Credit Suisse has launched two new commodity index ETNs, which are listed under the ticker symbols CSCB and CSCR and trade on the NYSE Arca.
CSCB is the first exchange-traded product in the US market to offer investors access to the Credit Suisse Commodity Benchmark Total Return Index.
CSCR is the first exchange-traded product in the US market to offer investors exposure to the Credit Suisse Backwardation Total Return Index.
The Credit Suisse Commodity Benchmark Total Return Index underlying the CSCB ETN is a long-only diversified commodity benchmark index composed of notional futures contracts on 34 physical commodities (as of the 2013 annual rebalance). The index seeks to provide wider diversification and closer reflection of the overall global commodity complex than existing commodity indices. The index features an extended roll period of 15 days per month. The index also invests in contracts that expire between one to three months (where available), spreading exposure across multiple delivery periods, versus the more traditional front-month contract only investment.
The Credit Suisse Commodity Backwardation Index, underlying the CSCR ETN, is a long-only diversified commodity index composed of single-commodity indices that follows a rules-based strategy to select eight commodities based on the price of the commodity futures contracts of various terms. The index measures the level of backwardation (where the prices of futures contracts nearer to expiration are higher than prices of futures contracts with longer to expiration) or contango (where the prices of futures contracts nearer to expiration are lower than prices of futures contracts with longer to expiration) between two observation points on the curve (month one and, generally, month six). Each month, the Index takes a notional weighted long position in eight single-commodity sub-indices from a universe of 24 eligible sub-indices.
"We are proud to be bringing to market these two innovative long-only commodity index-based ETNs. CSCB provides an alternative to the established commodities exchange traded products and offers more commodities and a longer roll period, in a rules based, transparent strategy," says Greg King, head of exchange traded products in Credit Suisse’s Investment Bank. "CSCR provides a ‘Commodities 2.0’ solution that offers an investable way to allocate to the commodities that exhibit the most backwardation or least contango."
Mark Harvey, global head of commodities structuring for Credit Suisse, says: "The Credit Suisse Commodity Benchmark Total Return Index updates a physical commodity futures index originally formulated in 1975 by commodities expert Bob Greer and first published in 1978. We have retained the key aspects of that index – including rebalancing, multi-period exposure and weighting methodology – to create an updated robust benchmark for the performance of the current global commodities markets."