创建/赎回——ETF幕后的魔法

MAR 2017 A Primer on ETF Primary Trading andthe Role of Authorized Participants The growth of assets in exchange-traded funds (ETFs) has led to greater focus ontheir structure and mechanics.1 In thisViewPoint, we explain how shares are createdand redeemed in ETFs. This process, known as ETF primary trading, facilitatesinflows and outflows from the underlying portfolios of these kinds of mutual funds.We discuss authorized participants (APs), market makers (MMs), and the distinctroles they play in ETF primary trading. We also consider the possibility of an APstepping back from its role and explain the expected impact on ETFs and markets.We conclude with recommendations for strengthening the ecosystem around ETFs. Ananth Madhavan,PhD,Global Headof Research, ETFand Index Investing BarbaraNovickVice Chairman Key Observations 1.Individual investors trade shares in ETFs on an exchange, and do not interactdirectly with the ETF or its sponsor. 2.ETFs provide additional liquidity to investors as evidenced by the fact thatsecondary trading in ETFs often significantly exceeds trading volumes in theunderlying securities. Samara CohenGlobal Co-Headof iSharesCapital Markets SalSamandarUS iSharesCapital Markets 3.APs present a basket of securities to create ETF shares (or, conversely,receive a basket of securities to redeem ETF shares). 4.When the ETF share price trades at a premium or a discount to the value ofthe securities held by the ETF, there is generallyan economic incentive forcreation or redemption, which is facilitated by an AP on behalf of a marketmaker. 5.In the event an AP steps back, other active or inactive APs may seize upon theopportunity to interact with that ETF, although there is no obligation to do so. Sander VanNugterenEMEA iSharesCapital Markets Alexis RosenblumGovernmentRelations &Public Policy 6.If no APs step in, the ETF may trade like a closed-end fund and at a higherpremium or a discount to the net asset value of the fund….until an AP choosesto become active in the ETF shares. 7.A systematic classification scheme that helps investors more readilydistinguish the risks inherent in different types of exchange-traded productstructures would benefit investors, as well as help regulators focus their efforts. 8.There are several areas where policy makers, regulators and the industry canact to strengthen the ecosystem around ETFs, decrease operational risk, andreduce the cost of trading. In addition to implementing a clear classificationsystem for ETFs, this should include harmonizing order taking protocols for USequity ETFs, as well as standardizing and increasing access to data. ETF Fund Structure Second, in many ETFs, primary trades happen in-kind anddo not require securities purchases or sales by the ETF.APs present a basket of securities to (or receive a basket ofsecurities from) the ETF in exchange for ETF shares.4 Traditional open-end mutual funds, ETFs, and closed-endfunds (CEFs) are all registered funds, however, they differ inseveral key ways. Since the features of these funds areoften conflated,3we begin this discussion with Exhibit 1,which outlines the key differences. Most active APs will also act as agents to facilitate creationsor redemptions on behalf of their clients. These activitiescould be on behalf of market makers–broker-dealers whoregularly provide two-sided (both buy and sell) quotations toclients–as well as end-investors seeking to access primarymarket liquidity. The roles of APs and market makers aredistinct. An AP does not have to be a market maker in agiven ETF, nor does a market maker need to be an AP.That said, some firms are both an AP and a market maker ina given ETF. APs are not individual investors. In a traditional open-end mutual fund, demand for shares ofthe portfolio is satisfied through an end-of-day subscriptionand redemption process. Individual investors interact withthe fund, based on the terms in the fund’s prospectus, andbuy or sell shares at the end of the day at the fund’s netasset value (NAV). As more investors subscribe to the fund,its assets increase as do the number of shares outstanding.Likewise, redemptions reduce the fund’s assets and numberof shares. APs play an important role in ETFs, yet, with the notableexception of Antoniewicz andHeinrichs(2015),5relativelylittle has been written about this aspect of the operation ofETFs. The AP is a provider of technology that facilitates thecreation and redemption process. Market participants (APsand market makers) use this technology (or capability) tobalance the supply and demand of the ETF shares. In a CEF, investors buy and sell shares on the exchangeintraday. Because the size of the fund is fixed in terms ofboth assets and shares outstanding, secondary marketliquidity alone determines the price at which shares arebought and sold. This is why CEFs may trade at premiumsor discounts to the value of the underlying securities held bythe CEF. The Creation / Redemption Mechanism ETFs com