S. Cohen, Stephen Laipply, Ananth Madhavan, James Mauro
{"title":"The Primary Market Process for Fixed Income Exchange-Traded Funds Under Market Stress","authors":"S. Cohen, Stephen Laipply, Ananth Madhavan, James Mauro","doi":"10.3905/jfi.2021.1.126","DOIUrl":null,"url":null,"abstract":"The authors provide empirical evidence on the functioning of the primary market for iShares fixed income exchange-traded funds (ETFs) during the Covid-19 crisis, the first analysis of custom redemption baskets in the growing literature on ETFs. The authors show that the primary market process worked as expected despite the high level of market stress. Contrary to recent suggestions that asset managers actively discouraged redemptions in stressed markets by offering less desirable bonds, the authors demonstrate that iShares redemption baskets during the crisis were reflective of the factor characteristics of the fund itself.","PeriodicalId":53711,"journal":{"name":"Journal of Fixed Income","volume":"31 1","pages":"66 - 78"},"PeriodicalIF":0.0000,"publicationDate":"2021-11-17","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Fixed Income","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.3905/jfi.2021.1.126","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
The authors provide empirical evidence on the functioning of the primary market for iShares fixed income exchange-traded funds (ETFs) during the Covid-19 crisis, the first analysis of custom redemption baskets in the growing literature on ETFs. The authors show that the primary market process worked as expected despite the high level of market stress. Contrary to recent suggestions that asset managers actively discouraged redemptions in stressed markets by offering less desirable bonds, the authors demonstrate that iShares redemption baskets during the crisis were reflective of the factor characteristics of the fund itself.
期刊介绍:
The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.