11. Other Topics in Corporate Bond Indexes
New Issues
Should new issues be immediately included in an index, as they begin trading, or should they be “seasoned” and included only in the next rebalancing period, for example at the start of their first full month of trading? In many investment-grade bond indexes, new issues are seasoned by adding them to the index only at the beginning of their first full calendar month of trading. This eliminates the problem of rebalancing the index midmonth on the date the new issue prices in the market. All market participants can depend on a stable set of constituents for the index for each month.
But in the high-yield bond and leveraged loan markets, one of the desirable features of new issues is that they ...
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