The deal was, buy the rights to someone else’s pension payments. What could go wrong? Well, your payment basically funded a cash advance to the someone else (at exorbitant interest rates). This was ... not risk free.
A thread on the mechanics of XIV:
XIV is an exchange-traded note. Its issuer, Credit Suisse, borrowed 100 and will repay some amount at maturity, which is Dec. 4, 2030. What is that amount?