High yield with box spreads

I’ve recently read this article and was wondering if it’s applicable in switzerland

Isn’t this what the BOXX ETF does?

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Yes it is. That’s also what BigERN says.
I was wondering if you can do it in chf though.

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If you really know what you’re doing, probably (there’s a market for SMI@EUREX that should behave as expected)

I tried looking into it back when BOXX was in the news last year, it seemed very non trivial to do, esp given you can’t blindly trust the posted prices on IB unlike with regular stocks trade, you have to know the underlying options maths to know which price you want to have in your options legs, which I’m way too lazy/scared to do.

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“Doesn’t look like anything to me.” And again I look right past useful information. :upside_down_face:

This is " Alpha Architect 1-3 Month Box ETF", getting 1-3 Month Treasury Bill returns as capital gains. Theoretically tax free in Switzerland, and no WHT in the USA.



  • If I understand correctly, they don’t intend to do distributions. But if they are forced to by RIC laws, they expect most to classify as capital gains.
  • The ETF rolls options. I imagine the Swiss tax authorities could look at this, see it as explicitly designed to avoid taxes, and try to slapp you with professional trader status for it. And sooner or later they will find a way to close this loophole.

Extremely unlikely, they might make you pay capital gain tax though.

That’s how the Leonteq synthetic short term rate fund is taxed.

They will GUARANTEED not slap you with professional trader status for merely getting some tax free interest on your cash.

At MOST (and it does seem likely eventually) they will simply invent a virtual didvidend, like with accumulating etfs, and 1:1 make the appreciation as interest gained. Like with accumulating money market funds. Which would immedietaly make a regular t-bill etf more attractive again (less cost). But ultimately not attractive still as a swiss investor, as it‘s not CHF (except for making fx bets, which is market timing essentially).
For now BOXX is attractive as a swiss investor, due to the tax freeness, which considering interest rate risk parity, gives you an advantage over CHF money market equivalents. At least in my opinion.

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Do you have a link to the product page or an ISIN? I can’t seem to find this.

If I understand correctly, they just look inside and tax you on any interest or dividend they can find. There are no such things in BOXX. Gains (and losses) from derivatives are explicitly tax-free.

But you are right, they also invented interest on bonds without (or not enough) coupons.

it’s taxed as capital gain (not as synthetic dividend, it’s taxed when you sell)

That sounds pretty similar to what boxx does from tax people perspective.

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Return on zero-coupon bonds are accounted for as interest under accounting rules.

That‘s actually pretty good then, as the return is tax deferred. If this will also be the case for Boxx, then it would definitely keep it interesting.

How do you report it in your taxes?

I don’t use it at the moment. I assume you’d report like any other security.

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Finally found the section where it states so in the “termsheet” of CHFO ETP. On the third page under “TAXATION SWITZERLAND” it states:

The “Differenzbesteuerung” led me back to “Besteuerung von Obligationen, Derivaten und kombinierten Produkten” (German) of the ESTV.

I think the CHFO ETP is a Chapter (“non-transparent product” of “non-traditional warrant and convertible bonds and capital-guaranteed derivatives”).

The BOXX ETF on the other hand seems to be a (“transparent product” of “non-traditional warrant and convertible bonds and capital-guaranteed derivatives”). As such the bond and option parts are taxed seperately. But BOXX only has options and option premium is not taxed.

Alternatively, since there is no bonds involved (and therefore it maybe is not, they could just look inside. They will still just see the options, which are still just tax-free.

tl;dr: BOXX and CHFO are not the same for the taxman. BOXX gains should be tax-free, since option premiums are tax-free.