From the November 2011 issue of Research Magazine • Subscribe!

October 26, 2011

Crisis or Not, European Notes Launch

Despite increasing credit risk to European banks, some firms introduced exchange-traded notes (ETNs). ETNs are debt obligations tied to the performance of an index, currency or commodity.

Credit Suisse launched the Market Neutral Equity ETN (CSMN), which tracks the HS Market Neutral Index Powered by HOLT. The index contains a portfolio of 75 long stocks and 75 short stocks from a selection of global stocks using various factors including value and momentum.

CSMN charges an annual fee of 1.05 percent.

Barclays Bank launched the iPath Inverse S&P 500 VIX Short Term Futures ETN II (IVOP). IVOP follows the S&P 500 VIX Short-Term Futures Index Excess Return, which aims for an unleveraged investment in short-term futures contracts on the CBOE Volatility Index. The index offers exposure to a daily rolling long position in first and second month VIX Index futures contracts and reflects the implied volatility of the S&P 500 Index. The annual investor fee charged by IVOP is 0.89 percent.

The Royal Bank of Scotland unveiled the RBS Oil Trendpilot ETN (TWTI). The index uses a proprietary trend-following strategy to provide exposure to either the RBS 12-Month Oil Total Return Index (USD) or the yield on a notional investment in 3-month U.S. Treasury bills. The 12 futures contracts comprising the benchmark index on any given day will be the futures contract scheduled to expire in the following calendar month and contracts scheduled to expire in each of the 11 months thereafter. TWTI charges annual fees of 1.10 percent.

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