This month’s ETF Deathwatch list contains 59 entries. Rather than limiting my list to just 20 ETFs on the verge of collapse, this time I included any ETF (or ETN) that failed to generate $100,000 of average daily Trade Value during the month of September. Trade Value may be new terminology for some of you, so let me briefly explain what it is. Trade Value is simply Share Volume multiplied by Price. It provides a more accurate indicator of activity in a given security than just volume alone, since 1,000 shares of something traded at $0.75 is not the same as 1,000 shares of a security priced at $150.

Speaking of volume, I’ve had readers ask me what “scaling” I use when generating this table. They want to know if volume is in hundreds of shares or in thousands of shares. The answer is neither. There is no scaling. Elements British Pound GBP/USD (EGB) traded an average of only five (5) shares per day in September. In fact, this ETF had only a single trade for the entire month. One hundred shares of EGB exchanged hands on September 29 at $9.54. Its total Trade Value for the entire month was $954 for an average of just $45 per day (there were 21 trading days in September).

In September, some investors learned first hand the additional risk of owning ETNs versus ETFs. ETNs are Exchange Traded Notes, which are bonds (debt instruments) that are linked to the performance of a given index. They are especially useful for creating products intended to track non-equity indexes such as currencies and commodities, however they can also track equity and bond indexes. Since ETNs are bonds, they also carry the risk of default by the issuer. That is exactly what happened in September. Lehman Brothers declared bankruptcy and they were the company standing behind three ETNs: Opta S&P Private Equity Notes ETN (PPE), Opta Lehman Agriculture Pure Beta ETN (EOH), and Opta Lehman Commodity Index ETN (RAW). Barclays bought much of the Lehman trading operations, but has said they will not assume responsibility for these three products. The final disposition of these securities is still unclear, but shareholders should probably assume that they are worthless.

Only two ETFs from last month’s list managed to escape being listed again. HOLDRS Merrill Lynch Market 2000+ (MKH) and iPath GBP/USD Exchange Rate ETN (GBB) managed to increase their average daily Trade Value enough to get a reprieve.

Below is my latest ETF Deathwatch List. If you own any of these, then ask yourself why: