公募基金份额申购和赎回中摆动定价机制的研究—基于A基金 管理公司的实践 摘要 截止2018年末，中国公募证券投资基金存续规模达到13.03万亿元，存续基金 只数达到5626只，中国的证券投资基金市场经过21年的发展，无论是规模、数量还 是种类、运作方式都发生了巨大的变化，时至今日如何有效的建立与之配套的法律法 规体系与监管架构成为保证中国基金市场健康稳定发展的重要问题。而在这些问题 中，流动性风险问题越发凸显，高份额集中度，大额申购与赎回的频繁发生对基金流 动性管理的的挑战日趋严峻。 摆动定价机制作为重要的流动性管理工具在以卢森堡为代表的欧洲基金市场具 有多年的应用历史，并且根据卢森堡发布的调研报告显示，使用摆动定价机制的基金 在其长期业绩上比没有使用这一机制的基金更为优异。中国证监会在2017年8月发 布的《公开募集开放式证券投资基金流动性风险管理规定》首次将摆动定价机制作为 允许使用的流动性风险管理工具，标志着中国摆动定价在监管法规层面的开端。但国 内对这一工具的研究近乎空白，基于国内与国外不同的交易制度及市场情况，国外市 场的实践经验对国内的应用参考也非常有限，使得国内对这一工具的研究及应用发展 缓慢。 摆动定价机制即通过对当日用于确认申购、赎回申请的基金单位净值加入摆动因 子进行调整，用以弥补存量基金份额持有人潜在净值损失的机制。分为全部摆动及部 分摆动两种，无论当日申购赎回金额如何，都加入摆动因子进行调整的称为全部摆动， 在当日净申购或净赎回达到占总份额固定的百分比指标或金额达到固定金额指标才 加入摆动因子进行摆动的称为部分摆动，这个触发摆动定价应用的指标称为摆动门 槛。 通过对基金申购与赎回机制的分析，本文得出当大额申购被确认时，新的份额被 T+1确认，但资金配置为资产却可能需要几天的时间，在这几天中存量客户的收益因 新确认的份额被摊薄，同时大额资金在几天的时间内建仓可能导致价差损失，除此以 外建仓交易的交易成本也将由基金资产承担；同理，在大额赎回被确认后，基金资产 需要在短期内进行变现，交易费用、不合理的价差及为了及时变现可能加入的融资手 段带来的融资成本将对存量份额持有人造成损失。上述对净值的损失与资产组合及市 场的流动性状况成负相关，流动性越差则造成净值损失越大。 对比当前基金市场正在使用的流动性风险管理工具，如延期赎回、延期支付等仅 能够适当延长变现时间，无法对基金净值损失进行补偿，赎回费收入机制的补偿效果有 摘要 由于基金最低现金比例的投资要求，对于一般性的申购及赎回具有良好的应对作 用，因此本文分析认为部分摆动的机制相较于全摆动更适合实际实施。在对摆动门槛 的分析上，本文提出相关决定因素包括基金资产组合的流动性状况、过往历史份额交 易情况及融资手段。其中资金投资组合的流动性越好，摆动门槛越高；过往交易情况 反映了基金的投资者交易特征及市场对基金的敏感性，基金现有投资者的交易习惯越 稳定，市场对基金的敏感性越低，则设置的摆动门槛越高；基金融资手段体现了基金 在应对赎回时的缓解措施，融资手段越多，融资成本越低，则设置的摆动门槛越高。 摆动因子的相关因素包括交易成本、价差损失及融资成本，其中交易成本指基金交易 产生的交易费、结算费、印花税和券商佣金，根据现行市场情况一般在0.21%的水平， 价差损失是指申购与赎回确认日资产估值价格与买卖组合资产交易价格之间的差值， 买入价高于估值价或者卖出价低于估值价格即造成价差损失，融资成本即可能增加变 现负担也可能缓解变现负担，其与价差损失之间的关系本文未能有效量化。 在模拟A基金管理公司对摆动定价的管理中，我们将摆动定价机制管理委员会 定位为决策管理机构，其将指导运营管理部具体的摆动定价实施，同时委员会需要受 到审计机构及董事会的监督，并定期向董事会提交流动性管理报告，报告应包含摆动 定价机制的实施情况，四个机构相互制约，但也存在管理无效化及道德问题的风险。 最后本文总结摆动定价长期看对国内基金市场具有良好的应用价值，但当前还需 花时间填补国内在这一领域的研究空白，本文对这一具有价值但尚属研究空白的领域 的研究对国内基金市场具有参考价值，并总结了本文在数据获取、相关性量化分析上 的不足。最后本文给予监管机构强制外部审计参与及鼓励大型基金公司试点尝试的建 议。 本文通过对国外基金市场实践经验及国内外相关理论研究，提出了我国基金市场 在使用摆动定价机制时的要素选择及应用模式，同时加入公司治理的内容，使得其借 鉴和应用意义更为明显。 关键词： 流动性风险管理， 摆动定价机制， 摆动因子， 价差损失， 治理结 构 ABSTRACT Research on swing pricing mechanism in public fund share subscription and redemption——based on the practice of A fund management company ABSTRACT By the end of 2018, the scale of China's public equity investment funds reached 13.03 trillion yuan, and the number of surviving funds reached 5,626. After 21 years of development, China's securities investment fund market has taken place in terms of size, quantity, type, and mode of operation. Huge changes, how to effectively establish a legal and regulatory system and regulatory framework to date, has become an important issue to ensure the healthy and stable development of China's fund market. Among these problems, the liquidity risk problem has become more and more prominent, and the high share concentration, the frequent occurrence of large purchases and redemptions have become increasingly challenging for fund liquidity management. As an important liquidity management tool, the swing pricing mechanism has a long history of application in the European fund market represented by Luxembourg, and according to a research report issued by Luxembourg, the fund using the swing pricing mechanism has a longer-term performance than the unused one. The fund of the mechanism is even better. The China Securities Regulatory Commission issued the “Regulations on Liquidity Risk Management of Open-end Securities Investment Funds”, which was issued in August 2017. For the first time, the swing pricing mechanism is used as a liquidity risk management tool, which marks the beginning of China’s swing pricing at the regulatory level. . However, the domestic research on this tool is almost blank. Based on the different trading systems and market conditions at home and abroad, the practical experience of foreign markets is very limited for domestic application, which makes the domestic research and application of this tool develop slowly. The swing pricing mechanism adjusts the net value of the fund unit used to confirm the purchase and redemption application to the current swing value to compensate for the potential net loss of the stock fund share holder. It is divided into all swings and partial swings. Regardless of the amount of redemption purchased on the day, the swing factor is added to adjust to become all swings. When the net purchase or net redemption reaches a fixed percentage index or the amount reaches a fixed amount. The indicator is added to the swing factor to swing into a partial swing. The indicator of this trigger swing pricing ABSTRACT application is called the swing threshold. Through the analysis of the fund purchase and redemption mechanism, this paper concludes that when the large purchase is confirmed, the new share is confirmed by T+1, but the allocation of funds to the assets may take several days, in the past few days The customer's income is diluted due to the newly confirmed share, and the large amount of funds to open the position within a few days may result in the loss of the spread. In addition, the transaction cost of the open position transaction will also be borne by the fund assets; similarly, the large redemption is After confirmation, the fund assets need to be realized in a short period of time. Transaction costs, unreasonable spreads and financing costs brought about by the timely financing of possible financing methods will cause losses to the stock share holders. The above-mentioned loss to the net value is negatively correlated with the asset portfolio and the liquidity of the market. The worse the liquidity, the greater the net loss. Compared with the current liquidity risk management tools currently being used in the fund market, such as deferred redemption and deferred payment, the liquidation time can only be appropriately extended, and the fund's net loss cannot be compensated. The redemption fee income mechanism has limited compensation effect, and the suspension of purchase and redemption is Restricting the redemption of purchases is likely to cause customer disputes and also does not play a role in net worth compensation. In contrast, swing pricing has obvious net value compensation, high correlation with net value loss and shocking effect on customers' unreasonable