The VelocityShares VIX Exchange Traded Notes (ETNs) are issued by Credit Suisse AG acting through its Nassau branch. The ETNs are senior, unsecured obligations of the issuer which are designed to provide traders with sophisticated tools for executing their trading strategies. The ETNs enable investors to gain exposure to the relevant underlying minus the investor fee.
Each ETN is linked to either the S&P 500 VIX Short-Term Futures Index or the S&P 500 Mid-Term Futures Index (each, an “underlying index”) as described in the applicable pricing supplement. Each underlying index is designed to provide investors with exposure to one or more maturities of futures contracts on the Chicago Board Options Exchange (CBOE) SPX Volatility Index (the VIX®). The performance of the ETNs will be linked to the daily performance of the relevant underlying index times the relevant leverage amount minus the investor fee.
No. The ETNs are not linked to the VIX®. Each ETN is linked to the applicable S&P 500 VIX Futures™ Index as described in the applicable pricing supplement.
The return on the ETNs will be based on the daily performance of either The S&P 500 VIX Short-term Futures™ Index or The S&P 500 VIX Mid-Term Futures™ Index less a fee. The underlying indices are futures based and do not use put and call option pricing to determine implied volatility.
The ETNs are linked to either The S&P 500 VIX Short-term Futures™ Index or The S&P 500 VIX Mid-Term Futures™ Index. The Indices were created by Standard and Poor’s Financial Services, LLC. For additional information, please refer to “The Indices” section in the applicable preliminary pricing supplement.
The S&P 500 VIX Short-Term Futures™ Index offers exposure to a daily rolling long position in the first and second month VIX futures contracts. The index rolls continuously throughout each month from the first month VIX futures contract into the second month VIX futures contract to maintain a constant weighted maturity of 1 month.
The S&P 500 VIX Mid-Term Futures™ Index offers exposure to a daily rolling long position in the fourth, fifth, sixth, and seventh month VIX futures contracts. The index rolls continuously throughout each month from the fourth month VIX futures contract into the seventh month VIX futures contract while maintaining positions in the fifth and sixth month VIX futures contracts to maintain a constant weighted maturity of 5 months.
The return of the S&P 500 VIX Futures™ Indices consists of the return of the underlying price of the VIX futures and the “roll yield” from selling near-dated and buying further-dated VIX futures contracts.
Yes. For each of the ETNs the leverage exposure, a function of the closing Indicative Value, is fixed each night and does not change intraday as the level of the applicable underlying index moves. This process is detailed in the applicable pricing supplement within the Risk Factors section under “Intraday purchase risk for Inverse ETNs or 2x Long ETNs.”
No. The ETNs do not attempt to, and should not be expected to, provide returns which achieve the stated Leverage Amount for holding periods other than a single day.
The ETNS, and in particular the 2x long ETNs, are intended to be trading tools for sophisticated investors to manage daily trading risks. The ETNs are riskier than securities that have intermediate or long-term investment objectives, and may not be suitable for investors who plan to hold them for longer than one day. Accordingly, the ETNs should be purchased only by knowledgeable investors who understand the potential consequences of investing in volatility indices and seeking inverse or leveraged investment results, as applicable. Investors should actively and frequently monitor their investment in the ETNs, even intra-day.
The Daily Investor Fee is 0.89% per annum for each of the Long ETNs (Bloomberg tickers “VIIX” and “VIIZ”), 1.35% per annum for each of the Inverse ETNs (Bloomberg tickers “XIV” and “ZIV”), and 1.65% per annum for each of the 2x Long ETNs (Bloomberg tickers “TVIX” and “TVIZ”). These fees are described more fully in the applicable pricing supplement.
The Intraday Indicative Value (an approximation of the intrinsic value) of the ETN is calculated and disseminated over the Consolidated Tape and/or other major market data vendors every 15 seconds.