An ETN owns nothing. It is a promise, which is why it has no tracking-error from holding a portfolio but does have counterparty risk: if the issuing bank fails, holders are unsecured creditors. Issuers can also suspend new issuance, at which point the note stops behaving like a fund and can trade at a large and arbitrary premium because the supply of new units is capped.
Issuers additionally hold call rights, and several well-known volatility ETNs have been accelerated at a day's notice, crystallising losses at whatever level the terms specified.
Example: issuance is suspended on a commodity ETN. With no creation-redemption to arbitrage it, the note trades to a 38% premium over indicative value, then collapses when issuance resumes.
Related: etf, nav, premium-discount-to-nav, creation-redemption, tracking-error