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.