Systemic Risk Mitigant -- B. Anti-diution Properties of Swing Pricing: A Simulation Exercise -- III. Some Open Issues In Swing Pricing -- A. Investor Protection -- B. To Swing or Not to Swing: The U.S. Case -- IV. Assessing The Effectiveness Of Swing Pricing In Reducing FMA: Baseline Strategy -- A. Sample Construction -- B. Regression Framework -- C. Empirical Results -- D. Evidence of FMA in an Alternative Asset Class -- V. Pooling Information Across Multiple Funds: An Attempt Towards A Generalized Result -- A. Data Sample and Panel Framework -- B. Estimation Results -- VI. What Might Redemption Patterns Reveal About FMA? -- VII. Overview Of Results And Policy Considerations -- VIII. Conclusion -- Tables -- 1. Impact of Swinging on NAV Paths -- 2. Simulation Exercise: Main Stylized Predictions -- 3. Defining Periods of Illiquidity -- 4. Evidence of FMA in Global HY Asset Class -- 5. Evidence of FMA in Pooled Sample of Swinging Funds -- 6. Unconditional Skewness -- Figures -- 1. Histograms for Simulated Returns, Conditional on Different Trading Costs -- 2. Uncovering Evidence of FMA Under Alternative Illiquid Period Definitions -- 3. Redemption Magnitudes and Co-movement -- Boxes -- 1. Swing Parameter Calibration -- 2. Funds' Ratings Distributions -- 3. Panel Implementation-Some Practical Considerations -- Annex.
    Additional Edition: ISBN 1-4843-1015-2
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
  • 3
    Online Resource
    Online Resource
    On Swing Pricing and Systemic Risk Mitigation / (2017)
    Washington, D.C. :International Monetary Fund,
    Details
    UID:
    edocfu_9959301362002883
    Format: 1 online resource (41 pages)
    ISBN: 1-4843-1187-6 , 1-4843-1191-4
    Series Statement: IMF Working Papers
    Content: Swing pricing allows a fund manager to transfer to redeeming or subscribing investors the costs associated with their trading activity, thus potentially discouraging large flows. This liquidity management tool, which is already used in major jurisdictions, may also help mitigate systemic risk. Here we develop and apply a methodology to investigate whether swing pricing does in fact help dampen flows out of funds, especially during periods of market stress. Drawing on evidence of first-mover advantage within a group of ‘swinging’ corporate bond funds, we provide policy considerations for enhancing the tool’s effectiveness as a systemic risk mitigant.
    Note: Cover -- Contents -- Abstract -- Introduction -- I. Systemic Risk and Open-Ended Mutual Funds: Some Context -- II. Mechanics of Swing Pricing -- A. Swing Pricing as a Systemic Risk Mitigant -- B. Anti-diution Properties of Swing Pricing: A Simulation Exercise -- III. Some Open Issues In Swing Pricing -- A. Investor Protection -- B. To Swing or Not to Swing: The U.S. Case -- IV. Assessing The Effectiveness Of Swing Pricing In Reducing FMA: Baseline Strategy -- A. Sample Construction -- B. Regression Framework -- C. Empirical Results -- D. Evidence of FMA in an Alternative Asset Class -- V. Pooling Information Across Multiple Funds: An Attempt Towards A Generalized Result -- A. Data Sample and Panel Framework -- B. Estimation Results -- VI. What Might Redemption Patterns Reveal About FMA? -- VII. Overview Of Results And Policy Considerations -- VIII. Conclusion -- Tables -- 1. Impact of Swinging on NAV Paths -- 2. Simulation Exercise: Main Stylized Predictions -- 3. Defining Periods of Illiquidity -- 4. Evidence of FMA in Global HY Asset Class -- 5. Evidence of FMA in Pooled Sample of Swinging Funds -- 6. Unconditional Skewness -- Figures -- 1. Histograms for Simulated Returns, Conditional on Different Trading Costs -- 2. Uncovering Evidence of FMA Under Alternative Illiquid Period Definitions -- 3. Redemption Magnitudes and Co-movement -- Boxes -- 1. Swing Parameter Calibration -- 2. Funds' Ratings Distributions -- 3. Panel Implementation-Some Practical Considerations -- Annex.
    Additional Edition: ISBN 1-4843-1015-2
    Language: English
    Library Location Call Number Volume/Issue/Year Availability
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    Online Resource
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