Fixed Income and Treasury - Articles & White Papers

In this chapter, Ray Dallio reviews the rises and declines of the Dutch, British, and American empires and their reserve currencies and will touch on the rise of the Chinese empire.

There is no doubt that news surrounding COVID-19 and the fascinating volatility in the publicly traded markets due to this global pandemic have captivated nearly everyone’s attention in recent months. The private credit markets, which tend to be less thoroughly discussed, are similarly dealing with unprecedented dynamics.…

Credit investors beware: actively managed credit hedge funds may provide more beta than expected and mutual funds too little. This paper investigates just how much traditional risk premia is responsible for active credit manager fund returns.

This Financial Stability Report sets out the FPC’s view of the outlook for UK financial stability, including its assessment of the resilience of the UK financial system and the main risks to UK financial stability.

The authors examine the incentive of corporate bond fund managers to manipulate portfolio risk in response to competitive pressure. The authors find that bond funds engage in a reverse fund tournament in which laggard funds actively de-risk their portfolios, trading higher yields for more liquid and safer assets. De-risking…

In this paper, we look at the evolution and characteristics of the Emerging Market (EM) fixed income asset class, since the 1980s, drawing on FTSE Russell data. We find EM fixed income is now a substantial and investible asset class and very different from the asset class that suffered major dislocation in 1997-98, with…

Whereas the materiality of sovereign governance (often termed political risk) has long been appreciated by traditional analysis, environmental and social factors have been secondary or conflated with other macroeconomic concerns. In this piece, Manulife IM explore a model-driven approach to benchmarking sovereign…

Impact bonds arrived in the U.K. around 2010 as an innovative financing tool to address pressing social service delivery challenges. In an impact bond, a form of results-based financing, an investor provides upfront capital for social services programs, and this investment is repaid—often with interest—based on the program’s…

Using comprehensive regulatory data, the authors examine trading by different investor types in government bond markets. The sample covers virtually all secondary market trading in gilts and contains detailed information on each transaction, including the identities of both counterparties. The authors find that hedge funds’…

In early December 2019, one of the world's largest pension funds announced that it "decided to suspend stock lending until further notice." This is one example of asset owners evaluating their securities lending practise due to enviromental, social and governance concernsas long term investors.

Prof. Kevin Dowd of Durham University presents a powerful case in which he argues forcefully against the use of 'Helicopter Money.'

This paper investigates the relationship between exposure to climate change and firm credit risk. We show that the distance-to-default, a widely used market-based measure of corporate default risk, is negatively associated with the amount of a firm’s carbon emissions and carbon intensity. Therefore, companies with high…

The ASEAN+3 Bond Market Forum (ABMF) was established with the endorsement of the ASEAN+3 finance ministers in 2010 as a common platform to foster the standardization of market practices and harmonization of regulations relating to crossborder bond transactions in the region. As an initial step, ABMF published the ASEAN+3…

The recent, turbulent times have tested the limits of ETFs, with underlying Fixed Income markets experiencing extreme stress. This episode has demonstrated that Fixed Income ETFs coped well: they have passed the test of time and perceived weaknesses have turned out to be strengths. We look into how ETFs respond to Fixed…

The failure of austerity measures to restore growth in a meaningful manner in the aftermath of the global financial crisis has sparked a renewed interest to explore alternative means to revive aggregate demand and inflation. Debt monetization, advocated by proponents of the modern monetary theory (MMT), is one such…

In 2020, the global pandemic took the world by surprise. To mitigate the impact of a global recession, policymakers launched substantial monetary and fiscal stimulus, adding downward pressure on interest rates. Dealing with low interest rates is by far the most significant shift modern-day investors have had to adapt to, and…

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC-Risk Institute, in partnership with Amundi. Following up on more than a decade-long research effort in the area of factor investing in equity markets, we have felt a timely need amongst asset owners and…

In this video, Riccardo Rebonato, PhD, Professor of Finance at EDHEC-Risk Institute introduces the EDHEC Bond Risk Premium Monitor.

Assigning a discretionary central bank a mandate to stabilize an average inflation rate— rather than a period-by-period inflation rate—increases welfare in a New Keynesian model with an occasionally binding lower bound on nominal interest rates. Under rational expectations, the welfare-maximizing averaging window is…

The OECD Sovereign Borrowing Outlook provides data, information and background on sovereign borrowing needs and discusses funding strategies and debt management policies for OECD countries and the OECD area. This report, first published in February 2020, has been revised to reflect changes due to the coronavirus (COVID-19)…