Resume of calculation | DB US Variance Risk Premium Tactical Index and DB US Variance Risk Premium 5 Vega Index | May 2022
With notice from 22nd March 2022 CBOE announced the cessation of the following four indices with effect from 4th April 2022:
- Cboe Short-Term Volatility Index (VSTN)
- Cboe Far-Term Volatility Index (VSTF)
- Cboe Far-Term VIXMO Index (VIFMO)
- Cboe Near-Term VIXMO Index (VINMO)
(the “CBOE Indices”)
The CBOE Indices are used as constituents in the DB US Variance Risk Premium Tactical Index and the DB US Variance Risk Premium 5 Vega Index (the “Affected Indices”).
Shortly after the CBOE notice from 22nd March 2022 Solactive AG has been informed by CBOE that the announced cessation of the CBOE Indices will be withdrawn and the calculation and dissemination of the indices will continue as soon as possible. Therefore, Solactive AG determined this event no to be a Permanent Disruption Event (as defined in the respective index guideline of the Affected Indices). Due to the uncertainty on the resumption of the calculation and dissemination of the CBOE Indices Solactive AG decided to (1) stop the calculation and dissemination of the Affected Indices with effect from 4th April 2022 and (2) not to apply the temporary disruption mechanism outlined in the description of a Temporary Disruption Event in the respective index guideline of the Affected Indices according to which a deferral of determination and publication of the Affected Indices for a period of eight consecutive Business Days would trigger a permanent cancellation of the Affected Indices.
CBOE resumed calculation and dissemination of the CBOE Indices on 18th May 2022 including the publication of historic index levels for the CBOE Indices for the period from 4th April 2022 until 17th May 2022.
With the index levels for the CBOE Indices available again, Solactive AG will continue to calculate and disseminate the Affected Indices with effect from 19th May 2022. Due to the availability of the historical index levels for the CBOE Indices Solactive AG will also backfill and publish the index levels for the Affected Indices for the period from 4th April 2022 until 17th May 2022.