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

Feeling able to say it like it is: a case for using focus groups in programme evaluation with international cohorts

In today’s cost- and efficiency-conscious environment there may be resistance amongst HEIs to use informal verbal approaches to programme evaluation, such as focus groups, due to their resource-intensive nature. There may also be a lack of confidence amongst staff working with international cohorts about having the necessary skills to facilitate evaluative discussion and create an atmosphere of trust and openness. Drawing directly from three years’ experience of directing a Finance programme with an international cohort of four to ten students in a UK University, this paper argues that focus groups offer an invaluable source of rich feedback. As the HE sector prepares for the TEF, and Business, Management and Finance dealing programmes continue to rely on high numbers of international students, this is an opportune time for programme directors to reflect on how their commitment to teaching excellence is evidenced beyond rhetoric and box-ticking. The value of making space for the student voice is not limited to T&L enhancement, but includes: • helping students to develop reflective and critical thinking • enabling them to negotiate programme changes • engaging students with issues concerning their learning experience • ensuring that diversity and inclusion are central to discussion agendas • forging HEI-students partnership in the learning process

Explaining CDS prices with Merton's model before and after the Lehman default

We examine whether CDS prices around the Credit Crisis can be explained with Merton's model. First we invert the model with market prices to reveal skewed volatility smiles over the whole 2005-2012 period. Then we calibrate the model to pre-Crisis data in two novel ways that allow for skewness, one based on equity-index options (MEIV) and the other on the sensitivity of CDS prices to equity volatility (MSKEW). In out-of-sample forecasts both calibrations match the in-Crisis peak of prices, but the second is better at capturing the systematic component of prices thereafter. Average CDS prices remain at twice their pre-Crisis level long after that event; the MSKEW calibration demonstrates that this is due to extra idiosyncratic risks, which are important for some firms but have negligible impact on others

Determinants of intraday dynamics and collateral selection in centrally cleared and bilateral repos

Using a novel dataset, we study intraday trades of overnight general collateral repurchase agreements (repos) on Italian government bonds. We focus both on repos cleared by central counterparties (CCPs) and traded bilaterally. Intraday bond supply, liquidity and duration significantly affect the spread of repo rates over the European Central Bank (ECB) deposit rate, but after the ECB quantitative easing interventions this impact is much reduced. During the European sovereign debt crisis, the increase in margins further deteriorates repo costs, creating a negative procyclical effect. Once we control for the impact of margin costs, CCP-based repos do not appear to be significantly cheaper than bilateral repos. We also show that bonds with lower liquidity and specialness, greater supply and longer duration are more likely to be selected as collateral. However, during the crisis, CCP-repo borrowers choose collateral bonds with higher liquidity and lower duration to reduce margin and repo trading cost

The impact of trade reporting and central clearing on CDS price informativeness

We find that the magnitude of unique credit default swap (CDS) market information (constructed to be orthogonal to contemporaneous and lagged stock returns) declined after recent reforms that increased the level of post-trade regulatory and market transparency for CDSs. Around the same reforms, the ability of this CDS-unique information to predict future stock returns decreased. These results suggest the CDS market has become less of a “hidden” trading venue for informed investors since central clearing and trade reporting started

Explaining co-movements between equity and CDS bid-ask spreads

In this paper I show that the co-movements between bid-ask spreads of equities and credit default swaps vary over time and increase over crisis periods. The co-movements are strongly related to systematic risk factors and to the theoretical debt-to-equity hedge ratio. I document that hedging and asymmetric information, besides higher funding costs and market volatility risk, are driving factors of the commonality and are significantly priced in CDS bid-ask spreads

Alu insertion polymorphisms shared by Papio baboons and Theropithecus gelada reveal an intertwined common ancestry

© 2019 The Author(s). Background: Baboons (genus Papio) and geladas (Theropithecus gelada) are now generally recognized as close phylogenetic relatives, though morphologically quite distinct and generally classified in separate genera. Primate specific Alu retrotransposons are well-established genomic markers for the study of phylogenetic and population genetic relationships. We previously reported a computational reconstruction of Papio phylogeny using large-scale whole genome sequence (WGS) analysis of Alu insertion polymorphisms. Recently, high coverage WGS was generated for Theropithecus gelada. The objective of this study was to apply the high-Throughput poly-Detect method to computationally determine the number of Alu insertion polymorphisms shared by T. gelada and Papio, and vice versa, by each individual Papio species and T. gelada. Secondly, we performed locus-specific polymerase chain reaction (PCR) assays on a diverse DNA panel to complement the computational data. Results: We identified 27,700 Alu insertions from T. gelada WGS that were also present among six Papio species, with nearly half (12,956) remaining unfixed among 12 Papio individuals. Similarly, each of the six Papio species had species-indicative Alu insertions that were also present in T. gelada. In general, P. kindae shared more insertion polymorphisms with T. gelada than did any of the other five Papio species. PCR-based genotype data provided additional support for the computational findings. Conclusions: Our discovery that several thousand Alu insertion polymorphisms are shared by T. gelada and Papio baboons suggests a much more permeable reproductive barrier between the two genera then previously suspected. Their intertwined evolution likely involves a long history of admixture, gene flow and incomplete lineage sorting

The role of APOBEC3B in lung tumor evolution and targeted cancer therapy resistance

In this study, the impact of the apolipoprotein B mRNA-editing catalytic subunit-like (APOBEC) enzyme APOBEC3B (A3B) on epidermal growth factor receptor (EGFR)-driven lung cancer was assessed. A3B expression in EGFR mutant (EGFRmut) non-small-cell lung cancer (NSCLC) mouse models constrained tumorigenesis, while A3B expression in tumors treated with EGFR-targeted cancer therapy was associated with treatment resistance. Analyses of human NSCLC models treated with EGFR-targeted therapy showed upregulation of A3B and revealed therapy-induced activation of nuclear factor kappa B (NF-κB) as an inducer of A3B expression. Significantly reduced viability was observed with A3B deficiency, and A3B was required for the enrichment of APOBEC mutation signatures, in targeted therapy-treated human NSCLC preclinical models. Upregulation of A3B was confirmed in patients with NSCLC treated with EGFR-targeted therapy. This study uncovers the multifaceted roles of A3B in NSCLC and identifies A3B as a potential target for more durable responses to targeted cancer therapy.</p

Serum Albumin Is Inversely Associated With Portal Vein Thrombosis in Cirrhosis

We analyzed whether serum albumin is independently associated with portal vein thrombosis (PVT) in liver cirrhosis (LC) and if a biologic plausibility exists. This study was divided into three parts. In part 1 (retrospective analysis), 753 consecutive patients with LC with ultrasound-detected PVT were retrospectively analyzed. In part 2, 112 patients with LC and 56 matched controls were entered in the cross-sectional study. In part 3, 5 patients with cirrhosis were entered in the in vivo study and 4 healthy subjects (HSs) were entered in the in vitro study to explore if albumin may affect platelet activation by modulating oxidative stress. In the 753 patients with LC, the prevalence of PVT was 16.7%; logistic analysis showed that only age (odds ratio [OR], 1.024; P = 0.012) and serum albumin (OR, -0.422; P = 0.0001) significantly predicted patients with PVT. Analyzing the 112 patients with LC and controls, soluble clusters of differentiation (CD)40-ligand (P = 0.0238), soluble Nox2-derived peptide (sNox2-dp; P &lt; 0.0001), and urinary excretion of isoprostanes (P = 0.0078) were higher in patients with LC. In LC, albumin was correlated with sCD4OL (Spearman's rank correlation coefficient [r(s)], -0.33; P &lt; 0.001), sNox2-dp (r(s), -0.57; P &lt; 0.0001), and urinary excretion of isoprostanes (r(s), -0.48; P &lt; 0.0001) levels. The in vivo study showed a progressive decrease in platelet aggregation, sNox2-dp, and urinary 8-iso prostaglandin F2 alpha-III formation 2 hours and 3 days after albumin infusion. Finally, platelet aggregation, sNox2-dp, and isoprostane formation significantly decreased in platelets from HSs incubated with scalar concentrations of albumin. Conclusion: Low serum albumin in LC is associated with PVT, suggesting that albumin could be a modulator of the hemostatic system through interference with mechanisms regulating platelet activation

Colorectal Cancer Stage at Diagnosis Before vs During the COVID-19 Pandemic in Italy

IMPORTANCE Delays in screening programs and the reluctance of patients to seek medical attention because of the outbreak of SARS-CoV-2 could be associated with the risk of more advanced colorectal cancers at diagnosis. OBJECTIVE To evaluate whether the SARS-CoV-2 pandemic was associated with more advanced oncologic stage and change in clinical presentation for patients with colorectal cancer. DESIGN, SETTING, AND PARTICIPANTS This retrospective, multicenter cohort study included all 17 938 adult patients who underwent surgery for colorectal cancer from March 1, 2020, to December 31, 2021 (pandemic period), and from January 1, 2018, to February 29, 2020 (prepandemic period), in 81 participating centers in Italy, including tertiary centers and community hospitals. Follow-up was 30 days from surgery. EXPOSURES Any type of surgical procedure for colorectal cancer, including explorative surgery, palliative procedures, and atypical or segmental resections. MAIN OUTCOMES AND MEASURES The primary outcome was advanced stage of colorectal cancer at diagnosis. Secondary outcomes were distant metastasis, T4 stage, aggressive biology (defined as cancer with at least 1 of the following characteristics: signet ring cells, mucinous tumor, budding, lymphovascular invasion, perineural invasion, and lymphangitis), stenotic lesion, emergency surgery, and palliative surgery. The independent association between the pandemic period and the outcomes was assessed using multivariate random-effects logistic regression, with hospital as the cluster variable. RESULTS A total of 17 938 patients (10 007 men [55.8%]; mean [SD] age, 70.6 [12.2] years) underwent surgery for colorectal cancer: 7796 (43.5%) during the pandemic period and 10 142 (56.5%) during the prepandemic period. Logistic regression indicated that the pandemic period was significantly associated with an increased rate of advanced-stage colorectal cancer (odds ratio [OR], 1.07; 95%CI, 1.01-1.13; P = .03), aggressive biology (OR, 1.32; 95%CI, 1.15-1.53; P &lt; .001), and stenotic lesions (OR, 1.15; 95%CI, 1.01-1.31; P = .03). CONCLUSIONS AND RELEVANCE This cohort study suggests a significant association between the SARS-CoV-2 pandemic and the risk of a more advanced oncologic stage at diagnosis among patients undergoing surgery for colorectal cancer and might indicate a potential reduction of survival for these patients