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The following chart illustrates the movement in the price of the Shares based on (1) NAV per Share, (2) the “bid” and “ask” midpoint offered on NYSE Arca and (3) the Closing Spot Rate, expressed as a multiple of 100 Swiss Francs:
−Removed: The Sponsor is not aware of any trends, demands, conditions or events that are reasonably likely to result in material changes to the Trust’s liquidity needs.
+Added: Liquidity and Capital Resources
+Added: The Sponsor is not aware of any known trends, demands, commitments, events or uncertainties that will result in, or are reasonably likely to result in, material changes to the Trust’s liquidity and capital resources needs.
The Trust’s Depository, JPMorgan Chase Bank, N.A., London Branch, maintains two deposit accounts for the Trust, a primary deposit account that may earn interest and a secondary deposit account that does not earn interest.
Interest on the primary deposit account, if any, accrues daily and is paid monthly.
−Removed: The interest rate in effect as of September 30, 2021 was an annual nominal rate of -0.75%.
−Removed: The following chart provides the daily rate paid by the Depository since September 30, 2016:
+Added: The interest rate in effect as of March 31, 2022 was an annual nominal rate of -0.75%.
+Added: The following chart provides the daily rate paid by the Depository since March 31, 2017:
In exchange for a fee, the Sponsor bears most of the expenses incurred by the Trust.
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When the interest deposited, if any, exceeds the sum of the Sponsor’s fee for the prior month plus other Trust expenses, if any, the Trustee converts the excess into USD at the prevailing market rate and distributes the USD as promptly as practicable to Shareholders on a pro-rata basis (in accordance with the number of Shares that they own).
−Removed: The Trust did not make any distributions during the quarter ended September 30, 2021.
−Removed: Critical Accounting Policies
+Added: The Trust did not make any distributions during the quarter ended March 31, 2022.
+Added: Critical Accounting Estimates
The financial statements and accompanying notes are prepared in accordance with U.S.
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These estimates and assumptions affect the Trust’s application of accounting policies.
−Removed: In addition, please refer to Note 3 to the financial statements of the Trust for further discussion of the Trust’s accounting policies and Item 7 – Management’s Discussions and Analysis of Financial Condition and Results of Operations – Critical Accounting Policies on Form 10-K for the year ended December 31, 2020.
+Added: In addition, please refer to Note 3 to the financial statements of the Trust for further discussion of the Trust’s accounting policies and Item 7 – Management’s Discussions and Analysis of Financial Condition and Results of Operations – Critical Accounting Estimates on Form 10-K for the year ended December 31, 2021.
Results of Operations
−Removed: During the nine months ended September 30, 2021, an additional 750,000 Shares were created in exchange for 68,217,981 Swiss Francs and 1,150,000 Shares were redeemed in exchange for 104,425,070 Swiss Francs.
−Removed: In addition, 2,205,284 Swiss Francs were withdrawn to pay the Sponsor’s fee and the interest expense on currency deposits, due to the negative interest rate.
−Removed: As of September 30, 2021, the number of Swiss Francs owned by the Trust was 221,543,866, resulting in a redeemable capital Share value of $237,256,976.
−Removed: During the year ended December 31, 2020, an additional 2,500,000 Shares were created in exchange for 229,209,797 Swiss Francs and 1,050,000 Shares were redeemed in exchange for 96,359,052 Swiss Francs.
−Removed: In addition, 2,082,480 Swiss Francs were withdrawn to pay the Sponsor’s fee and the interest expense on currency deposits, due to the negative interest rate.
−Removed: As of December 31, 2020, the number of Swiss Francs owned by the Trust was 259,956,239, resulting in a redeemable capital Share value of $293,802,451.
−Removed: A de crease in the Trust’s redeemable capital Share value from $ 293,802,451 at December 31, 2020 to $ 237,256,976 at September 30, 2021 , was primarily the result of a decrease in the number of Shares outstanding from 2,850,000 at December 31, 2020 to 2,450,000 at September 30, 2021 coupled with a de crease in the Closing Spot Rate from 1.131 at December 31, 2020 to 1.072 at September 30, 2021 .
−Removed: No interest income was earned during the three and nine months ended September 30, 2021 and 2020 due to an annual nominal interest rate which remained at or below 0.00% through those periods, as set forth in the FXF Daily Rate chart above.
−Removed: The Sponsor’s fee accrues daily at an annual nominal rate of 0.40% of the Swiss Francs in the Trust.
−Removed: Due primarily to an increase in the weighted-average Swiss Francs in the Trust, the Sponsor’s fee increased from $220,015 for the three months ended September 30, 2020 to $254,864 for the three months ended September 30, 2021, and increased from $539,842 for the nine months ended September 30, 2020 to $822,218 for the nine months ended September 30, 2021.
−Removed: Because the annual interest rate paid by the Depository remained below 0.00% at the end of September 30, 2021, the Trust incurred interest expense on currency deposits.
−Removed: Due primarily to an increase in the weighted-average Swiss Francs in the Trust, interest expense on currency deposits increased from $419,638 for the three months ended September 30, 2020 to $484,884 for the three months ended September 30, 2021 and increased from $1,030,391 for the nine months ended September 30, 2020 to 1,564,067 for the nine months ended September 30, 2021.
−Removed: The only expenses of the Trust during the three and nine months ended September 30, 2021 and 2020 were the Sponsor’s fee and interest expense on currency deposits.
−Removed: The Trust’s net comprehensive income (loss) for the three months ended September 30, 2021 was $(739,748), due to the Sponsor’s fee of $254,864 and interest expense on currency deposits of $484,884 exceeding interest income of $0.
−Removed: The Trust’s net comprehensive income (loss) for the three months ended September 30, 2020 was $(639,653) due to the Sponsor’s fee of $220,015 and interest expense on currency deposits of $419,638 exceeding interest income of $0.
−Removed: The Trust’s net comprehensive income (loss) for the nine months ended September 30, 2021 was $(2,386,285), due to the Sponsor’s fee of 822,218 and interest expense on currency deposits of 1,564,067 exceeding interest income of $0.
−Removed: The Trust’s net comprehensive income (loss) for the nine months ended September 30, 2020 was $(1,570,233), due to the Sponsor’s fee of $539,842 and interest expense on currency deposits of $1,030,391 exceeding interest income of $0.
−Removed: Cash dividends were not paid by the Trust for the three and nine months ended September 30, 2021 and 2020 as the Trust’s interest income did not exceed the Trust’s expenses during those periods.
+Added: During the three months ended March 31, 2022 and 2021, the Trust’s net comprehensive income (loss) was, in part, impacted by market volatility and uncertainty caused by the novel coronavirus known as COVID-19, which is considered to be an unusual or infrequent event.
+Added: Additionally, the Trust’s net comprehensive income (loss) during the three months ended March 31, 2022 was, in part, impacted by the Russia-Ukraine conflict, which is also considered to be an unusual or infrequent event.
+Added: Although the full and direct impact of COVID-19 and the Russia-Ukraine conflict on the Trust’s net comprehensive income (loss) during the three months ended March 31, 2022 and 2021 cannot be known, it is believed that COVID-19 and the Russia-Ukraine conflict have each independently impacted the Closing Spot Rate, the interest rate paid by the Depository, and the global economy and markets generally, including the number of Shares created and redeemed by the Trust.
+Added: The Swiss Franc (CHF/USD) performed negatively in the first quarter of 2022, largely due to a rallying U.S.
+Added: D ollar, as the Russia-Ukraine conflict escalated and boosted investor demand for safe haven currencies, while simultaneously weigh ing on its European counterparts , including the Swiss Franc .
+Added: Uncertainty loomed over Europe’s macroeconomic outlook, given its geographical proximity and strong reliance on Russian commodities, as the Russia-Ukraine conflict escalated throughout the quarter and the call for additional sanctions against Russia grew.
+Added: While the Swiss Franc is also generally considered a safe haven currency, growing strength in the U .
+Added: D ollar , given its status as the global reserve currency, outweighed any advancements in the Swiss Franc .
+Added: After locking in its largest annual gain since 2010 in 2020, the Swiss Franc (CHF/USD) started off 2021 down sharply.
+Added: Dollar regained its ground, supported by a more hawkish U.S.
+Added: Federal Reserve, and global demand recovery was underway amid growing vaccine optimism and easing lockdown restrictions, investors sold safe haven assets like the Swiss Franc to position themselves for the global economic comeback.
+Added: In addition, the Swiss National Bank’s efforts to keep rates and the national currency low to protect its economy, given its heavy reliance on exports, continued to place downward pressure on the CHF/USD currency pair.
+Added: Additionally, the interest rate paid by the Depository has generally trended downward over the past several years to the current interest rate of -0.75%, as set forth in the FXF Rate Chart above.
+Added: As long as the Sponsor’s fee and the interest expense on currency deposits, if any, exceed interest income, the Trust will incur a net comprehensive loss.
Quantitative and Qualitative Disclosures About Market Risk
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Compared sentence by sentence after normalising whitespace, quotation marks, case and digits, so re-formatting and restated figures do not read as changed language. Wording changes appear as one removal and one addition. The current filing and the prior one are authoritative.