This is true. It was half the amount 2 years ago, Trump increased it to 11 million.
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Thanks for confirming that. I wrote EDA a mail, but not sure if they will reply:)
…in shares.
So they might hold European shares such as Airbus (instead of Boeing).
Unfortunately, it could be lowered in the future if the new President of US (aka Biden) want it 
But you still seem to lose ~15% of dividend amount, so what would be the benefits compared to a physical UCITS (irish) ETF? (Esp. if the swiss taxes are higher as it seems to be here).
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I just took that point from Matchpoint. Not sure I get your point. In my understanding synthetic ETFs usually to not pay out dividents. If thats the case, it would mean you would be only taxed on the capital gain.
Thanks! Is there a site where I can track this amount?
True, thats why a huge market drop could also minimize the collateral.
Neither do accumulating funds pay out dividends. Many synthetic funds happen to be accumulating.
Investors will still be taxed as if a (fictitious) dividend had been paid it (at least as long as the fund is reporting figures):
“Massgebend für die Ermittlung des steuerbaren Ertrages von Swap-based ETFs, welchen Aktien- indizes zugrunde liegen, ist die Nettodividenden-Rendite (net yield dividend). Darunter ist die Bruttodividenden-Rendite der entsprechenden Indizes, abzüglich der anwendbaren Quellensteuern zu verstehen”
Eidgenössische Steuerverwaltung, 1-024-VS-2017-d
…just as it would (correlatedly) minimise the values of holdings in a physically replicating fund.
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Ah interessting, so the Swiss tax authorities will anyway calculate theoretical “dividents”.
The correlation depends on the asset types and assets that the collaterial is invested in. I’m unaware of the regulations on this. But I doubt that they try to replicate the index with the collateral or buy an index ETF with it, otherwhise it would be a physical ETF in a synthetic ETF.
But I see your point, that based on the correlation of the collateral assets and the index, the loss is smaller or bigger, if the 3rd party, who offers the spaws, goes bankrupt.
Europe has pretty strict regulations on this…:
Sure it does!
The biggest part will be just (other) listed securities.
Taking a practical example, such as AMUNDI S&P 500 UCITS ETF - EUR, you can export the (sub-) fund’s holdings as an Excel sheet. The top 15 are as follows:
| ISIN | Name | Share of holdings |
|---|---|---|
| ES0113900J37 | BANCO SANTANDER SA REG SHS | 4.72% |
| DK0060534915 | NOVO NORDISK | 4.02% |
| ES0144580Y14 | IBERDROLA SA | 2.90% |
| NL0011585146 | FERRARI NV | 2.61% |
| JP3351100007 | SYSMEX | 2.41% |
| PTEDP0AM0009 | EDP-ENERGIAS DE PORTUGAL SA - REG.SHS | 2.34% |
| DE0008430026 | MUENCHENER RUECKVERSICHERUNGS AG REG SHS | 2.18% |
| JP3890350006 | SUMITOMO MITSUI FINANCIAL GROUP INC | 2.16% |
| JP3783600004 | EAST JAPAN RAILWAY CO | 2.15% |
| FR0000121014 | LVMH MOET HENNESSY LOUIS VUITTON SE | 2.12% |
| DE0005810055 | DEUTSCHE BOERSE AG REG SHS | 2.10% |
| ES0178430E18 | TELEFONICA SA | 2.06% |
| DE000BAY0017 | BAYER AG REG SHS | 2.03% |
| FR0000120271 | TOTAL SE | 1.99% |
| US0846707026 | BERKSHIRE HATHAWAY -B- | 1.96% |
Also published is “Swap counterparty and market value of the swap contract as a percentage of the Net Asset Value, as at 15/12/2020” as being 0.20% of Net Asset Value.
If I’m not mistaken, the value of securities held actually exceeded the fund’s NAV by 1.5% at the end march 2020 (last available semi-annual report). In other words, the synthetic ETF owned more collateral stocks than it was actually worth! Which wouldn’t be that surprising giving the timing and rather “boring” (probably lower-than-average volatility) nature of many stocks included.
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Thanks for your detailled feedback!
Can we conclude therefore, that there is a higher risk for synthetic ETFs in the event of a bankrupt of the swap provider. You could loose the returns of the current and year and you might have an additional loss, if the current NAV of the collateral is less than 100%?
That’s what they’ll warn you of themselves in their prospectuses.
If I’m understanding correctly though, Amundi in the example above does seem not to exhaust the leeway allowed by regulations. I any case, I’m not concerned much about synthetic replication method - however, I don’t believe that that alone magically makes them “better” or more efficient.
Well few points to the above:
Synthetic ETFs are better than physical for the following underliyings:
S&P500, MSCI USA, MSCI World
Because there was the hire act 871m in the US where ETF providers can in a synthetic manner replicate the Gross Index.
For Invesco if you compare their S&P 500 collateral basket it is almost only S&P 500 stocks.
If you compare a synthetic ETF to a physical ETF that does security lending a synthetic ETF is safer. Almost every physical ETF does Security lending…
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While they can offer the gross return, could you point to which S&P500 ETF that does? Those I’ve checked matched the Irish ETFs (so 15% withholding).
E.g. lyxor acc, vs. ishares acc, vs. invesco acc: TradingView Chart — TradingView (ishares is physical, the others are synthetic)
The first ETF Provider replicating the Gross Index is Invesco since January 2019. so if you look at the performance and compare it to Ishares they outperform Ishares by 30bps (2% div yield x 15% US Witholding Tax because Ishares is Irish domiciled)
What’s the ISIN? There’s an ESG one that’s supposed to track the gross index, but all the others are tracking the net index.
The others do also track the gross index. They changed it from net to gross in 2019. but the ESG one was launched from day 1 as gross because newer ETF.
Then they should update their information: https://etf.invesco.com/ch/institutional/en/product/invesco-sp-500-ucits-etf-dist/trading-information (also so far the data doesn’t show them outperforming the etfs with 15% withholding).
They do outperform if you compare from 2019 also in 2020 you can see the outperformance…