Credit Suisse will begin trading its new “Exchange Traded Notes due February 14, 2031 Linked on a Leveraged Basis to the Credit Suisse Merger Arbitrage Liquid Index” (NYSE:CSMB) Tuesday, March 8, 2011. The return on the ETNs is linked on a leveraged basis to the performance of the Credit Suisse Merger Arbitrage Liquid Index (Net) (the “CS Merger Arbitrage Liquid Index” or the “Index”). CS Merger Arbitrage Liquid Index is reported on Bloomberg under the ticker CSLABMN and attempts to employ a merger arbitrage strategy by using a quantitative methodology to track a dynamic basket of securities held as long or short positions and cash weighted in accordance with the index rules to reflect publicly announced merger transactions that meet certain qualifying conditions.
CS Merger Arbitrage Liquid Index is designed to capture the spread, if any, between the price at which the stock of a target company trades after a proposed acquisition of such target company is announced and the price that the acquiring company has proposed to pay for the stock of such target company.
The leverage feature of the ETNs provides leveraged exposure to changes in the monthly closing levels of the Index (as adjusted for costs and fees), increasing exposure in response to that month’s gains or reducing exposure in response to that month’s losses. Therefore, the performance of the ETNs over months or years can differ significantly from the performance of the Index during the same period of time. The ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in the Index and of seeking monthly compounding leveraged investment.
You can find more information on the ETN: HERE