Invesco Indexing is confirming a change to the Index Methodology Documents.
Invesco Indexing is changing the Invesco BulletShares® USD High Yield Corporate Bond Indexes (inclusive of all current and future years). Currently, distressed bonds are eligible to return to the index when the price goes above $80 or when their yield to worst ratio ranks below the top 1%.
The new method will be, a distressed bond is eligible to return to the index when the price goes above $85 and the yield to worst ratio ranks below the top 2%.
This change has shown minimal impact in testing and reduces the distressed bond return to index from 36% to 10% within 6 months of deletion.
This change will be effective on February 15, 2025.
We invite interested stakeholders to contact us at IndexSupport@Invesco.com with any questions.