Norbert's gambit allows you to trade US dollars for Canadian dollars with a tiny spread. It is implemented using cross-listed ETFs like TSE:DLR and TSE:DLR.U, which are traded in different currencies, but which can be swapped for each other for free.
Many ETFs have underlying securities, but these don't. What do you own when you buy one of these ETFs? How does Horizons benefit from running these ETFs? How is the spread between these ETFs controlled by market forces?