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.

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.

Wind pressure on a single building immersed in a low-jet wind profile

This paper for the first time discuss the wind pressure distribution on the building surface immersed in wind profile of low-level jet rather than a logarithmic boundary-layer profile. Two types of building models are considered, low-rise and high-rise building, relative to the low-level jet height. CFD simulation is carried out. The simulation results show that the wind pressure distribution immersed in a low-jet wine profile is very different from the typical uniform and boundary-layer flow. For the low-rise building, the stagnation point is located at the upper level of windward façade for the low-level jet wind case, and the separation zone above the roof top is not as obvious as the uniform case. For the high-rise building model, the height of stagnation point is almost as high as the low-level jet height.

Vertical profile measurements of lower troposphere ionisation

Vertical soundings of the atmospheric ion production rate have been obtained from Geiger counters integrated with conventional meteorological radiosondes. In launches made from Reading (UK) during 2013-2014, the Regener-Pfotzer ionisation maximum was at an altitude equivalent to a pressure of (63.1±2.4) hPa, or, expressed in terms of the local air density, (0.101±0.005) kgm−3. The measured ionisation profiles have been evaluated against the Usoskin-Kovaltsov model and, separately, surface neutron monitor data from Oulu. Model ionisation rates agree well with the observed cosmic ray ionisation below 20 km altitude. Above 10 km, the measured ionisation rates also correlate well with simultaneous neutron monitor data, although, consistently with previous work, measured variability at the ionisation maximum is greater than that found by the neutron monitor. However, in the lower atmosphere (below 5 km altitude), agreement between the measurements and simultaneous neutron monitor data is poor. For studies of transient lower atmosphere phenomena associated with cosmic ray ionisation, this indicates the need for in situ ionisation measurements and improved lower atmosphere parameterisations.

Meta-analysis of relationships between enteric methane yield and milk fatty acid profile in dairy cattle

Various studies have indicated a relationship between enteric methane (CH4) production and milk fatty acid (FA) profiles of dairy cattle. However, the number of studies investigating such a relationship is limited and the direct relationships reported are mainly obtained by variation in CH4 production and milk FA concentration induced by dietary lipid supplements. The aim of this study was to perform a meta-analysis to quantify relationships between CH4 yield (per unit of feed and unit of milk) and milk FA profile in dairy cattle and to develop equations to predict CH4 yield based on milk FA profile of cows fed a wide variety of diets. Data from 8 experiments encompassing 30 different dietary treatments and 146 observations were included. Yield of CH4 measured in these experiments was 21.5 ± 2.46 g/kg of dry matter intake (DMI) and 13.9 ± 2.30 g/ kg of fat- and protein-corrected milk (FPCM). Correlation coefficients were chosen as effect size of the relationship between CH4 yield and individual milk FA concentration (g/100 g of FA). Average true correlation coefficients were estimated by a random-effects model. Milk FA concentrations of C6:0, C8:0, C10:0, C16:0, and C16:0-iso were significantly or tended to be positively related to CH4 yield per unit of feed. Concentrations of trans-6+7+8+9 C18:1, trans-10+11 C18:1, cis- 11 C18:1, cis-12 C18:1, cis-13 C18:1, trans-16+cis-14 C18:1, and cis-9,12 C18:2 in milk fat were significantly or tended to be negatively related to CH4 yield per unit of feed. Milk FA concentrations of C10:0, C12:0, C14:0-iso, C14:0, cis-9 C14:1, C15:0, and C16:0 were significantly or tended to be positively related to CH4 yield per unit of milk. Concentrations of C4:0, C18:0, trans-10+11 C18:1, cis-9 C18:1, cis-11 C18:1, and cis- 9,12 C18:2 in milk fat were significantly or tended to be negatively related to CH4 yield per unit of milk. Mixed model multiple regression and a stepwise selection procedure of milk FA based on the Bayesian information criterion to predict CH4 yield with milk FA as input (g/100 g of FA) resulted in the following prediction equations: CH4 (g/kg of DMI) = 23.39 + 9.74 × C16:0- iso – 1.06 × trans-10+11 C18:1 – 1.75 × cis-9,12 C18:2 (R2 = 0.54), and CH4 (g/kg of FPCM) = 21.13 – 1.38 × C4:0 + 8.53 × C16:0-iso – 0.22 × cis-9 C18:1 – 0.59 × trans-10+11 C18:1 (R2 = 0.47). This indicated that milk FA profile has a moderate potential for predicting CH4 yield per unit of feed and a slightly lower potential for predicting CH4 yield per unit of milk. Key words: methane , milk fatty acid profile , metaanalysis , dairy cattle

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.

Consumer acceptability and sensory profile of cooked broccoli with mustard seeds added to improve chemoprotective properties

Broccoli, a rich source of glucosinolates, is a commonly consumed vegetable of the Brassica family. Hydrolysis products of glucosinolates, isothiocyanates, have been associated with health benefits and contribute to the flavour of Brassica. However, boiling broccoli causes the myrosinase enzyme needed for hydrolysis to denature. In order to ensure hydrolysis, broccoli must either be mildly cooked or active sources of myrosinase, such as mustard seed powder, can be added post-cooking. In this study, samples of broccoli were prepared in six different ways; standard boiling with and without mustard seeds, sous-vide cooking at low temperature (70 °C) and sous-vide cooking at higher temperature (100 ºC) without mustard and with mustard at two different concentrations. The majority of consumers disliked the mildly cooked broccoli samples (70 ºC, 12 min, sous-vide) which had a hard and stringy texture. The highest mean consumer liking was for standard boiled samples (100 ºC, 7 min). Addition of 1% mustard seed powder developed sensory attributes such as pungency, burning sensation, mustard odour and flavour. One cluster of consumers (32%) found mustard seeds to be a good complement to cooked broccoli, however, the majority disliked the mustard-derived sensory attributes. Where the mustard seeds were partially processed, doubling the addition to 2% led to only the same level of mustard flavour and pungency as 1% unprocessed seeds, and mean consumer liking remained unaltered. This suggests that optimisation of the addition level of partially processed mustard seeds may be a route to enhance bioactivity of cooked broccoli without compromising consumer acceptability.

Validation of Canopy Height Profile methodology for small-footprint full-waveform airborne LiDAR data in a discontinuous canopy environment

A Canopy Height Profile (CHP) procedure presented in Harding et al. (2001) for large footprint LiDAR data was tested in a closed canopy environment as a way of extracting vertical foliage profiles from LiDAR raw-waveform. In this study, an adaptation of this method to small-footprint data has been shown, tested and validated in an Australian sparse canopy forest at plot- and site-level. Further, the methodology itself has been enhanced by implementing a dataset-adjusted reflectance ratio calculation according to Armston et al. (2013) in the processing chain, and tested against a fixed ratio of 0.5 estimated for the laser wavelength of 1550nm. As a by-product of the methodology, effective leaf area index (LAIe) estimates were derived and compared to hemispherical photography-derived values. To assess the influence of LiDAR aggregation area size on the estimates in a sparse canopy environment, LiDAR CHPs and LAIes were generated by aggregating waveforms to plot- and site-level footprints (plot/site-aggregated) as well as in 5m grids (grid-processed). LiDAR profiles were then compared to leaf biomass field profiles generated based on field tree measurements. The correlation between field and LiDAR profiles was very high, with a mean R2 of 0.75 at plot-level and 0.86 at site-level for 55 plots and the corresponding 11 sites. Gridding had almost no impact on the correlation between LiDAR and field profiles (only marginally improvement), nor did the dataset-adjusted reflectance ratio. However, gridding and the dataset-adjusted reflectance ratio were found to improve the correlation between raw-waveform LiDAR and hemispherical photography LAIe estimates, yielding the highest correlations of 0.61 at plot-level and of 0.83 at site-level. This proved the validity of the approach and superiority of dataset-adjusted reflectance ratio of Armston et al. (2013) over a fixed ratio of 0.5 for LAIe estimation, as well as showed the adequacy of small-footprint LiDAR data for LAIe estimation in discontinuous canopy forests.

Profile of European adults interested in internet-based personalized nutrition: The Food4Me Study

Purpose Personalised intervention may have greater potential for reducing the global burden of non-communicable diseases and for promoting better health and wellbeing across the life-span than the conventional “one size fits all” approach. However, the characteristics of individuals interested in personalised nutrition (PN) are unclear. Therefore, the aim of this study was to describe the characteristics of European adults interested in taking part in an internet-based PN study. Methods Individuals from seven European countries (UK, Ireland, Germany, the Netherlands, Spain, Greece and Poland) were invited to participate in the study via the Food4Me website (http://www.food4me.org). Two screening questionnaires were used to collect data on socio-demographic, anthropometric and health characteristics as well as dietary intakes. Results A total of 5662 individuals expressed an interest in the study (mean age 40 ± 12.7; range 15-87 years). Of these 64.6% were female and 96.9% were Caucasian. Overall, 12.9% were smokers and 46.8% reported the presence of a clinically diagnosed disease. Furthermore, 46.9% were overweight or obese and 34.9% were sedentary during leisure time. Assessment of dietary intakes showed that 54.3% of individuals reported consuming at least 5 portions of fruit and vegetables per day, 45.9% consumed more than 3 servings of wholegrains and 37.2% limited their salt intake to less than 5.75g per day. Conclusions Our data indicate that individuals volunteering to participate in an internet-based PN study are broadly representative of the European adult population, most of whom had adequate nutrient intakes but who could benefit from improved dietary choices and greater physical activity. Future use of internet-based PN approaches is thus relevant to a wide target audience.

Le credit au Moyen Age: les prets a la couronne D'Angleterre entre 1272 et 1345

A summary of some of the key findings of a recent ESRC-funded project based at the ICMA centre, University of Reading. This study applied modern financial analysis and theories to the early history of sovereign debt, in this case the credit arrangements between the ‘Three Edwards’, kings of England 1272-1377, and a succession of Italian merchant societies.

Volatile profile of Spanish Cistus plants as sources of antimicrobials for industrial applications

Cistus is a plant genus traditionally used in folk medicine as remedy for several microbial disorders and infections. The abundance of Cistus spp. in the Iberian Peninsula together with their ability to renew after wildfire contribute to their profitability as suppliers of functional ingredients. The aim of this study was to provide a comprehensive characterization of the volatile profile of different Cistus plants grown in Spain:Cistus ladanifer L., Cistus albidus L., Cistus salviifolius L., and Cistus clusii Dunal (the latter has not been studied before). A system combining headspace solid-phase microextraction and gas chromatography coupled to mass spectrometry (HS-SPME-GC–MS) was implemented; thereby, the volatile compounds were extracted and analyzed in a fast, reliable and environment-friendly way. A total of 111 volatile compounds were identified, 28 of which were reported in Cistus for the first time. The most abundant components of the samples (mono and sesquiterpenes) have been previously reported as potent antimicrobial agents. Therefore, this work reveals the potential use of the Cistus spp. studied as natural sources of antimicrobial compounds for industrial production of cosmeceuticals, among other applications.