Accessible Version
Synthetic ETFs, Accessible Data
Figure 1
The chart show the total assets under management (in billions of US dollars) for all the ETF and the Synthetic ETF in our sample, for the sample period 11/26/2014 to 9/30/2016. During this period, Synthetic-ETF net assets remained steady around $75 billion, which represents about 2% of all global ETFs.
Figure 2
The charts show the 10th and 50th percentiles of the collateralization level on days when the implied volatility index VIX is in the indicated decile of its historical in-sample distribution. Collateralization levels, both in terms of median and 10th percentile, decline slightly when the implied volatility index VIX increases.
Figure 3
The charts show the 50th percentile of the collateralization level on days when the implied volatility index VIX is in the indicated decile of its historical in-sample distribution. The charts shows ETFs for which the swap counterparty and the asset manager are affiliated (left) or unaffiliated (right). For example, we consider the courterparty affiliated if the asset manager is Amundi or Sociéte Generalé and the swap counterparty is Sociéte Generalé, or if the asset manager is ComStage and the counterparty is Commerzbank, or if both parties are Deutsche Bank. Collateralization declines steadily across VIX deciles, starting from fairly low VIX levels, when the swap parties are affiliated. On the contrary, collateralization actually increases somewhat across VIX deciles when the swap parties are not affiliated, and it declines only for the highest levels that VIX reaches in the sample we study