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本帖最后由 xiaochong 于 2012-3-25 01:07 编辑
Credit Suisse Resumes TVIX Issuance After Month-Long Halt
--Credit Suisse reopens issuance of VelocityShares Daily 2x VIX Short-Term ETN
--Issuance was suspended Feb. 21 after strong demand
--Market price of TVIX remains at a premium to ETN's intrinsic value
(Updates with closing prices, comments from holders)
By Chris Dieterich
Of DOW JONES NEWSWIRES
NEW YORK -(Dow Jones)- Credit Suisse AG (CS) on Friday reopened issuance of a leveraged exchange-traded note tied to the market's fear gauge, a month after the bank suspended new issues following a rush of demand.
The reissuance of shares follows a month of unusual market performance in the VelocityShares Daily 2x VIX Short-Term ETNs (TVIX), capped by a two-session decline during which time the ETN hemorrhaged half its market value.
Friday, TVIX fell 30% to close at an all-time low of $7.16.
Credit Suisse said in a news release late Thursday it will resume issuance Friday on "on a limited basis," after the bank suspended new issues on Feb. 21, citing "internal limits on the size of the ETNs."
The number of shares outstanding in TVIX has grown dramatically prior to the halt to become the largest ETN of its kind by assets.
Jack Grone, a spokesman for Credit Suisse, declined to comment on the reissuance of TVIX shares. William Lloyd, head of index products at VelocityShares, a Connecticut-based creator of the notes, also declined to comment.
Beginning on Wednesday, Credit Suisse said it "may issue additional ETNs from time to time."
The TVIX tracks an index that's tied to futures on the Chicago Board Options Exchange Volatility Index, or VIX, and is designed to deliver returns that are double the daily move of the index. Investors tend to use the products to hedge stock portfolios.
VIX ETNs have proliferated since the beginning of 2009, making the market for fear more accessible to retail traders, and expanding a space previously reserved for sophisticated traders, like hedge funds.
The ETNs change hands like stocks, or exchange-traded funds, but are actually debt securities backed by the credit of the issuer. In the case of TVIX, the issuer is Credit Suisse.
Last month's suspension of new TVIX shares triggered a supply-and-demand imbalance in the market. As a result, the market price of the TVIX traded at a significant premium to its intrinsic value, or the value of index the ETN is designed to track.
At times, the market value of the TVIX was nearly double its intrinsic value. On Monday, the TVIX closed at $15.07, but the intrinsic value of TVIX was $9.32, according to FactSet Research.
The unusual performance of the TVIX prompted some professional investors to flee the product shortly after Credit Suisse halted new issuance.
"It wasn't tracking as it used to," said Paul Miller, managing director at Longview Capital Management LLC, in Wilmington, Del., which uses VIX-tied ETNs to hedge long-stock positions.
Miller said his firm shifted into the ProShares Ultra VIX Short-Term Futures (UVXY) exchange-traded fund roughly a week after Credit Suisse halted issuance.
Warning are buried prospectus the TVIX prospectus: "Credit Suisse cannot predict with certainty what impact, if any, the reopening described above will have on the public trading price of the ETNs."
But some retail investors who were unaware of the discrepancy were left scratching their heads by the ETN's performance over the last two days.
Stocks fell on Thursday, and VIX futures rose. But the TVIX plummeted 29%.
"I bought it for security and it gave me the total opposite effect," said Roman Drukarov, a 27-year-old capital markets pricing analyst at Allied Financial, who lives in Livingston, N.J. "I sold stocks, bought [TVIX], and lost half my money in a matter of two days."
"I called credit Suisse and they kept bringing it back to the prospectus," Drukarov told Dow Jones Newswires.
The growing popularity of VIX-tied ETNs is a key driver behind surging VIX futures volumes, which last month reached an all-time high, according to data from CBOE Holdings Inc.'s (CBOE) futures exchange.
-By Chris Dieterich, Dow Jones Newswires; 212-416-2611; christopher.dieterich@dowjones.com; |
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发表于 2012-3-25 12:01 AM
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