The Morgan Stanley S&P 500® Crude Oil Linked ETN (ticker: BARL) tracks the performance of the S&P 500® Oil Hedged Index (the “Index”), which provides exposure to the S&P 500® Total Return Index and an equal weighted combination of near-term NYMEX West Texas Intermediate (WTI) Light Sweet Crude and ICE Brent (Brent) Crude Oil futures contracts. A $100 investment in the Morgan Stanley S&P 500® Crude Oil Linked ETN provides a $100 exposure to the S&P 500 Index and a $50 exposure to each of the WTI and Brent futures. Each exposure is rebalanced on a monthly basis.
The ETNs are designed to provide access to both the price of crude oil, as expressed by the prices of the two futures contracts, and the prices of large-cap U.S. equities, as expressed by the S&P 500 Index, in a single exchange-traded security. The index rebalancing feature provides equal exposure to the equity and crude oil futures components upon each rebalancing, preventing continued imbalances in the component weights that may occur due to market movements. In addition, although both WTI and Brent futures contracts provide exposure to the crude oil market, investing in a combination of WTI and Brent futures contracts may result in certain diversification benefits relative to investing in a single crude oil futures contract.
The Index is calculated based on the total return of the S&P 500 Total Return Index and a combination of rolling near-term WTI and Brent futures contracts. The Index is rebalanced monthly to equalize exposures to each. On each rebalancing, the total crude oil futures exposure will be split equally between WTI and Brent futures contracts and will be equal in weight to the S&P exposure.
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