Macro Markets exchange traded trusts will start trading on the NYSE today (June 30). These have been discussed in previous articles here and here. Another excellent discussion has been published by Ed Hynes here. Below are the news blast images out yesterday:
These trusts have a five year maturity. If the Case-Schiller Composite-10 index moves 33.3% up or down, and stays there (or beyond 33.3% change) for three consecutive months, the trusts will suffer early termination. One of the trusts will be terminated at approximately 2x the original value and the other will be terminated at zero value.
For example, if, at termination, the Case-Schiller Composite-10 has lost 10%, DMM will be terminated with a distribution of approximately$32.50 per share, a 30% gain. UMM will be terminated under those conditions with a distribution of approximately $17.50 per share, a 30% loss.
Conversely, if the Case Schiller Composite-10 has gained 20% after five years, DDM will terminate with a distribution of approximately $10 (-60%) and UMM will termiate with a distribution of approximately $40 per share (+60%).
The distributions at termination will be adjusted by the net of interest earned for the last quarter minus any accumulated management fees and minus termination expenses.
The assets are invested in short-term U.S. government obligations, overnight repurchase agreements secured by Treasuries and cash. In addition to the termination distributions, there may be quarterly dividend distributions of the accumulated interest net of management expenses.
Investors considering these two trusts should read the prospectuses. Warning: they are difficult to get through. The prospectuses, and other literature, are available here.