Invesco Indexing Consultation on Change to Index Key Dates for Certain Fixed Income Indexes

Invesco Indexing has launched a public consultation regarding a potential methodology change to the Key Dates for ICE-calculated fixed income indexes. Currently, these indexes utilize the 15th of the month as the Reference Date for data to be captured for Index rebalances, and the fourth business day prior to the last business day of the month as the Announcement Date for a summary of index rebalance changes to be announced to the public.

Invesco Indexing is seeking input from market participants on a potential change to the Reference and Announcement Dates for these fixed incomes indexes, which would move both Key Dates closer to calendar month end. If the proposed Key Dates are adopted, the Reference Date would be moved to the sixth business day prior to the last business day of the month, while the Announcement Date would be moved to the third business day prior to the last business day of the month. No changes would be made to either the Pro-Forma or Effective Dates.

A summary of the current versus proposed Key Dates is below:

Event

Current

Proposed Change

Description

Reference Date

The 15th calendar day of the month

Six business days before the last business day of the month

Data is captured for Index construction

Announcement Date

Four business days before the last business day of the month

Three business days before the last business day of the month

Summary of Index rebalance changes are announced to public

Pro-Forma Date

Three business days before the last business day of the month

Three business days before the last business day of the month

Preliminary Index weights begin to be distributed to Index subscribers

Effective Date

Calendar month-end, whether or not the date is also a business day

Calendar month-end, whether or not the date is also a business day

Rebalanced Index weights are finalized

Invesco Indexing welcomes client feedback on these proposed changes through March 31st, 2021 at which time, having considered stakeholder feedback, a conclusion to the consultation will be published. If adopted, the soonest implementation would occur with the regularly scheduled April rebalance. To share your preference for these options, or provide additional feedback, please contact Invesco Indexing at IndexSupport@invesco.com.