Nominal and inflation-linked government bonds: An assessment of arbitrage opportunities in UK Gilt Market

A Work Project, presented as part of the requirements for the Award of a Masters Degree in Finance from the NOVA – School of Business and Economics

Banco BPI and the reimbursement of contingent convertible subordinated bonds (CoCos)

This case study focuses on the BPI’s recapitalization plan, its causes and the reasons for the early reimbursement of CoCos in June 2014. The need for a capital intervention and the subsequent subscription agreement with the Portuguese Government of €1 500 million Core Tier 1 instruments were the result of a temporary capital buffer for sovereign debt exposures imposed by the European Banking Authority. The capital increase, the positive earnings in 2012 and 2013, the improvements in the sovereign debt crisis, the implementation of Basel III, in addition to the public exchange offer and the conversion of deferred tax assets into tax credits are the main factors for concluding the entire recapitalization operation three years before the deadline.

Cross sectional default probabilities in european corporate bonds

This study attempts to identify basis-trading opportunities in the European banking sector by comparing two different measures for the market’s assessment of risk: market-observed CDS spreads and model-implied Z-spreads. Using a sample of 10 banks, over a period of 3 years following the European banking crisis, it can be concluded that there were arbitrage opportunities in the sector, as evidenced by the derived negative bases.

Valuation of defaultable bonds and debt restructuring

In this paper we develop a contingent valuation model for zero-coupon bonds with default. In order to emphasize the role of maturity time and place of the lender’s claim in the hierarchy of debt of a firm, we consider a firm that issues two bonds with different maturities and different seniorage. The model allows us to analyze the implications of both debt renegotiation and capital structure of a firm on the prices of bonds. We obtain that renegotiation brings about a significant change in the bond prices and that the effect is dispersed through different channels: increasing the value of the firm, reallocating payments, and avoiding costly liquidation. Moreover, the presence of two creditors leads to qualitatively different implications for pricing, while emphasizing the importance of bond covenants and renegotiation of the entire debt.

Solid-phase synthesis and NMR studies of modified oligonucleotides forming triplex helix and of oligonucleopeptides mimicking the topoisomerase I-DNA covalent complex

Report for the scientific sojourn carried out at the Institut de Biologia Molecular de Barcelona of the CSIC –state agency – from april until september 2007. Topoisomerase I is an essential nuclear enzyme that modulates the topological status of DNA, facilitating DNA helix unwinding during replication and transcription. We have prepared the oligonucleotide-peptide conjugate Ac-NLeu-Asn-Tyr(p-3’TTCAGAAGC5’)-LeuC-CONH-(CH2)6-OH as model compound for NMR studies of the Topoisomerase I- DNA complex. Special attention was made on the synthetic aspects for the preparation of this challenging compound especially solid supports and protecting groups. The desired peptide was obtained although we did not achieve the amount of the conjugate needed for NMR studies. Most probably the low yield is due to the intrinsic sensitive to hydrolysis of the phosphate bond between oligonucleotide and tyrosine. We have started the synthesis and the structural characterization of oligonucleotides carrying intercalating compounds. At the present state we have obtained model duplex and quadruplex sequences modified with acridine and NMR studies are underway. In addition to this project we have successfully resolved the structure of a fusion peptide derived from hepatitis C virus envelope synthesized by the group of Dr. Haro and we have synthesized and started the characterization of a modified G-quadruplex.

Irish Land Bonds: 1891-1938

This paper introduces a new database on Irish land bonds listed on the Dublin Stock Exchange from 1891 to 1938: it outlines the nature of these bonds and presents data on their size, liquidity and market returns. These government-guaranteed bonds arose during a period when the possibility of Irish secession from the United Kingdom appeared ever more likely, and were used to finance the transfer of land ownership from landlords to tenants in Ireland (North & South). Movements in the prices of these bonds can help to understand how financial markets responded to events in the early economic and political history of the Irish Free State, including Irish partition, Independence, Civil War and de facto default. Understanding these issues has contemporary relevance for regions in Spain (Catalonia, Euskadi), Great Britain (Scotland) and Belgium (Flanders).

Non-covalent and covalent protein labeling in two-dimensional gel electrophoresis.

Over the past decades, several sensitive post-electrophoretic stains have been developed for an identification of proteins in general, or for a specific detection of post-translational modifications such as phosphorylation, glycosylation or oxidation. Yet, for a visualization and quantification of protein differences, the differential two-dimensional gel electrophoresis, termed DIGE, has become the method of choice for a detection of differences in two sets of proteomes. The goal of this review is to evaluate the use of the most common non-covalent and covalent staining techniques in 2D electrophoresis gels, in order to obtain maximal information per electrophoresis gel and for an identification of potential biomarkers. We will also discuss the use of detergents during covalent labeling, the identification of oxidative modifications and review influence of detergents on finger prints analysis and MS/MS identification in relation to 2D electrophoresis.

Enforced covalent trimerisation of soluble feline CD134 (OX40)-ligand generates a functional antagonist of feline immunodeficiency virus.

The feline immunodeficiency virus (FIV) targets activated CD4-positive helper T cells preferentially, inducing an AIDS-like immunodeficiency in its natural host species, the domestic cat. The primary receptor for FIV is CD134, a member of the tumour necrosis factor receptor superfamily (TNFRSF) and all primary viral strains tested to date use CD134 for infection. To investigate the effect of the natural ligand for CD134 on FIV infection, feline CD134L was cloned and expressed in soluble forms. However, in contrast to murine or human CD134L, soluble feline CD134L (sCD134L) did not bind to CD134. Receptor-binding activity was restored by enforced covalent trimerisation following the introduction of a synthetic trimerisation domain from tenascin (TNC). Feline and human TNC-CD134Ls retained the species-specificity of the membrane-bound forms of the ligand while murine TNC-CD134L displayed promiscuous binding to feline, human or murine CD134. Feline and murine TNC-CD134Ls were antagonists of FIV infection; however, potency was both strain-specific and substrate-dependent, indicating that the modulatory effects of endogenous sCD134L, or exogenous CD134Lbased therapeutics, may vary depending on the viral strain.

Efficient in vivo induction of CTL by cell-associated covalent H-2Kd-peptide complexes.

A novel procedure is presented describing the induction of antigen-specific cytolytic T lymphocytes (CTL) in vivo, that uses as immunogen syngeneic Concanavalin A stimulated spleen cells expressing H-2Kd (Kd) molecules photocrosslinked with a photoreactive peptide derivative. The Kd restricted Plasmodium berghei circumsporozoite (PbCS) peptide 253-260 (YIPSAEKI) was conjugated with photoreactive iodo-4-azidosalicylic acid (IASA) at the NH2-terminus and with 4-azidobenzoic acid (ABA) at the TCR contact residue Lys259 to make IASA-YIPSAEK(ABA)I. Selective photoactivation of the IASA group allowed specific photoaffinity labeling of cell-associated Kd molecules. Optimal peptide derivative binding to Kd molecules of concanavalin A stimulated spleen cells was obtained upon 4-6 h incubation at 26 degrees C in the presence of human beta 2 microglobulin. Photocrosslinking prevented the rapid dissociation of cell-associated Kd-peptide derivative complexes at 37 degrees C. The photoaffinity labeled cells were injected i.p. into syngeneic recipients. After 10 days, the peritoneal exudate lymphocytes were harvested and in vitro stimulated with peptide derivative pulsed P815 mastocytoma cells. The resulting bulk cultures displayed high cytolytic activity that was specific for IASA-YIPSAEK(ABA)I and YIPSAEK(ABA)I. In contrast, peritoneal exudate lymphocytes from mice inoculated with concanavalin A blasts that were pulsed, but not photocrosslinked, with IASA-YIPSAEK(ABA)I expressed only marginal levels of IASA-YIPSAEK(ABA)I-specific cytolytic activity. This immunization strategy, using neither adjuvants nor potentially hazardous transfected/transformed cells, is safe and should be universally applicable.

Covalent assembly of a soluble T cell receptor-peptide-major histocompatibility class I complex.

We used stepwise photochemical cross-linking for specifically assembling soluble and covalent complexes made of a T-cell antigen receptor (TCR) and a class I molecule of the major histocompatibility complex (MHC) bound to an antigenic peptide. For that purpose, we have produced in myeloma cells a single-chain Fv construct of a TCR specific for a photoreactive H-2Kd-peptide complex. Photochemical cross-linking of this TCR single-chain Fv with a soluble form of the photoreactive H-2Kd-peptide ligand resulted in the formation of a ternary covalent complex. We have characterized the soluble ternary complex and showed that it reacted with antibodies specific for epitopes located either on the native TCR or on the Kd molecules. By preventing the fast dissociation kinetics observed with most T cell receptors, this approach provides a means of preparing soluble TCR-peptide-MHC complexes on large-scale levels.

Photoaffinity labeling of the T cell receptor on cloned cytotoxic T lymphocytes by covalent photoreactive ligand.

The interaction of the T cell antigen receptor with a photoreactive antigenic peptide derivative bound covalently to the H-2Kd (Kd) molecule was studied by photoaffinity labeling on cloned, CD8 positive cytotoxic T lymphocytes. The Kd-restricted Plasmodium berghei circumsporozoite peptide 253-260 (YIPS-AEKI) was conjugated with iodo-4-azidosalicylic acid at the N terminus and with 4-azidobenzoic acid at the T cell receptor residue Lys-259. Cell-associated or soluble Kd molecules were photoaffinity-labeled with the peptide derivative by selective photoactivation of the N-terminal photoreactive group. Incubation of cell-associated or soluble covalent Kd-peptide derivative complexes (ligands) with cytotoxic T lymphocytes that recognized this peptide derivative and activation of the orthogonal photoreactive group resulted in specific photoaffinity labeling of the T cell receptor. The labeling was inhibitable by an anti-Kd antibody and was absent on Kd-restricted cytotoxic T lymphocytes of different specificity. The binding of the soluble ligand reached a maximum after 2-4 min at 37 degrees C, after 30 min at 18 degrees C, and after 3 h at 4 degrees C. In contrast, binding of the cell-associated ligand reached a transient maxima after 50 and 110 min at 37 and 18 degrees C, respectively. The degree of binding at 37 degrees C was approximately 30% lower than that at 18 degrees C. No binding took place at 4 degrees C. Inhibition studies with antibodies and drugs indicated that the binding of the cell-associated, but not the soluble ligand, was highly dependent on T cell-target cell conjugate formation, whereas the binding of the soluble ligand was greatly dependent on CD8.

Insuring California earthquakes and the role for catastrophe bonds

The 1994 Northridge earthquake sent ripples to insurance conpanieseverywhere. This was one in a series of natural disasters such asHurricane Andrew which together with the problems in Lloyd's of Londonhave insurance companies running for cover. This paper presents a calibration of the U.S. economy in a model with financial markets forinsurance derivatives that suggests the U.S. economy can deal with thedamage of natural catastrophe far better than one might think.

Bonds between fibronectin and fibronectin-binding proteins on Staphylococcus aureus and Lactococcus lactis.

Bacterial cell-wall-associated fibronectin binding proteins A and B (FnBPA and FnBPB) form bonds with host fibronectin. This binding reaction is often the initial step in prosthetic device infections. Atomic force microscopy was used to evaluate binding interactions between a fibronectin-coated probe and laboratory-derived Staphylococcus aureus that are (i) defective in both FnBPA and FnBPB (fnbA fnbB double mutant, DU5883), (ii) capable of expressing only FnBPA (fnbA fnbB double mutant complemented with pFNBA4), or (iii) capable of expressing only FnBPB (fnbA fnbB double mutant complemented with pFNBB4). These experiments were repeated using Lactococcus lactis constructs expressing fnbA and fnbB genes from S. aureus. A distinct force signature was observed for those bacteria that expressed FnBPA or FnBPB. Analysis of this force signature with the biomechanical wormlike chain model suggests that parallel bonds form between fibronectin and FnBPs on a bacterium. The strength and covalence of bonds were evaluated via nonlinear regression of force profiles. Binding events were more frequent (p < 0.01) for S. aureus expressing FnBPA or FnBPB than for the S. aureus double mutant. The binding force, frequency, and profile were similar between the FnBPA and FnBPB expressing strains of S. aureus. The absence of both FnBPs from the surface of S. aureus removed its ability to form a detectable bond with fibronectin. By contrast, ectopic expression of FnBPA or FnBPB on the surface of L. lactis conferred fibronectin binding characteristics similar to those of S. aureus. These measurements demonstrate that fibronectin-binding adhesins FnBPA and FnBPB are necessary and sufficient for the binding of S. aureus to prosthetic devices that are coated with host fibronectin.

Rebuild Iowa Infrastructure Investment Bonds: Creating Iowa Jobs by Investing in Iowa Infrastructure, January, 2009

The Rebuild Iowa Infrastructure Investment Bonds are exactly that: an investment in Iowa and Iowans. Proposed by Governor Chet Culver in his 2009 Condition of the State address, the Rebuild Iowa bonds are an investment of $700 million to create jobs by addressing much-needed infrastructure projects across the state.