European CMBS pricing: bond, mortgage and real estate characteristics

The recent global economic crisis is often associated with the development and pricing of mortgage-backed securities (i.e. MBSs) and underlying products (i.e. sub-prime mortgages). This work uses a rich database of MBS issues and represents the first attempt to price commercial MBSs (i.e. CMBSs) in the European market. Our results are consistent with research carried out in the US market and we find that bond-, mortgage-, real estate-related and multinational characteristics show different degrees of significance in explaining European CMBS spreads at issuance. Multiple linear regression analysis using a databank of CMBSs issued between 1997 and 2007 indicates a strong relationship with bond-related factors, followed by real estate and mortgage market conditions. We also find that multinational factors are significant, with country of issuance, collateral location and access to more liquid markets all being important in explaining the cost of secured funding for real estate companies. As floater coupon tranches tend to be riskier and exhibit higher spreads, we also estimate a model using this sub-set of data and results hold, hence reinforcing our findings. Finally, we estimate our model for both tranches A and B and find that real estate factors become relatively more important for the riskier investment products.

Common black coatings - reflectance and ageing characteristics in the 0.32-14.3 mu m wavelength range

The diffuse and regular reflectances of five optically absorbing coatings frequently used in optical systems, were measured over the 0.32-14.3 mu m wavelength range, before and after exposure to heat and intense optical radiation. The measured coatings included Nextel Velvet Black, an anodised coating and NPL Super Black. The anodised coating exhibited substantial variations in its diffuse and regular reflectance values after thermal and simulated solar ageing. Solar and thermal ageing of the Nextel Velvet Black resulted in increases of its reflectance. However, thermal ageing tended to decrease the reflectance of the other paint samples examined. Thermal and solar ageing of the NPL Super Black resulted in only minor changes in its reflectance characteristics. All measurements are traceable to the UK National Standards.

Seasonal variations of the physical and optical characteristics of Saharan Dust: results from the Dust outflow and Deposition to the Ocean (DODO) experiment

North African dust is important for climate through its direct radiative effect on solar and terrestrial radiation and its role in the biogeochemical system. The Dust Outflow and Deposition to the Ocean project (DODO) aimed to characterize the physical and optical properties of airborne North African dust in two seasons and to use these observations to constrain model simulations, with the ultimate aim of being able to quantify the deposition of iron to the North Atlantic Ocean. The in situ properties of dust from airborne campaigns measured during February and August 2006, based at Dakar, Senegal, are presented here. Average values of the single scattering albedo (0.99, 0.98), mass specific extinction (0.85 m^2 g^-1 , 1.14 m^2 g^-1 ), asymmetry parameter (0.68, 0.68), and refractive index (1.53--0.0005i,1.53--0.0014i) for the accumulation mode were found to differ by varying degrees between the dry and wet season, respectively. It is hypothesized that these differences are due to different source regions and transport processes which also differ between the DODO campaigns. Elemental ratios of Ca/Al were found to differ between the dry and wet season (1.1 and 0.5, respectively). Differences in vertical profiles are found between seasons and between land and ocean locations and reflect the different dynamics of the seasons. Using measurements of the coarse mode size distribution and illustrative Mie calculations, the optical properties are found to be very sensitive to the presence and amount of coarse mode of mineral dust, and the importance of accurate measurements of the coarse mode of dust is highlighted.

A review of forecast error covariance statistics in atmospheric variational data assimilation. I: Characteristics and measurements of forecast error covariances

The spatial distribution and evolution characteristics of North Atlantic cyclones

A climatology of extratropical cyclones is produced using an objective method of identifying cyclones based on gradients of 1-km height wet-bulb potential temperature. Cyclone track and genesis density statistics are analyzed and this method is found to compare well with other cyclone identification methods. The North Atlantic storm track is reproduced along with the major regions of genesis. Cyclones are grouped according to their genesis location and the corresponding lysis regions are identified. Most of the cyclones that cross western Europe originate in the east Atlantic where the baroclinicity and the sea surface temperature gradients are weak compared to the west Atlantic. East Atlantic cyclones also have higher 1-km height relative vorticity and lower mean sea level pressure at their genesis point than west Atlantic cyclones. This is consistent with the hypothesis that they are secondary cyclones developing on the trailing fronts of preexisting “parent” cyclones. The evolution characteristics of composite west and east Atlantic cyclones have been compared. The ratio of their upper- to lower-level forcing indicates that type B cyclones are predominant in both the west and east Atlantic, with strong upper- and lower-level features. Among the remaining cyclones, there is a higher proportion of type C cyclones in the east Atlantic, whereas types A and C are equally frequent in the west Atlantic.

Characteristics of Langmuir Turbulence in the Ocean Mixed Layer

This study uses large-eddy simulation (LES) to investigate the characteristics of Langmuir turbulence through the turbulent kinetic energy (TKE) budget. Based on an analysis of the TKE budget a velocity scale for Langmuir turbulence is proposed. The velocity scale depends on both the friction velocity and the surface Stokes drift associated with the wave field. The scaling leads to unique profiles of nondimensional dissipation rate and velocity component variances when the Stokes drift of the wave field is sufficiently large compared to the surface friction velocity. The existence of such a scaling shows that Langmuir turbulence can be considered as a turbulence regime in its own right, rather than a modification of shear-driven turbulence. Comparisons are made between the LES results and observations, but the lack of information concerning the wave field means these are mainly restricted to comparing profile shapes. The shapes of the LES profiles are consistent with observed profiles. The dissipation length scale for Langmuir turbulence is found to be similar to the dissipation length scale in the shear-driven boundary layer. Beyond this it is not possible to test the proposed scaling directly using available data. Entrainment at the base of the mixed layer is shown to be significantly enhanced over that due to normal shear turbulence.

Characteristics of silica-rich pedofeatures in a buried paleosol

Whitish and whitish-light brown milky-like textural pedofeatures and impregnations were found in the voids and the matrix of buried paleosols older than 2.7 million years in a site in Sardinia, Italy. The pedofeatures were described and analysed using micromorphology, X-ray diffraction and microprobe techniques, and their spatial distribution correlated with field evidence. The suite of analyses showed that the main components of the pedofeatures were more or less ordered silica phases. As well as forming a matrix cement, these pedofeatures also occurred as coatings and infillings in pores. Significant amounts of alumina and, less, Mg, Ca and Fe were also present in the pedofeatures, possibly in the form of silicate coatings and inclusions/impurities, or alumino-silicates of the adjacent soil matrix. A number of hypotheses are drawn on the possible mechanisms of formation of these silica-rich pedofeatures, including the possibility of prolonged weathering of volcanic materials and the resulting formation of colloids and more or less ordered silica phases, with successive dehydration and progressive ordering of phases during the at least 2.5 million years. (C) 2003 Elsevier B.V. All rights reserved.

Decomposition in soil and chemical characteristics of pollen

The input to soils made by pollen and its subsequent mineralization has rarely been investigated from a soil microbiological point of view even though the small but significant quantities of C and N in pollen may make an important contribution to nutrient cycling. The relative resistance to decomposition of pollen exines (outer layers) has led to much of the focus of pollen in soil being on its preservation for archaeological and palaeo-ecological purposes. We have examined aspects of the chemical composition and decomposition of pollen from birch (Betula alba) and maize (Zea mays) in soil. The relatively large N contents, small C-to-N ratios and large water-soluble contents of pollen from both species indicated that they would be readily mineralized in soil. When added to soil and incubated at 16 degrees C an amount of C equivalent to 22-26% of the added pollen C was lost as CO2 within 22 days, with the Z. mays pollen decomposing faster. For B. alba pollen, the water-soluble fraction decomposed faster than the whole pollen and the insoluble fraction decomposed more slowly over 22 days. By contrast, there were no significant differences in the decomposition rates of the different fractions from Z. mays pollen. Solid-state C-13 nuclear magnetic resonance (NMR) revealed no gross chemical differences between the pollen of these two species, with strong resonances in the alkyl- and methyl-C region (0-45 p.p.m.) indicative of aliphatic compounds, the O-alkyl-C (60-90 p.p.m.) and the acetal- and ketal-C region (90-110 p.p.m.) indicative of polysaccharides, and the carbonyl-C region indicative of peptides and carboxylic acids. In addition, both pollens gave a small but distinct resonance at 55 p.p.m. attributed to N-alkyl-C. The resonances attributed to polysaccharides were lost completely or substantially reduced after decomposition.

Liming upland grassland: the effects on earthworm communities and the chemical characteristics of carbon in casts

Different earthworm species have different tolerances of acid soil conditions, and the application of lime to upland grassland to improve the grazing quality may therefore alter the size and diversity of the earthworm community. Altering soil properties may also affect the chemical characteristics of organic C in earthworm casts. We surveyed the earthworm community of an upland grassland in southern Scotland at the outset of annual lime applications, and after 3 years, and used C-13 nuclear magnetic resonance (NMR) spectroscopy to assess the distribution of C between different functional groups in the organic matter. In addition, soil was incubated for 8 weeks with several earthworm species in the presence or absence of lime, and the earthworm casts were subsequently analysed by C-13 NMR spectroscopy. Liming did not significantly affect earthworm abundance or species diversity, but it did affect the chemical composition of the casts. Casts from earthworms incubated in unlimed soil had greater ratios of alkyl-C to O-alkyl-C, indicative of more decomposed, recalcitrant C, and spectra from litter-feeding species had the greatest intensities of O-alkyl-C signals. In limed soil, the largest O-alkyl-C signal intensities were not restricted to litter-feeding species, indicating an increase in the quality of organic matter ingested by geophagous species.

Characteristics of silica-rich pedofeatures in a buried paleosol

Whitish and whitish-light brown milky-like textural pedofeatures and impregnations were found in the voids and the matrix of buried paleosols older than 2.7 million years in a site in Sardinia, Italy. The pedofeatures were described and analysed using micromorphology, X-ray diffraction and microprobe techniques, and their spatial distribution correlated with field evidence. The suite of analyses showed that the main components of the pedofeatures were more or less ordered silica phases. As well as forming a matrix cement, these pedofeatures also occurred as coatings and infillings in pores. Significant amounts of alumina and, less, Mg, Ca and Fe were also present in the pedofeatures, possibly in the form of silicate coatings and inclusions/impurities, or alumino-silicates of the adjacent soil matrix. A number of hypotheses are drawn on the possible mechanisms of formation of these silica-rich pedofeatures, including the possibility of prolonged weathering of volcanic materials and the resulting formation of colloids and more or less ordered silica phases, with successive dehydration and progressive ordering of phases during the at least 2.5 million years. (C) 2003 Elsevier B.V. All rights reserved.