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Post by Admin/YBB on Aug 17, 2021 9:17:59 GMT -6
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Post by aubfan on Aug 17, 2021 18:53:41 GMT -6
Yogibearbull would u have any insight about the Saba Capital ETF CEFS? It has a unique aspect in that its holds a short $15 Mil Futures position in 5-yr Treasury Notes which gets special treatment in its accounting. I presuming there are some offsetting 5-yr T-notes that are hidden in its reporting as cash or other offsetting/assets & liabilities. Its quite an enigma & I am casting out calls for insights from accomplished investors who may be able to shed some light on the situation. Thus my input into your personal site.
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Post by Admin/YBB on Aug 17, 2021 19:51:57 GMT -6
Saba is an activist investor for closed-end funds and holds positions in several with the goal to make changes (management, format/wrapper, seek board seats, etc). It also holds some of these in the ETF CEFS. It can be long/short, and I see at least 1 short position in GOF. I suppose it is very careful about the legalities. CEFS has stock-bond allocation of 15.7% - 47.6% (M* data, 8/16/21). So it has substantial rate exposure and its policy is to hedge the rate exposure. It does so via Treasury shorts (5-yr T-Note futures) and that nominal exposure is high (-31.3%; see Holdings). I cannot figure out its net interest rate exposure but rate hedges cannot be perfect. Old M* page for CEFS portfolios.morningstar.com/fund/summary?t=CEFS®ion=usa&culture=en-US |
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Post by aubfan on Aug 18, 2021 9:54:47 GMT -6
Thanks for the response. The Morningstar stock-bond allocation info is apparently based on its analysis of the cefs in the port & not any actual bond info. Per the Saba website the ETF's largest holding is shown as cash & other but I think this obscures what is inside that entry. I am almost sure there are some bonds in there which could become useable as deliverables for the short 5-yr T-note futures position but I can find no info on the matter. Might u know of any way to find out more on this?
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ETFs/ETNs
Aug 18, 2021 10:59:16 GMT -6
via mobile
Post by Admin/YBB on Aug 18, 2021 10:59:16 GMT -6
I checked Saba site details on CEFS.
Cash & other typically lump securities with maturities of 12 mo or under. Funds are not required to provide further breakdown.
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Post by Admin/YBB on Sept 15, 2022 17:33:29 GMT -6
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Post by Admin/YBB on Feb 25, 2023 15:12:16 GMT -6
Some interesting history in the context of SP SC 600 SLY & SPSM Mergerwww.mutualfundobserver.com/discuss/discussion/60727/smaller-sp-sc-600-etf-sly-merging-into-larger-spsmSmaller SP-SC 600 ETF SLY Merging into Larger SPSMyogibearbull (2/25/23 YBB) Noted by M* Ptak, Twitter LINK. www.sec.gov/Archives/edgar/data/1064642/000119312523048750/d259502d497.htmWhat is the story here?
State Street was a pioneer and first mover in the ETFs (SPY was the 1st ever ETF in 01/1993). For many years, the SEC had approved the ETFs as exceptions to mutual funds, and over time, these exceptions created ETFs with slightly different twists. Firms hung on to these older versions of ETFs because the newer rules were quite different. Some older ETFs also had decent past history and good liquidity due to better institutional acceptance even when some had high ERs. So, many firms developed entirely new "core" versions of their older ETFs that had lower ERs, but the AUMs started out low, and liquidity was not good for institutions, but OK for retail. This is ETF industry version of having its cake and eating it too. That is how the "SPDR Portfolio" ETFs came about in 10/2017. These were just what the others have called their "core" ETFs (BlackRock's iShares come to mind and there are several others). More recently, there were reforms for the ETFs in 09/2019 and all these older ETF structures based on ETFs-as-exceptions-to-mutual-funds were dumped, and new ETF structures were developed and applied uniformly to almost all ETFs. Now to SLY vs SPSM. SPDR SLY started in 11/2005. Its current AUM is $1.8 billion and ER is 0.15%. Its benchmark was always SP SC 600. SPDR Portfolio SPSM started out in 07/2013 with a different SC index, that was changed to another SC index, and finally changed to SP SC 600 in 2020. Its current AUM is $5.2 billion (much bigger than the original SLY) and ER is 0.05% (much lower than the original SLY). So, now, after the changes to SPSM in 2020, the 2 became identical! Why not merge them? And that is what State Street is doing now with 06/2023 target. If anything, what took them so long?
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Post by Admin/YBB on Mar 20, 2023 9:09:01 GMT -6
ETNs in 2023
Surprisingly, there hasn’t been much discussion or analysis of ETNs (Exchange Traded Notes) in the aftermath of Credit Suisse disaster. The ETNs are DEBT obligations of the ISSUER/sponsor. So, the health of the issuer is critical for the ETN holders. Yet, in all of the discussions of Credit Suisse issues, its ETN exposure wasn’t even mentioned. This even as in the UBS takeover/RESCUE of Credit Suisse, almost $17 billion of its AT1/CoCo (contingent-convertible) debt was extinguished by government order (a credit-event was declared) when that was ahead of the common stock that finally had some residual value; that was a disaster for the AT1/CoCo debt that is common in Europe and Asia, but not in the US. Because it wasn’t an outright bankruptcy, the Credit Suisse ETNs should be OK for now as the debt obligation of Credit Suisse will become the debt obligations of UBS. www.mutualfundobserver.com/discuss/discussion/comment/161485/#Comment_161485 Another risk of ETNs is that their CREATION/REDEMPTION mechanisms may be disrupted/modified by the issuer, or the ETN may be discontinued/liquidated in what may be very UNTIMELY for the ETN holders. Some ETNs are +/- 2x, or even +/- 3x, that further magnify risks (they escaped the recent ETF reforms to limit ETF LEVERAGE). Credit Suisse US ETNs include those for gold, silver, oil, MLP with AUM of under $500 million (tickers for Credit Suisse related stuff are avoided here as those may change). UBS also has ETNs related to equity and HY bonds with AUM under $200 million. It is unclear if UBS will maintain Credit Suisse ETNs. No news is good news?
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Post by Admin/YBB on Jun 18, 2023 15:17:29 GMT -6
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Post by aubfan on Jun 21, 2023 13:59:57 GMT -6
I want to provide an update on the Saba Etf (CEFS) to advise that it has shown steady but modest growth in that it has crept up to have an AUM of >$100 Million from perhaps half that size. It has substantially increased its leverage along the way so that the sum under management is > $150 mil. It has steadily paid out a div of over 8% along with a yr end bonus but its mp has slipped a bit due to rising interest rates such that the current rate is >9% plus whatever yr end bonus may get issued.
The Etfs of CEFS have not been successfu o/a but Saba's technique of utilizing leverage by means of its status as a FCM has helped it out perform the competing Etfs of CEFS by a large margin. Here is a summary of results since 3.21.17 when Saba launched its Etf and also a comparison of how each Etf changed its total return in the last week.
yyy... 13.28% 0.67%
pcef 28.52% 1.20%
fcef.. 33.05% 1.85%
cefs. 66.57% 3.66%
The return for (CEFS) is not that great but the performance of cefs has been pretty bad so it's basically run rings around the others.But the S&P 500 has far exceeded any of the cef Etfs but they do not make any monthly payments.
spy... 108.85% 4.54%
^spx. 109.95% 5.36%
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Post by Admin/YBB on Jan 11, 2024 11:41:52 GMT -6
ETPs (1933) vs ETFs (1940)Often, the terms ETPs and ETFs are used interchangeably, but there are important differences. The Acts were 1933 Securities Act and 1940 Investment Company Act. ETFs (1940; RICs - Registered Investment Companies) are more restrictive as to asset classes, diversification requirements, taxability, etc. So, they can be considered as a subset of the broader ETPs (1933; Grantor Trusts, publicly traded partnerships or commodity pools, futures-based or spot-pricing products) that may hold risker assets. For listed stocks and bonds, 1940-ETFs are fine; they are regulated by the SEC. Commodities can be included by using up to 25% in offshore subsidiaries (e.g., based in Cayman Island, etc). Annual distributions are required and 1099s are issued mostly. Long- and short- holding periods for taxable gains apply. The overall tax rate may be slightly higher. Investor protection is a key theme. Many institutions restrict their holdings to the 1940 Act funds. While still relying on disclosures, certain forbidden activities (conflicts of interest, self-dealings, conducting business before effective registration, etc) or strategies (short-selling, etc) are clearly spelled out; however, merit reviews aren't implied or assumed. 1933-ETPs are broader, don't require board of directors, and have weaker governance and oversight (by the SEC or CFTC). Different tax rules apply based on whether an ETP is grantor trust or partnership or commodity pool. Annual distributions aren't required; K-1s are issued mostly (by March/April). Overall taxes may be slightly lower and that may make the related headaches worthwhile for some. Focus is on disclosures and merit reviews aren't implied or assumed; investors must do their own due diligence. This issue was also noted in the SEC approval on 1/10/24 of 11 physical/spot-ETF approvals, and while the term ETF was used colloquially, or even in some names, technically, those were 1933-ETP approvals, not 1940-ETF approvals. ETF Trends www.etftrends.com/etf-strategist-channel/the-40-act-vs-33-act-etf-battle/Wiki on Securities Act of 1933 en.wikipedia.org/wiki/Securities_Act_of_1933Wiki on Investment Company Act of 1940 en.wikipedia.org/wiki/Investment_Company_Act_of_1940FINRA www.finra.org/investors/investing/investment-products/exchange-traded-funds-and-productsInterval Funds & 40-Act intervalfunds.org/insights/40-act-fundsCiti Paper www.mfaalts.org/wp-content/uploads/2013/09/Citi-40-Act-Funds-White-Paper-July-2013-2.pdf1940-Act Tests & Avoidance www.fedseclaw.com/2018/03/articles/sec-news/how-to-avoid-registration-under-the-investment-company-act-of-1940/Edit/Add. Twitter LINKYBB Personal Finance @ybb_Finance (1/11/24) So, with so many rounds of revisions, why did the #SEC permit the use of "#ETF" in some names? It could have asked them to change to "#ETP". Then this issue of 1933-Act ETPs vs 1940-Act ETFs would have been clear. Twitter LINK2YBB Personal Finance @ybb_Finance (1/12/24) It was a historic day! I also looked at 116-pg prospectus for $IBIT. It seems that only the custodian handles Bitcoin. All else are shuffling papers related to Bitcoin - like fiat-Bitcoin? Also, why didn't the #SEC insist on strict terminology of 1933-Act ETPs vs 1940-Act ETFs?
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Post by Admin/YBB on Jan 24, 2024 16:55:32 GMT -6
ETF Tickers & Extensions
Associated with ETF TICKERS are extensions IV, NV, EU, TC, SO, DV.
The Yahoo Finance format is ^TICKER-IV, ^TICKER-NV, ^TICKER-EU, ^TICKER-TC, ^TICKER-SO, ^TICKER-DV, but all may not be supported; the first two (-IV, -NV) are supported most often and are also the most useful to retail investors.
Some sites may use .IV vs -IV, etc. M* doesn't support ^TICKER-IV, but shows intraday indicative-values (IIV) on the Quote pages for ETFs.
Descriptions
IV - Intraday Indicative-Value (also, IIV); useful for current trades
NV - NAV; from the previous close, so it's not as current as IV for ETFs
EU - Estimated cash amount per creation unit
TC - Total cash amount per creation unit
SO - Total shares outstanding
DV - Net accrued dividend
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