ETNs (exchange traded notes) are only a couple years old but the idea has been around since the early 90s. They are "Structured Notes," a debt vehicle, usually with time to maturity of over ten years, where the issuer promises to pay the return of a set investment determined by the issuer, foreign currency is most common. However, the possibilities are vast and an issuer could promise to pay the return of double an index or 1.5 an index. Barclay's now offers the return of carbon related credits. So, ETNs are simple, tradable like a stock or an ETF, and carry relatively small expense ratios.
An ETN can be used by individuals, advisors, and institutions to meet allocation or strategy needs like a S&P 500 buy-write strategy that otherwise may be hard or not cost effective to execute directly. Most Commodities, currencies and commodity indexes can be held through an ETN.
ETFs are limited by the mutual fund regulations that govern them which limit commodity ownership and the use of futures. Some of the ETFs that track commodities are actually "grantor Trust" which are complicated and hold the commodity "in trust" for investors.
ETNs are not limited by those regulations can use futures and options to exposure investors to strategies, and assets that can be unique to ETNs giving the individual and Financial Advisor access that they ordinarily would not have.
What's the risk?
As discussed previously, an ETF can be liquidated when an issuer goes bankrupt and investors will get the market price from the basket of underlying securities. This is not fun and could create very unfavorable tax consequences but it sure beats total loss.
However, Since an ETN is an unsecured debt instrument, the investor must get in line with the firm's creditors.