Royal Bank of Scotland (“RBS”) introduced a new member of its Trendpilot exchange-traded notes (“ETNs”) line on December 13, 2011. The RBS NASDAQ 100 Trendpilot ETN (TNDQ) is linked to a systematic trend-following strategy. The methodology tracks the NASDAQ 100 Index when above its 100-day moving average and provides Treasury Bill returns when the NASDAQ 100 Index is below its 100-day moving average.

A “positive trend” is established when the NASDAQ 100 Index closes at or above its historical 100-day simple moving average for five consecutive days. A “negative trend” occurs when the index closes below its 100-day average for five days. During a positive trend, TNDQ will track the NASDAQ 100 minus the 1.00% investor fee. During a negative trend, TNDQ will track the performance of 3-month U.S. Treasury bills minus an investor fee of 0.50%.

The same concept is used across the entire RBS Trendpilot lineup, with the primary differences being the underlying markets and the number of days in the moving average. The other RBS Trendpilot ETNs are:

  • RBS US Large Cap Trendpilot ETN (TRND) times the S&P 500 using a 200-day moving average.
  • RBS US Mid Cap Trendpilot ETN (TRNM) times the S&P MidCap 400 using a 200-day moving average.
  • RBS Gold Trendpilot ETN (TBAR) times gold bullion using a 200-day moving average.
  • RBS Oil Trendpilot ETN (TWTI) times crude oil futures contracts using a 100-day moving average.

Additional information on the new TNDQ is located in the overview, press release (pdf), fact sheet (pdf), and prospectus (pdf).