Does anyone have any thoughts about information that DCR will be in trouble after 3 days of oil closing above $111? Again, I do not know whether such information is correct.
As mentioned, DCR tracks the inverse price performance of the Benchmark plus the net income from the Treasuries less any daily income distribution obligations to the UCR trust. Since DCR trust assets are fully funded at $20.00 per share, plus net income less any obligations due under the income distribution agreement and settlement agreement, the underlying value per share should decrease by thirty-three cents for every dollar increase in the oil Benchmark above $60.00 per barrel. For example, if the Benchmark NYMEX Designated Oil Futures Contract ("Benchmark") increases by one dollar in a given day, DCR will accrue interest on the Treasuries and will owe thirty-three cents per share of additional performance to the UCR trust and the interest earned under the income distribution agreement on the change of performance for the day. Since each paired holding share unit is created with a value equal to 50,000 shares of Up-MACRO Holding Shares at $20.00 plus the accrued net income and 50,000 shares of Down-MACRO Holding Shares at $20.00 plus accrued net income, the holding shares are deposited into the tradeable trust and the Authorized Participant receives 50,000 shares of UCR and 50,000 shares of DCR at the underlying value with a combined value of $40.00 per share plus accrued net income.
For the year ended December 31, 2007, DCR's underlying value tracked the Benchmark within an annual price differential of $.11694 (.00130% of DCR's average daily underlying value). This average is made up of a daily range of $.01 to $.058541 ascending up to the quarter-end ex dividend date of at which time the difference resets.
1 The Actual Dividend on DCR for 2007 was $.46834 on a split adjusted basis
http://biz.yahoo.com/e/080331/dcr10-k.html
From September 5, 2007 through December 31, 2007 DCR was priced at a premium to its' underlying value. The premium increased in DCR as the backwardation in the futures market increased and the underlying value of DCR declined. DCR reached a maximum premium of 95.62% on November 23, 2007 when the discount on UCR was at 19.74%. Investors should note that on this date, in dollar terms, the discount on UCR was $6.48 per share and the premium on DCR was $6.99 for a net difference of $0.51. This excess premium over the actual paired value of $40.14 was equal to 1.271% of their combined underlying value.
In summary, the anticipated performance of UCR and DCR, as measured by changes in underlying value, as defined within the UCR and DCR prospectuses, has been achieved by the trusts. The market performance of UCR and DCR generally tracked the performance of the Benchmark for the year ended December 31, 2007. In 2007, MACRO Financial, LLC continued to educate investors on the MacroShares product structure and the performance investors received from the product during the various cycle changes occurring on the NYMEX oil futures curve. This education effort resulted in UCR and DCR combined stable asset levels during 2007, an increase in the daily trading volume and an increase in the number of beneficial owners over the course of the year ended December 31, 2007.
The overall product objectives of MacroMarkets continues to be the expansion of risk management tools and investment products that provide investors diverse long-term exposures to assets with desirable risk/return characteristics and lower correlations to equities, debt and cash. Investors, in addition to other available market information, may consider the trading information and performance results data discussed above, that was achieved during the first full year of trading under several major Oil market cycles, to enhance portfolio diversification and to increase their risk management tools. The expansion of risk management tools will be achieved through the continued development of enhanced passive product structures with clear investment objectives during 2008.
Review of Financial Results
Results of Operations
During the year ended December 31, 2007, the Depositor declared a three for one share split. Accordingly, at December 31, 2006, the number of shares outstanding on a share split adjusted basis was 1,650,000. The increase in shareholders' equity during 2007, resulted from a net decrease in outstanding shares (150,000 on share split adjusted basis) that was offset by an increase in realized and unrealized appreciation on the settlement contracts and the income distribution agreement aggregating approximately $10,600,000. Substantially all of this net increase was directly attributable to the rise in oil prices during the year as reflected in the increased value of the settlement contracts with the Down-MACRO Holding Trust. At December 31, 2007, shareholders' equity increased to approximately $44,900,000 from approximately $34,800,000 at December 31, 2006 Portfolio Overview Tracking Related Blogs Related Videos Comments
Does anyone have any thoughts about information that DCR will be in trouble after 3 days of oil closing above $111? Again, I do not know whether such information is correct.
ReplyDeleteGL/GT
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As mentioned, DCR tracks the inverse price performance of the Benchmark plus the net
ReplyDeleteincome from the Treasuries less any daily income distribution obligations to the UCR
trust. Since DCR trust assets are fully funded at $20.00 per share, plus net income less
any obligations due under the income distribution agreement and settlement agreement, the
underlying value per share should decrease by thirty-three cents for every dollar increase
in the oil Benchmark above $60.00 per barrel. For example, if the Benchmark NYMEX
Designated Oil Futures Contract ("Benchmark") increases by one dollar in a given day, DCR
will accrue interest on the Treasuries and will owe thirty-three cents per share of
additional performance to the UCR trust and the interest earned under the income
distribution agreement on the change of performance for the day. Since each paired holding
share unit is created with a value equal to 50,000 shares of Up-MACRO Holding Shares at
$20.00 plus the accrued net income and 50,000 shares of Down-MACRO Holding Shares at
$20.00 plus accrued net income, the holding shares are deposited into the tradeable trust
and the Authorized Participant receives 50,000 shares of UCR and 50,000 shares of DCR at
the underlying value with a combined value of $40.00 per share plus accrued net income.
For the year ended December 31, 2007, DCR's underlying value tracked the Benchmark within
an annual price differential of $.11694 (.00130% of DCR's average daily underlying value).
This average is made up of a daily range of $.01 to $.058541 ascending up to the
quarter-end ex dividend date of at which time the difference resets.
1 The Actual Dividend on DCR for 2007 was $.46834 on a split adjusted basis
http://biz.yahoo.com/e/080331/dcr10-k.html
From September 5, 2007 through December 31, 2007 DCR was priced at a premium to its'
underlying value. The premium increased in DCR as the backwardation in the futures market
increased and the underlying value of DCR declined. DCR reached a maximum premium of
95.62% on November 23, 2007 when the discount on UCR was at 19.74%. Investors should note
that on this date, in dollar terms, the discount on UCR was $6.48 per share and the
premium on DCR was $6.99 for a net difference of $0.51. This excess premium over the
actual paired value of $40.14 was equal to 1.271% of their combined underlying value.
In summary, the anticipated performance of UCR and DCR, as measured by changes in
underlying value, as defined within the UCR and DCR prospectuses, has been achieved by the
trusts. The market performance of UCR and DCR generally tracked the performance of the
Benchmark for the year ended December 31, 2007. In 2007, MACRO Financial, LLC continued to
educate investors on the MacroShares product structure and the performance investors
received from the product during the various cycle changes occurring on the NYMEX oil
futures curve. This education effort resulted in UCR and DCR combined stable asset levels
during 2007, an increase in the daily trading volume and an increase in the number of
beneficial owners over the course of the year ended December 31, 2007.
The overall product objectives of MacroMarkets continues to be the expansion of risk
management tools and investment products that provide investors diverse long-term
exposures to assets with desirable risk/return characteristics and lower correlations to
equities, debt and cash. Investors, in addition to other available market information, may
consider the trading information and performance results data discussed above, that was
achieved during the first full year of trading under several major Oil market cycles, to
enhance portfolio diversification and to increase their risk management tools. The
expansion of risk management tools will be achieved through the continued development of
enhanced passive product structures with clear investment objectives during 2008.
Review of Financial Results
Results of Operations
During the year ended December 31, 2007, the Depositor declared a three for one share
split. Accordingly, at December 31, 2006, the number of shares outstanding on a share
split adjusted basis was 1,650,000. The increase in shareholders' equity during 2007,
resulted from a net decrease in outstanding shares (150,000 on share split adjusted basis)
that was offset by an increase in realized and unrealized appreciation on the settlement
contracts and the income distribution agreement aggregating approximately $10,600,000.
Substantially all of this net increase was directly attributable to the rise in oil prices
during the year as reflected in the increased value of the settlement contracts with the
Down-MACRO Holding Trust. At December 31, 2007, shareholders' equity increased to
approximately $44,900,000 from approximately $34,800,000 at December 31, 2006
Portfolio Overview Tracking Related Blogs Related Videos Comments
That post was pasted from a fidelity study.
ReplyDelete