Invesco Indexing has concluded the consultation period regarding a potential methodology change to the Key Dates for ICE-calculated fixed income indexes. As previously announced, this consultation covered 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. The proposed change would move the Reference Date 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.
After seeking and receiving input from market participants, Invesco Indexing will be implementing the proposed Key Date changes, which have been summarized below. The implementation of these changes will occur with the regularly scheduled April 2021 rebalance.
|
Event |
Day |
Description |
|---|---|---|
|
Reference Date |
Six business days before the last business day of the month |
Data is captured for Index construction |
|
Announcement Date |
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 |
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 |
Rebalanced Index weights are finalized |
For any questions or comments, please contact a member of the Invesco Indexing team at IndexSupport@invesco.com.