Financial ETNs and Certificates on Nordic Power Contracts

Abstract

This article presents the first description and analysis of the exchange-traded notes (ETNs) and certificates tracking the Nordic power futures market that enable retail investors to hedge and trade on the Oslo and Stockholm Nordic stock exchanges. We investigate the impacts of the underlying front-quarter futures contract, its daily change, the roll cost, the EUR/NOK and EUR/SEK exchange rates, and the interest rate level and fees on the ETNs and certificates. An analysis of the ETNs and certificates on the Nordic stock exchanges from December 2010 to February 2015 shows continual investment activity, even though prices were in a consistent downtrend during the period. We conclude with a description of some strategies which retail investors can use.

TOPICS: Exchange-traded funds and applications, developed, futures and forward contracts, performance measurement