About the Swing Factor Calculation

The Swing Factor adjusts the fund’s NAV up or down by a predetermined amount. The systems applies the swing factor when capital activity exceeds a predefined threshold (for partial swing pricing) or for any capital activity (for full swing pricing). The swing factor value varies based on the estimated impact of the following components: market spreads, transactions costs, and relevant taxes.

Calculating the swing factor involves determining both the Market Spread Factor and the Transaction Cost Factor.

Market Spread Factor Calculation

To calculate the market spread factor, you need to load Bid, Mid, and Ask prices into the system. The system uses these prices to assess the portfolio's value through the STAR to PACE Batch process, and stores the results in the Eagle data warehouse. The Bid and Ask market spread factors are determined by the percentage difference between these prices and the Mid price:

Additionally, you can set Holding Exclusion Rules to exclude specific securities from this calculation, ensuring flexibility in the assessment process.

Transaction Cost Factor Calculation

To calculate transaction cost factor, the system takes into account the trade activity's total settlement amount base and related expenses within a specific date range. The calculation involves dividing the expenses by the settlement amount base, then multiplying by 100 to obtain the Buy Side (Ask) and Sell Side (Bid) percentage rates:

You can create custom Transaction Cost Inclusion Rules to select specific trade activities for the calculation. Without a custom rule, the calculation includes all trade activities.

Bid and Ask Swing Factor Calculation

To calculate the Bid swing factor, the system combines the Bid market spread factor and Bid transaction cost factor:

To calculate the Ask swing factor, the system combines Ask market spread factor and Ask transaction cost factor:

The system stores and uses these swing factors to calculate a daily swing NAV adjustment, as needed, over a predetermined period, until it processes a subsequent factor for the next period.