Credit and liquidity components of corporate CDS spreads

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent “Great Recession” credit risk plays no role in explaining CDS price changes. The dominance of liquidity effects casts serious doubts on the relevance of CDS price changes as an indicator of default risk dynamics. Our results show how multiple liquidity factors including firm specific and aggregate liquidity proxies as well as an asymmetric information measure are critical determinants of CDS price variations. In particular, the impact of informed traders on the CDS price increases when markets are characterised by higher uncertainty, which supports concerns of insider trading during the crisis.

Price discovery of credit spreads in tranquil and crisis periods

In this paper we investigate the price discovery process in single-name credit spreads obtained from bond, credit default swap (CDS), equity and equity option prices. We analyse short term price discovery by modelling daily changes in credit spreads in the four markets with a vector autoregressive model (VAR). We also look at price discovery in the long run with a vector error correction model (VECM). We find that in the short term the option market clearly leads the other markets in the sub-prime crisis (2007-2009). During the less severe sovereign debt crisis (2009-2012) and the pre-crisis period, options are still important but CDSs become more prominent. In the long run, deviations from the equilibrium relationship with the option market still lead to adjustments in the credit spreads observed or implied from other markets. However, options no longer dominate price discovery in any of the periods considered. Our findings have implications for traders, credit risk managers and financial regulators.

Compliant Multi-electrode Micro-channel Array for Recording Afferent Nerve Activity

We have fabricated a compliant neural interface to record afferent nerve activity. Stretchable gold electrodes were evaporated on a polydimethylsiloxane (PDMS) substrate and were encapsulated using photo-patternable PDMS. The built-in microstructure of the gold film on PDMS allows the electrodes to twist and flex repeatedly, without loss of electrical conductivity. PDMS microchannels (5mm long, 100μm wide, 100μm deep) were then plasma bonded irreversibly on top of the electrode array to define five parallel-conduit implants. The soft gold microelectrodes have a low impedance of ~200kΩ at the 1kHz frequency range. Teased nerves from the L6 dorsal root of an anaesthetized Sprague Dawley rat were threaded through the microchannels. Acute tripolar recordings of cutaneous activity are demonstrated, from multiple nerve rootlets simultaneously. Confinement of the axons within narrow microchannels allows for reliable recordings of low amplitude afferents. This electrode technology promises exciting applications in neuroprosthetic devices including bladder fullness monitors and peripheral nervous system implants.

The effects of corporate social performance on the cost of corporate debt and credit ratings

This study investigates the differential impact that various dimensions of corporate social performance have on the pricing of corporate debt as well as the assessment of the credit quality of specific bond issues. The empirical analysis, based on an extensive longitudinal data set, suggests that overall, good performance is rewarded and corporate social transgressions are penalized through lower and higher corporate bond yield spreads, respectively. Similar conclusions can be drawn when focusing on either the bond rating assigned to a specific debt issue or the probability of it being considered to be an asset of speculative grade.

Foreign credit: travel writing and authenticity in the dutch translation of The memoirs and travels of Mauritius Augustus, Count de Benyowsky (1790)

This article explores the translation and reception of the Memoirs and Travels (1790) of Count Mauritius Augustus Benyowsky (1746-86) in the Netherlands, and examines the complications, tensions and problems that transfer between a major and a more minor European language involves. I analyse how the Dutch translator Petrus Loosjes Adriaanszoon positioned himself as a mediator between these very different source and target cultures and ask how he dealt with the problems of plausibility and ‘credit’ which had beleaguered the reception of the Memoirs and Travels from the outset. In this article I am concerned to restore minority languages to the discussion of how travel literature circulated in Western Europe at the close of the eighteenth century and to demonstrate how major/minor language translation was central to the construction of Dutch-language culture in the Low Countries in this period.

Voltage-gated sodium (NaV) channel blockade by plant cannabinoids does not confer anticonvulsant effects per se

Cannabidiol (CBD) is a non-psychoactive, well-tolerated, anticonvulsant plant cannabinoid, although its mechanism(s) of seizure suppression remains unknown. Here, we investigate the effect of CBD and the structurally similar cannabinoid, cannabigerol (CBG), on voltage-gated Na+ (NaV) channels, a common anti-epileptic drug target. CBG’s anticonvulsant potential was also assessed in vivo. CBD effects on NaV channels were investigated using patch-clamp recordings from rat CA1 hippocampal neurons in brain slices, human SH-SY5Y (neuroblastoma) cells and mouse cortical neurons in culture. CBG effects were also assessed in SH-SY5Y cells and mouse cortical neurons. CBD and CBG effects on veratridine-stimulated human recombinant NaV1.1, 1.2 or 1.5 channels were assessed using a membrane potential-sensitive fluorescent dye high-throughput assay. The effect of CBG on pentyleneterazole-induced (PTZ) seizures was assessed in rat. CBD (10M) blocked NaV currents in SH-SY5Y cells, mouse cortical neurons and recombinant cell lines, and affected spike parameters in rat CA1 neurons; CBD also significantly decreased membrane resistance. CBG blocked NaV to a similar degree to CBD in both SH-SY5Y and mouse recordings, but had no effect (50-200mg/kg) on PTZ-induced seizures in rat. CBD and CBG are NaV channel blockers at micromolar concentrations in human and murine neurons and recombinant cells. In contrast to previous reports investigating CBD, CBG had no effect upon PTZ-induced seizures in rat, indicating that NaV blockade per se does not correlate with anticonvulsant effects.

Inhibition of the cardiac Na+ channel Nav1.5 by carbon monoxide

Sub-lethal carbon monoxide (CO) exposure is frequently associated with myocardial arrhythmias and our recent studies have demonstrated that these may be attributable to modulation of cardiac Na+ channels, causing an increase in the late current and an inhibition of the peak current. Using a recombinant expression system, we demonstrate that CO inhibits peak human Nav1.5 current amplitude without activation of the late Na+ current observed in native tissue. Inhibition was associated with a hyperpolarizing shift in the steady-state inactivation properties of the channels and was unaffected by modification of channel gating induced by anemone toxin (rATX-II). Systematic pharmacological assessment indicated that no recognised CO-sensitive intracellular signalling pathways appeared to mediate CO inhibition of Nav1.5. Inhibition was, however, markedly suppressed by inhibition of nitric oxide (NO) formation, but NO donors did not mimic or occlude channel inhibition by CO, indicating that NO alone did not account for the actions of CO. Exposure of cells to dithiothreitol immediately before CO exposure also dramatically reduced the magnitude of current inhibition. Similarly, L-cysteine and N-ethylmaleimide significantly attenuated the inhibition caused by CO. In the presence of DTT and the NO inhibitor L-NAME, the ability of CO to inhibit Nav1.5 was almost fully prevented. Our data indicate that inhibition of peak Na+ current (which can lead to Brugada-syndrome like arrhythmias) occurs via a mechanism distinct from induction of the late current, requires NO formation and is dependent on channel redox state.

Calibration of structure in a distributed forecasting model for a semiarid flash flood: dynamic surface storage and channel roughness

Flash floods pose a significant danger for life and property. Unfortunately, in arid and semiarid environment the runoff generation shows a complex non-linear behavior with a strong spatial and temporal non-uniformity. As a result, the predictions made by physically-based simulations in semiarid areas are subject to great uncertainty, and a failure in the predictive behavior of existing models is common. Thus better descriptions of physical processes at the watershed scale need to be incorporated into the hydrological model structures. For example, terrain relief has been systematically considered static in flood modelling at the watershed scale. Here, we show that the integrated effect of small distributed relief variations originated through concurrent hydrological processes within a storm event was significant on the watershed scale hydrograph. We model these observations by introducing dynamic formulations of two relief-related parameters at diverse scales: maximum depression storage, and roughness coefficient in channels. In the final (a posteriori) model structure these parameters are allowed to be both time-constant or time-varying. The case under study is a convective storm in a semiarid Mediterranean watershed with ephemeral channels and high agricultural pressures (the Rambla del Albujón watershed; 556 km 2 ), which showed a complex multi-peak response. First, to obtain quasi-sensible simulations in the (a priori) model with time-constant relief-related parameters, a spatially distributed parameterization was strictly required. Second, a generalized likelihood uncertainty estimation (GLUE) inference applied to the improved model structure, and conditioned to observed nested hydrographs, showed that accounting for dynamic relief-related parameters led to improved simulations. The discussion is finally broadened by considering the use of the calibrated model both to analyze the sensitivity of the watershed to storm motion and to attempt the flood forecasting of a stratiform event with highly different behavior.

Sensitivity of a hydraulic model to changes in channel erosion during extreme flooding

Recent research into flood modelling has primarily concentrated on the simulation of inundation flow without considering the influences of channel morphology. River channels are often represented by a simplified geometry that is implicitly assumed to remain unchanged during flood simulations. However, field evidence demonstrates that significant morphological changes can occur during floods to mobilise the boundary sediments. Despite this, the effect of channel morphology on model results has been largely unexplored. To address this issue, the impact of channel cross-section geometry and channel long-profile variability on flood dynamics is examined using an ensemble of a 1D-2D hydraulic model (LISFLOOD-FP) of the 1:2102 year recurrence interval floods in Cockermouth, UK, within an uncertainty framework. A series of hypothetical scenarios of channel morphology were constructed based on a simple velocity based model of critical entrainment. A Monte-Carlo simulation framework was used to quantify the effects of channel morphology together with variations in the channel and floodplain roughness coefficients, grain size characteristics, and critical shear stress on measures of flood inundation. The results showed that the bed elevation modifications generated by the simplistic equations reflected a good approximation of the observed patterns of spatial erosion despite its overestimation of erosion depths. The effect of uncertainty on channel long-profile variability only affected the local flood dynamics and did not significantly affect the friction sensitivity and flood inundation mapping. The results imply that hydraulic models generally do not need to account for within event morphodynamic changes of the type and magnitude modelled, as these have a negligible impact that is smaller than other uncertainties, e.g. boundary conditions. Instead morphodynamic change needs to happen over a series of events to become large enough to change the hydrodynamics of floods in supply limited gravel-bed rivers like the one used in this research.

Channel equalization for indoor lighting communications networks

We consider indoors communications networks using modulated LEDs to transmit the information packets. A generic indoor channel equalization formulation is proposed assuming the existence of both line of sight and diffuse emitters. The proposed approach is of relevance to emergent indoors distributed sensing modalities for which various lighting based network communications protocols are considered.

Oxygen-dependent hydroxylation by Factor Inhibiting HIF (FIH) regulates the TRPV3 ion channel

Factor Inhibiting HIF (FIH) is an oxygen-dependent asparaginyl hydroxylase that regulates the hypoxia-inducible factors (HIFs). Several proteins containing ankyrin repeat domains have been characterised as substrates of FIH, although there is little evidence for a functional consequence of hydroxylation on these substrates. This study demonstrates that the transient receptor potential vanilloid 3 (TRPV3) channel is hydroxylated by FIH on asparagine 242 within the cytoplasmic ankyrin repeat domain. Hypoxia, FIH inhibitors and mutation of asparagine 242 all potentiated TRPV3-mediated current, without altering TRPV3 protein levels, indicating that oxygen-dependent hydroxylation inhibits TRPV3 activity. This novel mechanism of channel regulation by oxygendependent asparaginyl hydroxylation is likely to extend to other ion channels.

Synaptic vesicle glycoprotein 2A modulates vesicular release and calcium channel function at peripheral sympathetic synapses

Synaptic vesicle glycoprotein (SV)2A is a transmembrane protein found in secretory vesicles and is critical for Ca2+-dependent exocytosis in central neurons, although its mechanism of action remains uncertain. Previous studies have proposed, variously, a role of SV2 in the maintenance and formation of the readily releasable pool (RRP) or in the regulation of Ca2+ responsiveness of primed vesicles. Such previous studies have typically used genetic approaches to ablate SV2 levels; here, we used a strategy involving small interference RNA (siRNA) injection to knockdown solely presynaptic SV2A levels in rat superior cervical ganglion (SCG) neuron synapses. Moreover, we investigated the effects of SV2A knockdown on voltage-dependent Ca2+ channel (VDCC) function in SCG neurons. Thus, we extended the studies of SV2A mechanisms by investigating the effects on vesicular transmitter release and VDCC function in peripheral sympathetic neurons. We first demonstrated an siRNA-mediated SV2A knockdown. We showed that this SV2A knockdown markedly affected presynaptic function, causing an attenuated RRP size, increased paired-pulse depression and delayed RRP recovery after stimulus-dependent depletion. We further demonstrated that the SV2A–siRNA-mediated effects on vesicular release were accompanied by a reduction in VDCC current density in isolated SCG neurons. Together, our data showed that SV2A is required for correct transmitter release at sympathetic neurons. Mechanistically, we demonstrated that presynaptic SV2A: (i) acted to direct normal synaptic transmission by maintaining RRP size, (ii) had a facilitatory role in recovery from synaptic depression, and that (iii) SV2A deficits were associated with aberrant Ca2+ current density, which may contribute to the secretory phenotype in sympathetic peripheral neurons.

The impact of liquidity on senior credit index spreads during the subprime crisis

This paper examines the effects of liquidity during the 2007–09 crisis, focussing on the Senior Tranche of the CDX.NA.IG Index and on Moody's AAA Corporate Bond Index. It aims to understand whether the sharp increase in the credit spreads of these AAA-rated credit indices can be explained by worse credit fundamentals alone or whether it also reflects a lack of depth in the relevant markets, the scarcity of risk-capital, and the liquidity preference exhibited by investors. Using cointegration analysis and error correction models, the paper shows that during the crisis lower market and funding liquidity are important drivers of the increase in the credit spread of the AAA-rated structured product, whilst they are less significant in explaining credit spread changes for a portfolio of unstructured credit instruments. Looking at the experience of the subprime crisis, the study shows that when the conditions under which securitisation can work properly (liquidity, transparency and tradability) suddenly disappear, investors are left highly exposed to systemic risk.