XIV.US
id: 326
SEC
Court02/05/2018
Class period Start02/05/2018
Class period End11/09/2022
Claim deadlineIn the Matter of S&P Dow Jones Indices LLC. XIV
The Fair Fund consists of the $9,000,000 that is attributable to damaged investors who traded XIV during the period between 4:09:40 p.m. and 5:09 p.m. EST on February 5, 2018
On May 17, 2021, the SEC issued an Order against S&P Dow Jones Indices LLC. According to the Order, on Monday, February 5, 2018, despite notable market volatility, an index published remained static during certain intervals between the 4:00 PM hour up until 5:08 PM, even though it was supposed to calculate values based on real-time prices of certain VIX futures contracts. This was due to the implementation of a heretofore unknown quality control feature called an “Auto Hold”.
An Auto Hold comes into effect if an index value breaches certain thresholds, at which point the immediately prior index value continues to be reported. The repetition of this index value continues until a current index value comes back within those thresholds or responsible personnel manually releases the Auto Hold. On February 5, 2018, during the intervals described above, Respondent’s personnel did not release the Auto Hold for the index, resulting in the publication and dissemination of static index values, rather than values based on the real-time prices of certain VIX futures contracts.
The index was the primary input for the calculation of the Security’s indicative value, so like the index’s values, the Security’s indicative values published to the market during the same intervals on February 5, 2018 were similarly static. As a result, during certain intervals between the 4:00 PM hour up until 5:08 PM, the Security’s indicative values being reported in real-time were higher than what would have been calculated and disseminated if the Auto Hold had not been triggered. As such, during the 4:00 PM hour and until 5:09 PM, when the closing indicative value of XIV was published, investors did not know that they had been purchasing and/or holding a product that had an economic value that was substantially less than what had been publicly reported. In addition, unlike the XIV indicative values being published to the market, the XIV indicative values that would have been published if the Auto Hold had not been triggered would have breached a key metric that would have provided the issuer a right to accelerate, or call, all outstanding XIV notes.
The Commission ordered the Respondent to pay a $9,000,000 civil money penalty to the Commission. The Commission also created a Fair Fund so the penalty paid can be distributed to harmed investors.
The Fair Fund consists of the $9,000,000 that is attributable to damaged investors.
Case Status
Disbursement
Alleged Offence
Other
Suspected Party
Other
Security Type
Stocks
Trade Direction
Long
Plaintiffs
SEC
Administrator
EPIQ
Court hearing date
05/17/2021
Settlement conditions
during the period between 4:09:40 p.m. and 5:09 p.m. EST on February 5, 2018
Trades matching type
FIFO
+$9,000,000
Cash Settlement Amount