ETN Closures: An Empirical Analysis

Abstract

We investigate the determinants of exchange-traded-note (ETN) closures using the full sample of ETNs listed in the CRSP Database. Examining a total of 356 unique ETNs between 2006 and 2019, we document 172 ETN closures (a 48% aggregate failure rate). We find that credit quality of the issuing bank and assets under management most meaningfully explain ETN closures, both are significantly negatively related to the likelihood of closure. We also find that leveraged, inverse, actively managed, and newer ETNs each face higher failure rates. Counterintuitively, we find neither strong nor expected associations between prior ETN returns, volatility, and closure likelihood.