Errors, Amendments, and Restatements

 

MFCo makes the accuracy, timeliness, and integrity of indexes its highest priority. Despite robustness in technology, policies and procedures, and operational controls, errors may still arise in the index calculation process, which may be caused by a number of factors both internally and externally. To maintain and preserve the integrity of MFCo’s index calculations, each index’s methodology prescribes certain protocols for handling errors, amendments, and restatements due to re-calculation requirements, which reflects MFCo’s Errors, Amendments, and Restatement policy herein.

 

Errors in the index calculation process, that would subsequently require amendments and restatements of current and historical index values and licensed data, may occur at different points along the index calculation process, and from different sources:

 

  • Index Calculation Input Data

    • Security Disclosure Data

      • Terms and Conditions

      • Periodic interest/principal/factor/dividend/loss/coupon information

    • Benchmark and discount rates

    • Security prices

  • Index Calculation Engine

    • Security-level calculations

    • Index-level calculations

  • Index Calculation Engine Outputs

 

MFCo strives to correct all errors that have been identified within a 24-hour period from the time of identification, although input data errors from either the direct source of a specific data point, or the associated vendor of that data point, may not rectify any errors identified my MFCo in source data within this targeted 24-hour time frame. However, once source data errors are rectified by the source entity, or made available by the vendor of the source data, MFCo will target index calculation rectification within 24 hours of any input data corrections from the source of the data point.

 

Errors that are identified with an index methodology calculation will be addressed immediately. MFCo strives to correct these errors as quickly as possible, and these types of errors carry the highest priority.

 

Errors of any type are documented and investigated appropriately by MFCo personnel or contractual service providers. During the investigation process, 3rd-party providers, source firms, or the data provider itself are contacted as appropriate, depending on the error type. Any resulting amendments or restatements of index history, data, and information will be applied immediately upon rectification.

 

Outside of either data or calculation errors, there may be amendments or restatements due to a methodology change. As an example, if the discounting rate or settlement date convention changes for a particular sector or market that an index covers, this would result in an amendment starting at a certain point in time. Other methodology changes that in calculation logic may result in a full-history restatement, such as a change in the inclusion/exclusion rules for a particular index. MFCo designs its index methodologies and calculation engines to accommodate the both amendments and restatements quickly and easily.

 

Errors, amendments, and restatements are internally documented by MFCo, and, upon rectification, MFCo will provide updated data, documentation, and files, along with an official communication by the Index Committee via email to all licensees of the affected index of any amendment or restatement which includes the reason for the amendment or restatement, the date of occurrence, the rectification method, and the effective date of the rectification.

© 2020 Mark Fontanilla & Co., LLC