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Credit Suisse VIX Note Coming Unhinged Shows Investor Risks

The plunge of an exchange-traded note backed by Credit Suisse Group AG highlights the growing risks for investors in some of Wall Street’s most complex exchange-traded products.

The VelocityShares Daily 2x VIX Short-Term ETN, which seeks to provide twice the daily return of the VIX volatility index, fell 30 percent on March 23 after Credit Suisse said it would begin issuing new shares. The Zurich-based bank stopped creating shares a month ago, unhinging the fund’s price from the index and leading to a premium over the indicative value that peaked at 89 percent on March 21 before plunging to about 7 percent two days later.