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Swing Pricing Calibration: A Simple Thought Exercise Using ETF Pricing Dynamics to Infer Swing Factors for Mutual Funds
This note uses pricing dynamics for exchange-traded funds that invest primarily in short-term debt to provide rough estimates of a range of swing-factor-proxies for mutual funds that invest in similar assets. These proxies could be useful for benchmarking stress-period swing factors in which mutual funds that invest substantially in short-term debt experience large net redemptions.
Report
Are retail prime money market fund investors increasingly more sensitive to stress events?
In this note, we examine the redemption activity of retail investors in prime money market funds, over two stress periods in 2008 and 2020. We find that, on average, retail investors’ redemptions during 2020’s stress period were substantially larger than those from 2008’s.
Report
Bank Lending to Private Equity and Private Credit Funds: Insights from Regulatory Data
In this note, we examine large banks’ lending to private equity (PE) and private credit (PC) funds. Using a manual matching algorithm, we estimate that large banks’ total loan commitments to PE/PC fund sponsors are approximately $300 billion, or 14 percent of their total loan commitments to non-bank financial institutions, as of 2023, up from around $10 billion, or about one percent, in 2013.