When Delayed Spotting Meets Delayed Reporting: Distortions in the Corporate Bond Index Close

This paper provides the first systematic evidence that delayed Treasury spot trades (DTSTs) interacting with delayed trade reporting distort corporate bond pricing at the index close. Using proprietary MarketAxess data that identify DTSTs and record spread-agreement timestamps, we show DTSTs execute at stale prices, deviating from contemporaneous non-DTSTs by 19 bps. These trades mechanically bias end-of-day close-price estimates, with distortions that intensify with intraday volatility and comove across bonds. The resulting mispricing passes through to evaluated prices produced by leading bond index providers. Moreover, delayed reporting of DTSTs impairs price discovery, both after spread agreement and after the close.

Keywords: Delayed Treasury Spotting, Delayed Reporting, Corporate Bond Market, Index Close, Price Distortion, Price Discovery, Investment Fund, Index Provider, Benchmark Valuation

JEL Classification: G10, G11, G12, G14, G18, G23

Suggested Citation: Suggested Citation

Rapp, Andreas C. and Shin, Sean Seunghun and Zhou, Xing (Alex) and Zhu, Qifei, When Delayed Spotting Meets Delayed Reporting: Distortions in the Corporate Bond Index Close (December 30, 2025). SMU Cox School of Business Research Paper No. 25-38, Available at SSRN: https://ssrn.com/abstract=5986474 or http://dx.doi.org/10.2139/ssrn.5986474