Sovereign Bonds and the Collective Will

364Jurisdiction — Investment — Contract — Whether a dispute arising out of and in relation to sovereign bonds was an investment treaty dispute rather than a mere contractual dispute — Whether forum selection clauses influenced the place where the alleged investment was deemed to have been madeJurisdiction — Investment — Sovereign bonds — Contribution — Interpretation — Whether security entitlements derived from sovereign bonds constituted obligations or public securities within the definition of investment under the BIT — Whether the investors had made contributions leading to the creation of value that the contracting parties intended to protect under the BITJurisdiction — Investment — ICSID Convention, Article 25 — Interpretation — Salini test — Contribution — Whether the Salini test was the right approach to determine whether an investment had been made — Whether protection of security entitlements derived from sovereign bonds was consistent with the spirit and aim of the ICSID Convention — Whether the ICSID Convention sets the outer limits of consent given under the BITJurisdiction — Investment — Sovereign bonds — Legality — Whether the investment was made in compliance with municipal lawJurisdiction — Investment — Sovereign bonds — Territory — Economic development — Whether the investment was made in the territory of the host State — Whether it was sufficient for the invested funds to have supported the host State’s economic development — Whether it was necessary for investments of a purely financial nature to be linked to a specific economic enterprise or operation taking place in the territory of the host StateJurisdiction — Foreign investor — Nationality — Timing — Whether the investors held the nationality of the home State — Whether natural and juridical persons met certain requirements prior to the registration of the request for arbitrationJurisdiction — Foreign investor — Mass claim — Burden of proof — Whether the investors bore the burden to prove each of them met the requirements of jurisdictionJurisdiction — Foreign investor — Sovereign bonds — ICSID Convention, Article 25 — Whether a party that has purchased security entitlements derived from sovereign bonds through layers of intermediaries may still be classified as the party having made an investmentJurisdiction — Consent — Fraud — Whether the State may invoke the investor’s allegedly fraudulent consent to challenge the validity of the agreement to arbitrate the dispute365Jurisdiction — Consent — Mass claim — Procedure — Whether specific consent was required in regard to the procedure for arbitration in the form of collective proceedings or collective mass claimsJurisdiction — Consent — Prior consultation — Domestic litigation requirement — Whether prior consultation and domestic litigation requirements in the dispute resolution clause of a BIT were relevant to whether the host State consented to arbitrationAdmissibility — Mass claim — ICSID Convention — Denial of justice — Whether the mass aspect of a dispute was admissible under the current ICSID framework — Whether to deny the admissibility of mass claims would be a denial of justiceAdmissibility — Prior consultation — Domestic litigation requirement — Whether the failure to meet the requirements of prior consultation and domestic litigation rendered the claims inadmissible — Whether municipal courts would have resolved the dispute within 18 monthsProcedure — Mass claim — ICSID Convention — ICSID Arbitration Rules — Interpretation — Whether the silence of the ICSID framework in respect of collective proceedings was to be interpreted as a gap — Whether a tribunal may adapt the ICSID Arbitration Rules to enable the group examination of claims in accordance with the object and purpose of the ICSID Convention — Whether the claims of multiple claimants were identical or sufficiently homogeneous to allow for their group examination — Whether group examination would meet standards of due processProcedure — Withdrawal — Mass claim — ICSID Institution Rule 8 — Whether certain investors had withdrawn their consent prior to registration of the request for arbitrationProcedure — Discontinuance — Mass claim — ICSID Arbitration Rule 44 — Whether the request of certain investors for discontinuance should be granted — Whether discontinuance of some investors required the termination of the arbitrationAdmissibility — Abuse of rights — Agent — ICSID Arbitration Rule 18 — Whether the ulterior interests of a third party acting as agent in the arbitration constituted an abuse of rights by the investorsProcedure — Evidence — ICSID Arbitration Rule 25 — Request for arbitration — ICSID Convention, Article 36(2) — Whether updated annexes to the request for arbitration containing information related to each investor were admissible — Whether the introduction of evidence violated the requirements of the request for arbitration by unilaterally updating the identity of the parties366 Costs — Discontinuance — Whether investors who discontinued their participation in the proceeding should bear their own legal costs and a share of the arbitration costsInterpretation — ICSID Convention — Policy — Whether policy considerations were relevant to determine whether the tribunal had jurisdiction over claims arising from sovereign bonds — Whether policy considerations were relevant to determine whether mass claims were admissible

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The behaviour of bidders in quantitative-easing auctions of sovereign bonds in Japan: Determinants of the popularity of the 9 to 10-year maturity segment

The Quarterly Review of Economics and Finance ◽

10.1016/j.qref.2018.12.008 ◽

2019 ◽

Vol 72 ◽

pp. 206-214 ◽

Cited By ~ 1

Author(s):

Kei-Ichiro Inaba

Keyword(s):

Quantitative Easing ◽

Sovereign Bonds

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The effect of Eurosystem asset purchase programmes on euro area sovereign bond yields during the COVID-19 pandemic

10.52903/wp2021291 ◽

2021 ◽

Author(s):

George Hondroyiannis ◽

Dimitrios Papaoikonomou

Keyword(s):

Euro Area ◽

Credit Ratings ◽

Evidence Based ◽

Time Varying ◽

Safe Haven ◽

Sharp Decline ◽

Bond Yields ◽

Perceptions Of Risk ◽

Sovereign Bond ◽

Sovereign Bonds

We investigate the effect of Eurosystem Asset Purchase Programmes (APP) on the monthly yields of 10-year sovereign bonds for 11 euro area sovereigns during January-December 2020. The analysis is based on time-varying coefficient methods applied to monthly panel data covering the period 2004m09 to 2020m12. During 2020 APP contributed to an average decline in yields estimated in the range of 58-76 bps. In December 2020 the effect per EUR trillion ranged between 34 bps in Germany and 159 bps in Greece. Stronger effects generally display diminishing returns. Our findings suggest that a sharp decline in the size of the APP in the aftermath of the COVID-19 crisis could lead to very sharp increases in bond yields, particularly in peripheral countries. The analysis additionally reveals a differential response to global risks between core and peripheral countries, with the former enjoying safe-haven benefits. Markets’ perceptions of risk are found to be significantly affected by credit ratings, which is in line with recent evidence based on constant parameter methods.

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Developed Markets Sovereign Bonds Investing ‐ Enhancing Style with Sentiment

Wilmott ◽

10.1002/wilm.10964 ◽

2021 ◽

Vol 2021 (116) ◽

pp. 10-13

Author(s):

Keyword(s):

Sovereign Bonds ◽

Developed Markets

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Long-term dependency between sovereign bonds and sectoral indices of India: evidence using Hurst exponent and wavelet analysis

Managerial Finance ◽

10.1108/mf-12-2020-0596 ◽

2021 ◽

Vol ahead-of-print (ahead-of-print) ◽

Author(s):

Santanu Das ◽

Ashish Kumar

Keyword(s):

Wavelet Analysis ◽

Hurst Exponent ◽

Minimum Variance ◽

Portfolio Risk ◽

Content Type ◽

Sovereign Bonds ◽

Portfolio Returns ◽

Portfolio Managers ◽

Practical Implications

PurposeThe purpose of this study is to provide a new way to optimize a portfolio and to show that combining the Hurst exponent and wavelet analysis may help to increase portfolio returns.Design/methodology/approachThe authors use the Hurst exponent and wavelet analysis to study the long-term dependencies between sovereign bonds and sectoral indices of India. The authors further construct and evaluate the performance of three portfolios constructed on the basis of Hurst standard deviation (SD) – global minimum variance (GMV), most diversified portfolio (MDP) and equal risk contribution (ERC).FindingsThe authors find that an ERC portfolio generates positive superior return as compared other two. Since our sample includes periods of two crisis – post-2007 financial crisis and the ongoing pandemic, this study reveals that combining government bond with equities and gold provides a higher returns when the portfolios are constructed using the risk exposures of each asset in the overall portfolio risk.Practical implicationsThe findings provide guidance to portfolio managers by helping them to select assets using the Hurst approach and wavelet analysis thereby increasing the portfolio returns.Originality/valueIn this study, the authors use a combination of Hurst exponent and wavelet analysis to understand the long-term dependencies among various assets and provide a new methodology to optimize a portfolio. As far as the authors’ knowledge, no study in the past has attempted to provide a joint framework for portfolio optimization and therefore this study is the first to apply this methodology.

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