SEC charges S&P indices for 'volatility-related index failures'

Monday, 17. May 2021 15:39

The United States Securities and Exchange Commission announced on Monday that it has charged S&P Dow Jones Indices LLC for failures related to quality control features on one of its volatility-related indices.

According to the regulator's statement, the S&P 500 VIX Short Term Futures Index ER had a publicly undisclosed "Auto Hold" feature, which was activated if an index value breaches certain thresholds, and that S&P DJI employees did not release the feature during a CBOE Volatility Index (VIX) spike, therefore "resulting in the publication and dissemination of stale and static Index values, rather than values based on the real-time prices of certain VIX futures contracts."

S&P DJI has agreed to a cease-and-desist order and a $9 million penalty but declined to admit or deny the findings of SEC investigators.

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