Heisenberg Report

NEXT! Vicious Vol. Spike Claims First Official Victim As Nomura Redeems Short Vol. ETN

There goes one.

The Next Notes S&P500 VIX Short-Term Futures Inverse Daily Excess Return Index ETN will be redeemed, after one of the conditions was triggered due to movements in the underlying index, Nomura Europe Finance has announced.

That appears to confirm rampant speculation about the possibly dire consequences of Monday’s “bigly” VIX spike for short vol. vehicles.


Questions began to mount about the fate of everyone’s favorite retail doomsday products after XIV collapsed 80% AH. The going assumption is that the unthinkable has happened: the dreaded liquidation event.

As Bloomberg writes, “no official accounts from the notes’ sponsors were forthcoming, and representatives did not return calls seeking comment, but professional traders said a logical interpretation of language in their prospectuses suggests the notes could be liquidated under circumstances that resemble Monday’s.”

The above-mentioned Next Notes vehicle has (or I guess “had” is better) some $300 million in assets. This is it, apparently:

So that one is biting the dust and the question now is this: “who’s NEXT?” Get it?

And for those who aren’t fluent, here’s how you say “you’re fucked” in Japanese: