This is almost exactly correct. Though what's crazy is they charge fees on the notional - aka the amount they're "insuring".
So if you have a 4b portfolio, they're charging fees on the 4b.
So if you have a 4b portfolio, they're charging fees on the 4b.
But seriously, not charging SOME sort of fee on capital that is likely to be uninvested on a short-term horizon is giving investors a pretty valuable free option. I'm assuming they have a flexible mandate and are able to invest more given some sort of market conditions. Gauging that capacity and properly modeling trade sizes is extremely important for a strategy like this and is not free.