Exchange-traded funds (ETFs) have been recently booming in popularity and enjoy great praise for their flexibility and accessibility in terms of liquidity. They allow investors convenient exposure to less liquid assets such as corporate bonds. But liquid ETF instrument based on illiquid assets is a recipe for a lot of hidden problems (and sometimes disasters), especially in such a turbulent period on fixed income markets as it’s now. There are various certain specifics which come with creation of new ETFs and problems for buying of underling prospects to match the fund’s NAV. Chris Reilly’s paper (2022) revolves around the point that ETF managers encourage Authorized Participants (APs) to more aggressively arbitrage tracking errors to the benefit of ETF investors while simultaneously allowing APs to interact strategically with ETF portfolios at the expense of ETF investors. Underlying asset liquidity is a first-order determinant of optimal security design for ETFs. While these ETFs do underperform their benchmark by greater than their stated net expense ratios (as much as claimed 48 bps p.a.), they still offer a liquid alternative for investors that do not have the resources to manage their own fixed income portfolio. This summary could be taken as a good reminder that investors’ expenses to obtain liquidity in the fixed income space are often quite substantial.