We should provide a way to automatically generate the CHANGES.md. It would save some time when doing the releases. Thanks to it, we could speed up the way the release is done.

Suggestions are either to encode the type in the filename (e.g. added-12043.md) or adding the correct at the top with:

## Added

Bla bla bla blabla [...]

A good inspiration to take from is the #8195 PR, which provides a make changelog command.

The end goal is to provide a GitHub Actions to open the release issue and generates the first alpha PR.