Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 1)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS). The latter allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Dynamic Option Adjusted Spread and the Value of Mortgage Backed Securities (Draft 2)

We extend a reduced form model for pricing pass-through mortgage backed securities (MBS) and provide a novel hedging tool for investors in this market. To calculate the price of an MBS, traders use what is known as option-adjusted spread (OAS). The resulting OAS value represents the required basis points adjustment to reference curve discounting rates needed to match an observed market price. The OAS suffers from some drawbacks. For example, it remains constant until the maturity of the bond (thirty years in mortgage-backed securities), and does not incorporate interest rate volatility. We suggest instead what we call dynamic option adjusted spread (DOAS), which allows investors in the mortgage market to account for both prepayment risk and changes of the yield curve.

Pricing the option adjust spread of Brazilian Eurobonds

This paper presents results of a pricing system to compute the option adjusted spread ("DAS") of Eurobonds issued by Brazilian firms. The system computes the "DAS" over US treasury rates taktng imo account the embedded options present on these bonds. These options can be calls ("callable bond"), puts ("putable bond") or combinations ("callable and putable bond"). The pricing model takes into account the evolution of the term structure along time, is compatible with the observable market term structure and is able to compute risk measures such as duration and convexity, and pricing and hedging of options on these bonds. Examples show the ejJects of the embedded options on the spread and risk measures as well as the ejJects on the spread due to variations on the volatility parameters ofthe short rate.

Three Essays in Empirical Asset Pricing

The financial crisis of 2007-2008 led to extraordinary government intervention in firms and markets. The scope and depth of government action rivaled that of the Great Depression. Many traded markets experienced dramatic declines in liquidity leading to the existence of conditions normally assumed to be promptly removed via the actions of profit seeking arbitrageurs. These extreme events motivate the three essays in this work. The first essay seeks and fails to find evidence of investor behavior consistent with the broad 'Too Big To Fail' policies enacted during the crisis by government agents. Only in limited circumstances, where government guarantees such as deposit insurance or U.S. Treasury lending lines already existed, did investors impart a premium to the debt security prices of firms under stress. The second essay introduces the Inflation Indexed Swap Basis (IIS Basis) in examining the large differences between cash and derivative markets based upon future U.S. inflation as measured by the Consumer Price Index (CPI). It reports the consistent positive value of this measure as well as the very large positive values it reached in the fourth quarter of 2008 after Lehman Brothers went bankrupt. It concludes that the IIS Basis continues to exist due to limitations in market liquidity and hedging alternatives. The third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It provides practical implementation advice to researchers to address limited source data and/or small target firm sample size.

Evaluating adjusted forcing and model spread for historical and future scenarios in the CMIP5 generation of climate models

We utilize energy budget diagnostics from the Coupled Model Intercomparison Project phase 5 (CMIP5) to evaluate the models' climate forcing since preindustrial times employing an established regression technique. The climate forcing evaluated this way, termed the adjusted forcing (AF), includes a rapid adjustment term associated with cloud changes and other tropospheric and land-surface changes. We estimate a 2010 total anthropogenic and natural AF from CMIP5 models of 1.9 ± 0.9 W m−2 (5–95% range). The projected AF of the Representative Concentration Pathway simulations are lower than their expected radiative forcing (RF) in 2095 but agree well with efficacy weighted forcings from integrated assessment models. The smaller AF, compared to RF, is likely due to cloud adjustment. Multimodel time series of temperature change and AF from 1850 to 2100 have large intermodel spreads throughout the period. The intermodel spread of temperature change is principally driven by forcing differences in the present day and climate feedback differences in 2095, although forcing differences are still important for model spread at 2095. We find no significant relationship between the equilibrium climate sensitivity (ECS) of a model and its 2003 AF, in contrast to that found in older models where higher ECS models generally had less forcing. Given the large present-day model spread, there is no indication of any tendency by modelling groups to adjust their aerosol forcing in order to produce observed trends. Instead, some CMIP5 models have a relatively large positive forcing and overestimate the observed temperature change.

Estimated Disability-adjusted Life Years Averted By Long-term Provision Of Long Acting Contraceptive Methods In A Brazilian Clinic.

What is the contribution of the provision, at no cost for users, of long acting reversible contraceptive methods (LARC; copper intrauterine device [IUD], the levonorgestrel-releasing intrauterine system [LNG-IUS], contraceptive implants and depot-medroxyprogesterone [DMPA] injection) towards the disability-adjusted life years (DALY) averted through a Brazilian university-based clinic established over 30 years ago. Over the last 10 years of evaluation, provision of LARC methods and DMPA by the clinic are estimated to have contributed to DALY averted by between 37 and 60 maternal deaths, 315-424 child mortalities, 634-853 combined maternal morbidity and mortality and child mortality, and 1056-1412 unsafe abortions averted. LARC methods are associated with a high contraceptive effectiveness when compared with contraceptive methods which need frequent attention; perhaps because LARC methods are independent of individual or couple compliance. However, in general previous studies have evaluated contraceptive methods during clinical studies over a short period of time, or not more than 10 years. Furthermore, information regarding the estimation of the DALY averted is scarce. We reviewed 50 004 medical charts from women who consulted for the first time looking for a contraceptive method over the period from 2 January 1980 through 31 December 2012. Women who consulted at the Department of Obstetrics and Gynaecology, University of Campinas, Brazil were new users and users switching contraceptive, including the copper IUD (n = 13 826), the LNG-IUS (n = 1525), implants (n = 277) and DMPA (n = 9387). Estimation of the DALY averted included maternal morbidity and mortality, child mortality and unsafe abortions averted. We obtained 29 416 contraceptive segments of use including 25 009 contraceptive segments of use from 20 821 new users or switchers to any LARC method or DMPA with at least 1 year of follow-up. The mean (± SD) age of the women at first consultation ranged from 25.3 ± 5.7 (range 12-47) years in the 1980s, to 31.9 ± 7.4 (range 16-50) years in 2010-2011. The most common contraceptive chosen at the first consultation was copper IUD (48.3, 74.5 and 64.7% in the 1980s, 1990s and 2000s, respectively). For an evaluation over 20 years, the cumulative pregnancy rates (SEM) were 0.4 (0.2), 2.8 (2.1), 4.0 (0.4) and 1.3 (0.4) for the LNG-IUS, the implants, copper IUD and DMPA, respectively and cumulative continuation rates (SEM) were 15.1 (3.7), 3.9 (1.4), 14.1 (0.6) and 7.3 (1.7) for the LNG-IUS, implants, copper IUD and DMPA, respectively (P < 0.001). Over the last 10 years of evaluation, the estimation of the contribution of the clinic through the provision of LARC methods and DMPA to DALY averted was 37-60 maternal deaths; between 315 and 424 child mortalities; combined maternal morbidity and mortality and child mortality of between 634 and 853, and 1056-1412 unsafe abortions averted. The main limitations are the number of women who never returned to the clinic (overall 14% among the four methods under evaluation); consequently the pregnancy rate could be different. Other limitations include the analysis of two kinds of copper IUD and two kinds of contraceptive implants as the same IUD or implant, and the low number of users of implants. In addition, the DALY calculation relies on a number of estimates, which may vary in different parts of the world. LARC methods and DMPA are highly effective and women who were well-counselled used these methods for a long time. The benefit of averting maternal morbidity and mortality, child mortality, and unsafe abortions is an example to health policy makers to implement more family planning programmes and to offer contraceptive methods, mainly LARC and DMPA, at no cost or at affordable cost for the underprivileged population. This study received partial financial support from the Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP), grant # 2012/12810-4 and from the National Research Council (CNPq), grant #573747/2008-3. B.F.B., M.P.G., and V.M.C. were fellows from the scientific initiation programme from FAPESP. Since the year 2001, all the TCu380A IUD were donated by Injeflex, São Paulo, Brazil, and from the year 2006 all the LNG-IUS were donated by the International Contraceptive Access Foundation (ICA), Turku, Finland. Both donations are as unrestricted grants. The authors declare that there are no conflicts of interest associated with this study.

Diet quality index adjusted for energy requirements in adults

This study aimed to develop a diet quality index (DQI-a) adjusted for energy requirement. Dietary intake of adults was assessed using 24-hour food recall. The DQI was developed for scores evenly distributed across ten items characterizing different aspects of diet: food groups, nutrients, and variety. The components categorized under the food groups from the Dietary Guide for Brazilians were adjusted according to the estimated energy requirements of the population studied. Index consistency and correlation with nutrients of the diet was analyzed by Cronbach's alpha. A total of 737 individuals were assessed and energy requirements ranged from 1,800 to 2,500kcal among women and 2,500 to 3,400kcal in men. The food group with greatest variation in total portions was cereals and tubers. Cronbach's alpha of the DQI-a was 0.643 and the index correlated with most of the nutrients. The DQI-a can be considered a valuable instrument for assessing diet quality of the Brazilian population.

Who should wear mask against airborne infections? Altering the contact network for controlling the spread of contagious diseases

There are several ways of controlling the propagation of a contagious disease. For instance, to reduce the spreading of an airborne infection, individuals can be encouraged to remain in their homes and/or to wear face masks outside their domiciles. However, when a limited amount of masks is available, who should use them: the susceptible subjects, the infective persons or both populations? Here we employ susceptible-infective-recovered (SIR) models described in terms of ordinary differential equations and probabilistic cellular automata in order to investigate how the deletion of links in the random complex network representing the social contacts among individuals affects the dynamics of a contagious disease. The inspiration for this study comes from recent discussions about the impact of measures usually recommended by health public organizations for preventing the propagation of the swine influenza A (H1N1) virus. Our answer to this question can be valid for other eco-epidemiological systems. (C) 2010 Elsevier BM. All rights reserved.

Language policy spread: Learning from health and social policy models

Except for a few large scale projects, language planners have tended to talk and argue among themselves rather than to see language policy development as an inherently political process. A comparison with a social policy example, taken from the United States, suggests that it is important to understand the problem and to develop solutions in the context of the political process, as this is where decisions will ultimately be made.

Breast cancer five-year survival, by New South Wales regions, 1980 to 1991

Breast cancer five-year relative survival was calculated for 16 urban and rural regions in New South Wales (NSW) for cases incident in 1980-1991. Survival analysis employed cancer registry data linked with the death register, and age- and period-matched regional mortality of NSW women, Proportional hazard regression analysis was used to compare excess mortality in breast cancer cases in each region. The effect of region was significant (P < 0.05) in the analysis, after age and the follow-up variable (and their intel action) were adjusted for, although no region was significantly different from the referent group (chosen because of average relative five-year survival). When degree of spread and its interactions were entered into che model, the effect of region became nonsignificant. A significant linear trend (P < 0.05) in the adjusted relative risk for excess mortality in breast cancer cases was noted when regions were divided into quartiles based on socioeconomic status, with higher relative risk in low-socioeconomic-status groups; this effect also disappeared with adjustment for degree of spread at diagnosis. There was no general effect of rurality versus capital city or other metropolitan centres. This study demonstrates a small effect of region of residence and implied socioeconomic status on breast cancer survival in NSW women, but this becomes nonsignificant when the data are adjusted for degree of spread at diagnosis, This suggests that earlier diagnosis would he of benefit in reducing minor inequalities in breast cancer survival in NSW women.

Controlling the clonal spread of Pseudomonas aeruginosa infection

To evaluate nosocomial infections due to imipenem-resistant and imipenem-susceptible Pseudomonas aeruginosa, a case-control study that included genotyping was performed. Hospitalization for more than 15 days was independently associated with infection with an imipenem-resistant organism. Sixty-seven percent of the imipenem-resistant isolates analyzed and 23% of the imipenem-susceptible isolates analyzed belonged to a single clone. Intervention led to a decrease in the number of infections due to imipenem-resistant and imipenem-susceptible P. aeruginosa.

Dissemination of bla(KPC-2) by the Spread of Klebsiella pneumoniae Clonal Complex 258 Clones (ST258, ST11, ST437) and Plasmids (IncFII, IncN, IncL/M) among Enterobacteriaceae Species in Brazil

This article reports the spread of bla(KPC-2) in the Sao Paulo and Rio de Janeiro states, facilitated by globally spread K. pneumoniae clonal complex 258 (CC258) clones (ST258, ST11, and ST437) and a diversity of plasmids (IncFII, IncN, and IncL/M, two untypeable plasmids carrying Tn4401a or Tn4401b) successfully disseminated among species of the Enterobacteriaceae (Enterobacter cloacae, Serratia marcescens, and Citrobacter freundii). It also constitutes the first description of sequence type 258 (ST258) in Brazil, which was associated with a nosocomial hospital outbreak in Ribeirao Preto city.

Bupivacaine 0.25% and methylene blue spread with epidural anesthesia in dog

Objective To evaluate the extent sensory and motor blocks produced by the epidural injection of different volumes of 0.25% bupivacaine (Bu) with methylene blue (MB), in dogs. Study design Prospective experimental trial. Animals Twenty healthy adult mongrel dogs, weighing 9.9 +/- 1.9 kg. Methods Dogs were randomly allocated into one of four groups that received 0.2, 0.4, 0.6 or 0.8 mL kg-1 of an epidural solution containing 0.25% Bu and MB. Sensory block was evaluated against time by pinching the tail, hind limb interdigital web, toenail bases and the skin over the vertebral dermatomes. Motor block was assessed by ataxia, hind limb weight-bearing ability and by loss of muscle tone of the tail and pelvic limbs. Data were collected at 2, 5, 10, 15 and 30 minutes after the end of epidural injection. After the final time point, dogs were euthanatized and laminectomies were conducted to expose the extent of the dural dye staining. Results The volumes 0.2, 0.4, 0.6 and 0.8 mL kg-1 of 0.25% Bu and MB blocked a mean of 5, 14.2, 20.2 and 21 dermatomes, respectively. The extent of the senory block increased up to a volume of 0.6 mL kg-1. Motor block was longer-lasting and more intense than sensory block. Complete dyeing of the spinal cord with MB was achieved in some dogs at 0.4 mL kg-1 and all dogs at 0.6 mL kg-1. Conclusions The volume of anesthetic injected into the epidural space plays an important role in the quality of the epidural anesthesia. At 0.25%, bupivacaine provided an efficient sensory block at 0.6 mL kg-1. Clinical relevance Relatively high volumes (0.6 mL kg-1) of 0.25%, BU and MB were needed to produce an effective sensory and motor block caudal to the umbilicus, but all spinal cord segments were reached by MB at this dose.