Suisse Suspends Creation Units in TVIX# Stock
S*s
1 楼
After Tuesday’s regular trading session, Credit Suisse (CS) announced in a
brief press release that it has “temporarily suspended further issuances of
the VelocityShares Daily 2x VIX Short-Term ETNs (TVIX) due to internal
limits on the size of the ETNs.” The company added that “this suspension
does not affect the Early Redemption rights of noteholders as described in
the pricing supplement. Other ETNs issued by Credit Suisse are not affected
by this suspension.”
The announcement by Credit Suisse raises a lot of questions, and I will see
what I can do to answer some of the more pressing ones here.
While this is all speculation, based on the “internal limits on the size of
the ETNs,” it sounds as if the recent exponential growth in TVIX has
violated a position size risk control rule relative to the VIX futures
products that comprise the S&P 500 VIX Short-Term Futures Index ER (excess
return) on which TVIX is based. Of course, we do not know how much the
volatility of those VIX futures products is factored into the position size
issue, but given the overhang of events in Europe, China and Iran, I can
certainly make the case for a very conservative approach to risk control for
any VIX futures exposure at the moment.
brief press release that it has “temporarily suspended further issuances of
the VelocityShares Daily 2x VIX Short-Term ETNs (TVIX) due to internal
limits on the size of the ETNs.” The company added that “this suspension
does not affect the Early Redemption rights of noteholders as described in
the pricing supplement. Other ETNs issued by Credit Suisse are not affected
by this suspension.”
The announcement by Credit Suisse raises a lot of questions, and I will see
what I can do to answer some of the more pressing ones here.
While this is all speculation, based on the “internal limits on the size of
the ETNs,” it sounds as if the recent exponential growth in TVIX has
violated a position size risk control rule relative to the VIX futures
products that comprise the S&P 500 VIX Short-Term Futures Index ER (excess
return) on which TVIX is based. Of course, we do not know how much the
volatility of those VIX futures products is factored into the position size
issue, but given the overhang of events in Europe, China and Iran, I can
certainly make the case for a very conservative approach to risk control for
any VIX futures exposure at the moment.
