(Reuters) – The S&P Dow Jones Indices will pay a $ 9 million fine to settle US Securities and Exchange Commission charges for negligence in dealing with one of its indexes caused large losses on securities issued by Credit Suisse Group AG under extreme market volatility.
The SEC stated that S&P DJI should have revealed that its S&P 500 VIX Short Term Futures Index ER contained an "auto hold" feature that allowed its value to remain static for more than one hour on February 5, 2018, including the underlying CBOE The Volatility Index (“VIX”) increased 115% higher.
According to the SEC, the obsolete data contributed to a 96% decrease in the value of Credit Suisse's VelocityShares Daily Inverse VIX short-term exchange-traded banknotes ("XIV banknotes"), the value of which was dependent on the S&P DJI index.
Investors in XIV banknotes have estimated that the fall caused $ 1
"When index providers license their securities issuance indices, such as S&P DJI di here, they must ensure that the disclosure of critical features in their products, as well as the publication of real-time values, are accurate," said Daniel Michael, head of the SEC's complex. unit for financial instruments.
S&P DJI is a joint venture between S&P Global Inc., which owns a majority, and CME Group Inc.
It did not acknowledge or deny any errors in agreeing to settle, and said in a statement that it was committed to "transparency and integrity
Last month, a federal appeals court in Manhattan revived a fraud by XIV Notes investors who accused Credit Suisse of trying to collapse that market to win at their expense.
XIV Notes fell as low as $ 4.22 from $ 108.37 during volatility, and Credit Suisse later redeemed the notes at $ 5.99 each, the bank said last month. "sure" that the trial would eventually be dismissed. Catalog