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.

A comparison between bond graphs switching modelling techniques implemented on a boost dc-dc converter

A Bond Graph is a graphical modelling technique that allows the representation of energy flow between the components of a system. When used to model power electronic systems, it is necessary to incorporate bond graph elements to represent a switch. In this paper, three different methods of modelling switching devices are compared and contrasted: the Modulated Transformer with a binary modulation ratio (MTF), the ideal switch element, and the Switched Power Junction (SPJ) method. These three methods are used to model a dc-dc Boost converter and then run simulations in MATLAB/SIMULINK. To provide a reference to compare results, the converter is also simulated using PSPICE. Both quantitative and qualitative comparisons are made to determine the suitability of each of the three Bond Graph switch models in specific power electronics applications

Permanent trading impacts and bond yields

We analyze four years of transaction data for euro-area sovereign bonds traded on the MTS electronic platforms. In order to measure the informational content of trading activity, we estimate the permanent price response to trades. We find not only strong evidence of information asymmetry in sovereign bond markets, but we also show the relevance of information asymmetry in explaining the cross-sectional variations of bond yields across a wide range of bond maturities and countries. Our results confirm that trades of more recently issued bonds and longer maturity bonds have a greater permanent effect on prices. We compare the price impact of trades for bonds across different maturity categories and find that trades of French and German bonds have the highest long-term price impact in the short maturity class whereas trades of German bonds have the highest permanent price impacts in the long maturity class. More importantly, we study the cross-section of bond yields and find that after controlling for conventional factors, investors demand higher yields for bonds with larger permanent trading impact. Interestingly, when investors face increased market uncertainty, they require even higher compensation for information asymmetry.

The interaction of flexural-gravity waves with periodic geometries

A periodic structure of finite extent is embedded within an otherwise uniform two-dimensional system consisting of finite-depth fluid covered by a thin elastic plate. An incident harmonic flexural-gravity wave is scattered by the structure. By using an approximation to the corresponding linearised boundary value problem that is based on a slowly varying structure in conjunction with a transfer matrix formulation, a method is developed that generates the whole solution from that for just one cycle of the structure, providing both computational savings and insight into the scattering process. Numerical results show that variations in the plate produce strong resonances about the ‘Bragg frequencies’ for relatively few periods. We find that certain geometrical variations in the plate generate these resonances above the Bragg value, whereas other geometries produce the resonance below the Bragg value. The familiar resonances due to periodic bed undulations tend to be damped by the plate.

Facile in situ copper(ii) mediated C–S bond activation transforming dithiocarbimate to carbamate and thiocarbamate generating Cu(ii) and Cu(i) complexes

Facile in situ Cu(II) mediated transformation of p-tolylsulfonyldithiocarbimate in conjunction with polypyridyl or phosphine ligands into corresponding carbamate and thiocarbamate led to the formation of new copper complexes with varying nuclearities and geometries, via C-S bond activation of the ligand within identical reaction systems.

Effect of an ancillary ligand on single helix-double helix interconversion in copper complexes. Copper(I)-water bond

Reaction of Cu(ClO(4))(2)center dot 6H(2)O with the 1:2 condensate of benzildihydrazone and 2-acetylpyridine, in methanol in equimolar ratio yields a green compound which upon recrystallisation from 1:1 CH(2)Cl(2)-C(6)H(6) mixture affords [CuL(H(2)O)](ClO(4))(2)center dot 1/2C(6)H(6). The complex crystallises in the space group P-1 with a = 8.028(11) angstrom, b = 12.316(17) angstrom, c = 18.14(3) angstrom, alpha = 97.191(10)degrees, beta = 94.657(10)degrees and gamma = 108.039(10)degrees. It is single helical with the metal having a distorted trigonal bipyramidal N(4)O coordination sphere. The acid dissociation constant of the Cu(I) complex in CH(3)CN is 3.34 +/- 0.19. The X band EPR spectrum of the compound is rhombic with g(1) = 2.43, g(2) = 2.10 g(3) = 2.02 and A(1) = 79.3 x 10(-4) cm(-1). The Cu(II/I) potential of the complex in CH(2)Cl(2) at a glassy carbon electrode is 0.43 V vs SCE. It is argued that the copper-water bond persists in the corresponding copper(I) species. Its implications on the single helix-double helix interconversion in copper helicates are discussed. DFT calculations at the B3LYP/6-311G** level shows that the binding energy of water in the single helicol live-coordinate copper(I) species [CuL(H(2)O)](+) is similar to 40 kJ mol(-1).

Formation of organorhodium complexes via C–H bond activation of 1,3-di(phenylazo)benzene

Reaction of a potential NCN-pincer ligand, viz. 1,3-di(phenylazo)benzene (L), with [Rh(PPh3)(3)Cl] affords, via a C-H bond activation, an interesting dinuclear Rh(II) complex (1), and with RhCl3 center dot 3H(2)O affords a mononuclear Rh(III) complex (2) containing a catalytically useful Rh-OH2 fragment.

Risk premia in covered bond markets

The authors empirically explore risk premia in mortgage covered bond markets. Using a large panel dataset of covered bond asset swap spreads, they study the impact of different legal and economic environments. Conducting an in-depth analysis of this market, the authors find significant but small differences between countries during normal market periods. However, these differences are much stronger during times of economic crisis. Moreover, they find that developments in the real estate market are of relatively little importance during stable market periods. During economic distress, however, they are of high importance for explaining risk premia in covered bond markets

'A theatre of ruins'. Edward Bond & Samuel Beckett: theatrical antagonists

The playwright Edward Bond has long made known his antagonism to dramatists allied to Martin Esslin’s Theatre of the Absurd. The work of Samuel Beckett has come in for particular criticism by Bond. Using published writings (and unpublished correspondence between myself and Bond), I hope to trace the development of this antagonism between ‘Bondian’ and ‘Beckettian’ views of theatre. However, this article will also set out to argue that both early work such as The Pope’s Wedding (1962), and more recent work such as Coffee (1995), make use of motifs, characters and ideas from Beckett’s theatre. The article will set out provisional reasons why Bond, despite his misgivings, is not averse to incorporating elements from Beckett’s ‘theatre of ruins’, as he terms it, into his own work.

Edward Bond & the celebrity of exile

A shibboleth has grown up around the work of Edward Bond. The tag ‘controversial dramatist’ has continued to dog both the man and his work. This article will hope to explore some of the contradictory, and sometimes frustrating manifestations that such ‘celebrity’ has produced. Since the reception of The War Plays [1985] by the Royal Shakespeare Company at the National Theatre Bond has largely withdrawn his work from mainstream British theatre. Since the late 1990s he has looked to a new home – La Colline Theatre – in France, to premiere new work and run retrospective seasons of older plays. Here, Bond's celebrity is of a different kind, and has allowed him to enhance and develop his work as a playwright, director and writer about theatre. While this article draws on secondary sources it also uses material based on personal correspondence with Edward Bond.

Microstructure of the Euro-area government bond market

This chapter highlights similarities and differences of equity and fixed- income markets and provides an overview of the characteristics of European government bond market trading and liquidity. Most existing studies focus on the U.S. market. This chapter presents the institutional details of the MTS market, which is the largest European electronic platform for trading government, quasi-government, asset- backed, and corporate fixed- income securities. It reviews the main features of high- frequency fixed- income data and the methods for measuring market liquidity. Finally, the chapter shows how liquidity differs across European countries, how liquidity varies with the structure of the market, and how liquidity has changed during the recent liquidity and sovereign crises.

Application of hydrogen-bond propensity calculations to an indomethacin–nicotinamide (1:1) co-crystal

The crystal structure of an indomethacin–nicotinamide (1 : 1) cocrystal produced by milling has been determined from laboratory powder X-ray diffraction (PXRD) data. The hydrogen bonding motifs observed in the structure represent one of the most probable of all the possible combinations of donors and acceptors in the constituent molecules.

The consolidation and bond strength of rafted sea ice

The consolidation and bond strength of rafted sea ice were investigated through a series of experiments undertaken in the Ice Physics Laboratory at the UCL. To simulate a section of rafted sea ice, blocks of laboratory grown saline ice were stacked in an insulated tank with spacers between adjacent blocks to allow saline water to flood in. The rate of consolidation was then monitored using a combination of temperature readings recorded in the ice and liquid layer, salinity measurements of the liquid layer, and cores taken at specific times of interest. Two states of consolidation were observed: thermodynamic consolidation where the ice blocks were physically bonded but the bond strength was weak, and mechanical consolidation where the bond had reached full strength. Results showed that the rafted ice had physically bonded in less than a day, however it took many more days (6 to 30 depending on the environmental conditions) for the bond to reach maximum strength. Increasing the thickness of the ice, the salinity of the water and the inter-block gap size all increased the consolidation time. Once consolidated, ice cores were taken and sheared using the asymmetric four-point bending method to measure the strength of the bond between the ice blocks. These were then compared to the shear strength of solid ice blocks simulating level sea ice. Our results show that the shear strength of the bond between the rafted ice blocks is about 30% weaker than that of level ice.

The power of the bond between cause and effect

This article presents a treatment of Jay Wright Forrester's life and achievements. The concentration is on the intellectual provenance, emergence and growth of system dynamics.

Bond-selective energy redistribution in the chemisorption of CH3D and CD3H on Pt{1 1 0}-(1 2): a first-principles molecular dynamics study

We have investigated the chemisorption of CH3D and CD3H on Pt{11 0}-(1 2) by performing first-principles molecular dynamics simulations of the recombinative desorption of CH3D (from adsorbed methyl and deuterium) and of CD3H (from adsorbed trideuteromethyl and hydrogen). Vibrational analysis of the symmetry adapted internal coordinates of the desorbing molecules shows that excitation of the single C– D (C–H) bond in the parent molecule is strongly correlated with energy excess in the reaction coordinate. The results of the molecular dynamics simulations are consistent with observed mode- and bond-specific reactivity measurements for chemisorption of methane and its isotopomers on platinum and nickel surfaces.