Does the Tail Wag the Dog? The Price Impact of CDS Trading

Session 4: Trading and Pricing in CDS MarketsWe investigate empirically whether credit default swaps (CDS) spreads are influenced by shifts in demand/supply dynamics in the market. We find that while changes in CDS spreads are insensitive to accumulated trading volume, net buying interest (NBI), a measure we construct to measure latent trade imbalance between consecutive trades, significantly affects CDS price changes. This price impact appears to be statistically significant even in the absence of concomitant stock price changes, but its economic magnitude is on par with the average bid-ask spread. While changes in fundamental information contribute to the price impact of net buying interest, liquidity of CDS contracts is another factor. We show that the effect of NBI is three times stronger in the least liquid CDS contracts than in the most liquid CDS contracts. Furthermore, exogenous supply shocks attenuate the initial price impact and accelerate the subsequent price reversal.postprin

Market conditions, default risk and credit spreads

This study empirically examines the impact of the interaction between market and default risk on corporate credit spreads. Using credit default swap (CDS) spreads, we find that average credit spreads decrease in GDP growth rate, but increase in GDP growth volatility and jump risk in the equity market. At the market level, investor sentiment is the most important determinant of credit spreads. At the firm level, credit spreads generally rise with cash flow volatility and beta, with the effect of cash flow beta varying with market conditions. We identify implied volatility as the most significant determinant of default risk among firm-level characteristics. Overall, a major portion of individual credit spreads is accounted for by firm-level determinants of default risk, while macroeconomic variables are directly responsible for a lesser portion. © 2009 Elsevier B.V. All rights reserved.postprin

All-Solid-State Batteries Using Rationally Designed Garnet Electrolyte Frameworks

Functioning bulk-type all-solid-state batteries in a practical form factor with composite positive electrodes, using Al-substituted Li7La3Zr2O12 (LLZO) as the solid electrolyte, have been demonstrated for the first time. The devices incorporate bilayers composed of dense LLZO membranes and porous LLZO scaffolds infiltrated with LiNi0.6Mn0.2Co0.2O2 and other components as positive electrodes, combined with lithium anodes. The porous scaffolds are prepared using an easily scaled freeze-tape-casting method. The unidirectional pores of the scaffold facilitate infiltration of cathode components and shorten lithium ion diffusion path lengths, while the addition of a soft ionically conductive solid to the scaffold ensures good contact among the components

Weight loss surgery in adolescents corrects high-density lipoprotein subspecies and their function.

Background/objectiveYouth with obesity have an altered high-density lipoprotein (HDL) subspecies profile characterized by depletion of large apoE-rich HDL particles and an enrichment of small HDL particles. The goal of this study was to test the hypothesis that this atherogenic HDL profile is reversible and that HDL function would improve with metabolic surgery.MethodsSerum samples from adolescent males with severe obesity mean±s.d. age of 17.4±1.6 years were studied at baseline and 1 year following vertical sleeve gastrectomy (VSG). HDL subspecies and HDL function were evaluated pre and post VSG using paired t-tests. A lean group of adolescents was included as a reference group.ResultsAfter VSG, body mass index decreased by 32% and insulin resistance as estimated by homeostatic model assessment of insulin resistance decreased by 75% (both P<0.01). Large apoE-rich HDL subspecies increased following VSG (P<0.01) and approached that of lean adolescents despite participants with considerable residual obesity. In addition, HDL function improved compared with baseline (cholesterol efflux capacity increased by 12%, HDL lipid peroxidation potential decreased by 30% and HDL anti-oxidative capacity improved by 25%, all P<0.01).ConclusionsMetabolic surgery results in a significant improvement in the quantity of large HDL subspecies and HDL function. Our data suggest metabolic surgery may improve cardiovascular risk in adolescents and young adults

Airspace Saturation and Midair Collision Risk: A Case Study at a Class D Airport

Near midair collisions are precursor events to actual collisions and may be an indicator of risk. While previous studies have used reports of near midair collisions to relate factors such as airspace saturation to near midair collisions, the reports relied upon were generally subjective in nature. With the adoption of automatic dependent surveillance-broadcast (ADS-B), the approximate position of every equipped aircraft can be recorded. A six-month case study was performed at the Purdue University airport to relate the number of 1000-foot proximity events to airspace saturation, and whether the Class D airspace affected this relationship. Through a logistic regression analysis, it was found that the risk of a proximity event increases exponentially as a function of airspace saturation. While the Class D airspace had a higher baseline risk of a proximity event, the risk increased at a lesser rate compared with that of uncontrolled airspace. The findings of this study serve as a proof-of-concept for the use of ADS-B in studying collision risks and aircraft interactions. The study offers a glimpse of the relationship between airspace saturation and midair collision risk, and can be repeated and built upon to provide further insight into the factors affecting midair collision risks at other airports or on a larger scale

The quasi-one-dimensional character of spin waves in K2Fe7Se8

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Haloalkaliphilic spore-forming sulfidogens from soda lake sediments and description of Desulfitispora alkaliphila gen. nov., sp. nov.

An anaerobic enrichment with pyruvate as electron donor and thiosulfate at pH 10 and 0.6 M Na+ inoculated with pasteurized soda lake sediments resulted in a sulfidogenic coculture of two morphotypes of obligately anaerobic haloalkaliphilic endospore-forming clostridia, which were further isolated in pure culture. Strain AHT16 was a thin long rod able to ferment sugars and pyruvate and to respire H2, formate and pyruvate using thiosulfate and fumarate as electron acceptors and growing optimally at pH 9.5. Thiosulfate was reduced incompletely to sulfide and sulfite. The strain was closely related (99% sequence similarity) to a peptolytic alkaliphilic clostridium Natronincola peptidovorans. Strain AHT17 was a short rod with a restricted respiratory metabolism, growing with pyruvate and lactate as electron donor and sulfite, thiosulfate and elemental sulfur as electron acceptors with a pH optimum 9.5. Thiosulfate was reduced completely via sulfite to sulfide. The ability of AHT17 to use sulfite explained the stability of the original coculture of the two clostridia—one member forming sulfite from thiosulfate and another consuming it. Strain AHT17 formed an independent deep phylogenetic lineage within the Clostridiales and is proposed as a new genus and species Desulfitisporum alkaliphilum gen. nov., sp. nov. (=DSM 22410T = UNIQEM U794T)