Swap-based ETF: Counterparty Bank Payments, ETF Reliance, Underlying vs. Trading Currency, & Leveraged ETF Calculations

10.b The Counterparty Bank pays over the total return of the index or benchmark to the ETF Manager.

10.c The Underlying Currency of an ETF is the currency in which the assets held by the ETF are denominated, while the Trading Currency is the currency in which the ETF is traded on the exchange.

10.d i. Day 1: Closing value = Opening value * (1 - 0.05) = 100 * 0.95 = 95 Day 2: Closing value = Previous day's closing value * (1 - 0.03) = 95 * 0.97 = 92.15 Day 3: Closing value = Previous day's closing value * (1 + 0.04) = 92.15 * 1.04 = 95.596

ii. Tracking Difference = Closing value of 3x Leveraged ETF - Closing value of underlying reference Asset = 95.596 - 100 = -4.404