An order by SEC indicates that the negligence affected securities issued by Credit Suisse Group after S&P Dow Jones failed to disclose that its S&P 500 VIX Short Term Futures Index had an auto-hold feature. Following the indices failure, the result was static for over an hour during the February 5, 2018 incident. At the same time, the underlying CBOE Volatility Index (“VIX”) was rising 115% higher.
SEC fails to disclose lost amount during volatility period
The regulator notes that the static data led to a 96% drop in the value of Credit Suisse’s VelocityShares Daily Inverse VIX Short-Term Exchange-Traded Notes (“XIV Notes”) that was reliant on the S&P DJI index. The SEC has not disclosed the amount lost during the incident. However, S&P Dow Jones Indices have neither admitted nor denied the allegations.
