CSH2: taxation and performance

aroominyork

That is very interesting, roose0. I had not picked up the change in mandate (and I own a lot of CSH2). €STR is under 3% whereas SONIA is around 4.7%. Would the wise heads on the forum please discuss what this might mean for future performance?

cloud_dog

I similarly missed the elephant in the room, although I'm a little surprised the change in benchmark wasn't more formally communicated (back in 23 / 24).

masonic

I'm not sure there really is an elephant in the room. The latest factsheet I could find (31 Dec 24) still shows the reference index as 100% SONIA. An up to date performance chart shows a 5.3% return for the previous 12 months and 5.0% annualised over the last 6 months, and ignoring today's dip 4.9% annualised over the last month. The factsheet shows the actual underlying investments, which are the collateral for the swap and therefore nothing like the exposure we are getting from the ETF. The KIID from July 2024 makes reference to €STR as the reference index, but the actual performance of the fund since July 2024 has certainly not been in line with that.

Edit: And here is a useful statement in the prospectus:

roose0

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

masonic

roose0 said:

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

Thanks, only skim-read so far, but I am not seeing any gotchas in there. Going forward the GBP share class will still be using SONIA as the relevant index.

aroominyork

masonic said:

roose0 said: one

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

Thanks, only skim-read so far, but I am not seeing any gotchas in there. Going forward the GBP share class will still be using SONIA as the relevant index.

Indeed. "The Benchmark Index for investments in such share-classes not denominated in Euro and hedged against Euro is the equivalent overnight money market rate for the currency of the related share class

(e.g., SOFR for USD-hedged share classes and UK SONIA for GBP-hedged share classes)."

However I am surprised by " The Receiving Sub-Fund is passively managed." I thought there was some active management in the fund.

cloud_dog

masonic said:

I'm not sure there really is an elephant in the room. The latest factsheet I could find (31 Dec 24) still shows the reference index as 100% SONIA. An up to date performance chart shows a 5.3% return for the previous 12 months and 5.0% annualised over the last 6 months, and ignoring today's dip 4.9% annualised over the last month. The factsheet shows the actual underlying investments, which are the collateral for the swap and therefore nothing like the exposure we are getting from the ETF. The KIID from July 2024 makes reference to €STR as the reference index, but the actual performance of the fund since July 2024 has certainly not been in line with that.

Edit: And here is a useful statement in the prospectus:

I read through the KIID on the Amundi site:

https://www.amundietf.co.uk/pdfDocuments/kiid/LU1230136894/ENG/GBR/20240701

All a little more confusing than perhaps required.

masonic

aroominyork said:

masonic said:

roose0 said: one

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

Thanks, only skim-read so far, but I am not seeing any gotchas in there. Going forward the GBP share class will still be using SONIA as the relevant index.

Indeed. "The Benchmark Index for investments in such share-classes not denominated in Euro and hedged against Euro is the equivalent overnight money market rate for the currency of the related share class

(e.g., SOFR for USD-hedged share classes and UK SONIA for GBP-hedged share classes)."

However I am surprised by " The Receiving Sub-Fund is passively managed." I thought there was some active management in the fund.

There was active management in the absorbed fund. Though its top 10 holdings were only slightly different than the S&P500 index (no idea about the remaining 60% of the assets). At the end of the day they just need an asset mix their counterparty is willing to exchange for the stable returns of SONIA. The costs of active management would need to be justified in that respect and presumably they aren't.

aroominyork

masonic said:

aroominyork said:

masonic said:

roose0 said: one

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

Thanks, only skim-read so far, but I am not seeing any gotchas in there. Going forward the GBP share class will still be using SONIA as the relevant index.

Indeed. "The Benchmark Index for investments in such share-classes not denominated in Euro and hedged against Euro is the equivalent overnight money market rate for the currency of the related share class

(e.g., SOFR for USD-hedged share classes and UK SONIA for GBP-hedged share classes)."

However I am surprised by " The Receiving Sub-Fund is passively managed." I thought there was some active management in the fund.

There was active management in the absorbed fund. Though its top 10 holdings were only slightly different than the S&P500 index (no idea about the remaining 60% of the assets). At the end of the day they just need an asset mix their counterparty is willing to exchange for the stable returns of SONIA. The costs of active management would need to be justified in that respect and presumably they aren't.

I really don't understand the process, but is an MMFish fund one type where you can shelve the "if you don't understand it don't invest in it" rule?

masonic

aroominyork said:

masonic said:

aroominyork said:

masonic said:

roose0 said: one

Shareholder notice about the merger:

https://www.amundietf.co.uk/pdfDocuments/download/f1757d8b-dcb7-4fa2-a589-b66cfc251412/NoticeToShareholders_LU1190417599_GBR_ENG_20250130.pdf

Thanks, only skim-read so far, but I am not seeing any gotchas in there. Going forward the GBP share class will still be using SONIA as the relevant index.

Indeed. "The Benchmark Index for investments in such share-classes not denominated in Euro and hedged against Euro is the equivalent overnight money market rate for the currency of the related share class

(e.g., SOFR for USD-hedged share classes and UK SONIA for GBP-hedged share classes)."

However I am surprised by " The Receiving Sub-Fund is passively managed." I thought there was some active management in the fund.

There was active management in the absorbed fund. Though its top 10 holdings were only slightly different than the S&P500 index (no idea about the remaining 60% of the assets). At the end of the day they just need an asset mix their counterparty is willing to exchange for the stable returns of SONIA. The costs of active management would need to be justified in that respect and presumably they aren't.

I really don't understand the process, but is an MMFish fund one type where you can shelve the "if you don't understand it don't invest in it" rule?

You should probably understand it to the extent that it is described here: https://www.investopedia.com/terms/s/synthetic-etf.asp (CSH2 falls into the unfunded swap category).
It is important to understand that you are adding counterparty risk, especially in this near-risk-free asset class. This ETF should not be regarded as equivalent to say Royal London's STMMF. It has a fairly high impact tail risk.