XIV hedging rule helped protect Credit Suisse
Swiss bank guarded against ETN’s collapse by requiring counterparties to provide hedges in exchange for new units
Constraints imposed on the creation of new units of Credit Suisse’s short-volatility exchange-traded note (ETN) in mid-2016 helped the bank escape losses when the product collapsed yesterday.
The VelocityShares Daily Inverse Vix Short-Term ETN (XIV) lost 86% of its value – dropping from $109 to $99 at the close of US markets, before collapsing to $15 in after-hours trading – in response to the largest single-day fall in US stock prices since August 2011. The note was tracking a basket of Vix
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Derivatives
MTS shuts euro swap venue
Would-be challenger to Tradeweb and Bloomberg is said to have closed less than ten months after launch
Mirfendereski joins MUFG as inflation head
Former HSBC inflation chief joins Japanese bank in London after study break
Dutch pension reforms face political uncertainty
Elections cast doubt on pension funds’ ongoing transition to defined contribution structure
Euro RFR group shuts down amid ongoing benchmark uncertainty
Working group calls time on transition despite split opinion on Euribor’s long-term future
PFZW’s payout to pensioners jolts euro swap curve
Dutch retirement fund’s announcement of unexpectedly large indexation takes market by surprise
Markets Technology Awards 2024: Fixes for the ‘forgotten middle’
Vendors spy opportunity in demystifying and democratising – opening up markets and methods to new users
Bank QIS teams take zero-day options plunge
JP Morgan sees better risk/reward profile for 0DTE-based trend strategies
Three’s a crowd? Eurex and Ice battle CME for €STR trading
Chasing exchanges represent 75% of trading volume, 28% of open interest in first weeks of push
