RBS expands trend-following range with launch of China Trendpilot ETN (TCHI)

Apr 19th, 2012 | By | Category: Equities

RBS Securities, part of the Royal Bank of Scotland (RBS plc), has announced the launch the RBS China Trendpilot ETN (TCHI), its seventh exchange traded product in its growing suite of Exchange Traded Notes (ETNs). The ETN has been listed on the NYSE Arca.

RBS expands trend-following range with launch of China Trendpilot ETN (TCHI)

RBS plc has expanded its range of dynamic trend-following ETNs with launch of the RBS China Trendpilot ETN (TCHI).

Aimed at sophisticated investors, the ETN provide exposure to the RBS China Trendpilot Index (USD), which tracks either the BNY Mellon China Select ADR Total Return Index or the yield on a hypothetical notional investment in 3-month US Treasury bills (T-Bill Rate) as of the most recent weekly auction, depending on the relative performance of the BNY Mellon China Select ADR TR Index on a simple historical moving average basis.

When the BNY Mellon China Select ADR TR Index is at or above its 100-day simple moving average (positive trend), the ETN goes long the index. Conversely, if the BNY Mellon China Select ADR TR Index closes below its 100-day simple moving average (negative trend) for a fifth consecutive session, the ETN automatically shifts exposure into T-Bills. When the BNY Mellon China Select ADR TR Index returns to a positive trend, the ETN switches back.

The return on the ETN is linked to the performance of this index, minus a management fee that is deducted at an annualised rate of 1.10% if the index is tracking the BNY Mellon China Select ADR TR Index or an annualised rate of 0.50% if the index is tracking the T-Bill Rate.

Investors have the right to require RBS to repurchase the ETN on a daily basis, subject to a minimum repurchase requirement.  RBS, at its sole discretion, may also redeem the ETN at any time prior to maturity.

“The RBS China Trendpilot Exchange Traded Notes, like the other ETNs in our Trendpilot suite, are designed for investors who seek an objective and transparent trend-following strategy that aims to mitigate, to some extent, the volatility of investing in the BNY Mellon China Select ADR Total Return Index,” said Michael Nelskyla, Head of Investor Products Distribution, Americas.

The constituents of the BNY Mellon China Select ADR Total Return Index comprise Depositary Receipts of Chinese companies that are listed and traded on US stock exchanges. Major constituents currently include China Mobile, PetroChina, CNOOC, Baidu and China Life Insurance. The top three sector weightings, which represent a combined 67.8% of the index, are Information Technology, Energy and Telecommunication Services.

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