MSCI proposes ‘fairer’ alternative to swing pricing

Exiting investors should only pay the cost of net redemptions, says Acerbi


Regulators may have chosen a less-than-perfect mechanism for allocating transaction costs to redeeming investors in a fund, according to Carlo Acerbi, head of risk management research at MSCI.

The ‘swing-pricing’ rule adopted by the US Securities and Exchange Commission in October 2016 allows asset managers to adjust the net asset value (NAV) of mutual funds to reflect the cost of liquidating holdings to meet redemptions requests. The practice, which is common among European Ucits funds, is

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Asset-liability management: Special report 2023

There is nothing new about the dynamics behind the ALM banking crisis of earlier this year: maturity transformation, liquidity risk and interest rate risk are at the heart of the traditional banking business model. But these old threats have been given…

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