Price discovery in commercial mortgage backed securities : what factors determine pricing at origination and after origination in the CMBS market

Thesis (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Urban Studies and Planning, Center for Real Estate, 2008 [first author]; and, (S.M. in Real Estate Development)--Massachusetts Institute of Technology, Dept. of Architecture, Center for Real Estate, 2008 [second author].Includes bibliographical references (leaf 52).The commercial mortgage-backed securities (CMBS) market has vastly evolved over the last decade, but it remains a very private and proprietary market in comparison to other bond markets such as corporate or municipal bonds. The formation of CMBS data source providers such as Trepp and Intex in recent years has added transparency to the market, but large gaps still remain in available information for CMBS investors, particularly in the secondary trading market. This thesis examines pricing of CMBS at origination, when it is sold by the issuer, and after origination, when it is traded in the secondary market. Using a sample of AAA rated CMBS this thesis seeks to determine which factors influence price at origination and after. This thesis is essentially split into two separate studies, one examining pricing at origination and the other pricing after origination. For both parts, regression analyses were performed on fifty AAA rated securities issued from June of 2001 to December of 2006. All deal level information was provided by Trepp, while JP Morgan Chase provided historical AAA rated CMBS market information as a comparison. Secondary pricing data, based on a proprietary pricing model was also provided by Trepp. A small sample of data from actual closed transactions in the secondary market was supplied by Morgan Stanley for comparison. The results of the first part of this thesis are very similar to previous works done on the topic and show that Debt Service Coverage Ratios, geographic concentration, and property type are all important factors in determining the initial price of a CMBS issuance. The results of the price at origination study show that investors preferred seasoned CMBS deals over new issues even though the fact that overall market spreads decreased during the studies time frame.(cont.) This preference suggests that investors were more attracted to seasoned CMBS than they were to newer issuances. The second part of this thesis illustrated a similar inclination by investors to more seasoned CMBS in the secondary trading market. The authors conclude that variations do exist in the pricing of CMBS in the secondary trading market and that overall the market has significant enough transparency to incorporate different factors into investment decisions.by Emily R. Schwartz & Matthew Warner.S.M.in Real Estate Developmen

Primary cilia as the nexus of biophysical and hedgehog signaling at the tendon enthesis

The tendon enthesis is a fibrocartilaginous tissue critical for transfer of muscle forces to bone. Enthesis pathologies are common, and surgical repair of tendon to bone is plagued by high failure rates. At the root of these failures is a gap in knowledge of how the tendon enthesis is formed and maintained. We tested the hypothesis that the primary cilium is a hub for transducing biophysical and hedgehog (Hh) signals to regulate tendon enthesis formation and adaptation to loading. Primary cilia were necessary for enthesis development, and cilia assembly was coincident with Hh signaling and enthesis mineralization. Cilia responded inversely to loading; increased loading led to decreased cilia and decreased loading led to increased cilia. Enthesis responses to loading were dependent on Hh signaling through cilia. Results imply a role for tendon enthesis primary cilia as mechanical responders and Hh signal transducers, providing a therapeutic target for tendon enthesis pathologies

Multidirectional leveraging for computational morphology and language documentation and revitalization

St. Lawrence Island Yupik is an endangered language of the Bering Strait region. In this paper, we describe our work on Yupik jointly leveraging computational morphology and linguistic fieldwork, outlining the multilayer virtuous cycle that we continue to refine in our work to document and build tools for the language. After developing a preliminary morphological analyzer from an existing pedagogical grammar of Yupik, we used it to help analyze new word forms gathered through fieldwork. While in the field, we augmented the analyzer to include insights into the lexicon, phonology, and morphology of the language as they were gained during elicitation sessions and subsequent data analysis. The analyzer and other tools we have developed are improved by a corpus that continues to grow through our digitization and documentation efforts, and the computational tools in turn allow us to improve and speed those same efforts. Through this process, we have successfully identified previously undescribed lexical, morphological, and phonological processes in Yupik while simultaneously increasing the coverage of the morphological analyzer. Given the polysynthetic nature of Yupik, a high-coverage morphological analyzer is a necessary prerequisite for the development of other high-level computational tools that have been requested by the Yupik community.National Foreign Language Resource Cente

Air Pollution Exposure and Abnormal Glucose Tolerance during Pregnancy: The Project Viva Cohort

Background: Exposure to fine particulate matter (PM with diameter ≤ 2.5 μm; PM2.5) has been linked to type 2 diabetes mellitus, but associations with hyperglycemia in pregnancy have not been well studied. Methods: We studied Boston, Massachusetts–area pregnant women without known diabetes. We identified impaired glucose tolerance (IGT) and gestational diabetes mellitus (GDM) during pregnancy from clinical glucose tolerance tests at median 28.1 weeks gestation. We used residential addresses to estimate second-trimester PM2.5 and black carbon exposure via a central monitoring site and spatiotemporal models. We estimated residential traffic density and roadway proximity as surrogates for exposure to traffic-related air pollution. We performed multinomial logistic regression analyses adjusted for sociodemographic covariates, and used multiple imputation to account for missing data. Results: Of 2,093 women, 65 (3%) had IGT and 118 (6%) had GDM. Second-trimester spatiotemporal exposures ranged from 8.5 to 15.9 μg/m3 for PM2.5 and from 0.1 to 1.7 μg/m3 for black carbon. Traffic density was 0–30,860 vehicles/day × length of road (kilometers) within 100 m; 281 (13%) women lived ≤ 200 m from a major road. The prevalence of IGT was elevated in the highest (vs. lowest) quartile of exposure to spatiotemporal PM2.5 [odds ratio (OR) = 2.63; 95% CI: 1.15, 6.01] and traffic density (OR = 2.66; 95% CI: 1.24, 5.71). IGT also was positively associated with other exposure measures, although associations were not statistically significant. No pollutant exposures were positively associated with GDM. Conclusions: Greater exposure to PM2.5 and other traffic-related pollutants during pregnancy was associated with IGT but not GDM. Air pollution may contribute to abnormal glycemia in pregnancy. Citation: Fleisch AF, Gold DR, Rifas-Shiman SL, Koutrakis P, Schwartz JD, Kloog I, Melly S, Coull BA, Zanobetti A, Gillman MW, Oken E. 2014. Air pollution exposure and abnormal glucose tolerance during pregnancy: the Project Viva Cohort. Environ Health Perspect 122:378–383; http://dx.doi.org/10.1289/ehp.130706

Residential Proximity to Major Roadways at Birth, DNA Methylation at Birth and Midchildhood, and Childhood Cognitive Test Scores: Project Viva(Massachusetts, USA).

BackgroundEpigenetic variability is hypothesized as a regulatory pathway through which prenatal exposures may influence child development and health.ObjectiveWe sought to examine the associations of residential proximity to roadways at birth and epigenome-wide DNA methylation. We also assessed associations of differential methylation with child cognitive outcomes.MethodsWe estimated residential proximity to roadways at birth using a geographic information system (GIS) and cord blood methylation using Illumina's HumanMethylation450-array in 482 mother-child pairs in Project Viva. We identified individual CpGs associated with residential-proximity-to-roadways at birth using robust linear regression [[Formula: see text]]. We also estimated association between proximity-to-roadways at birth and methylation of the same sites in blood samples collected at age 7-11 y ([Formula: see text]). We ran the same analyses in the Generation R Study for replication ([Formula: see text]). In Project Viva, we investigated associations of differential methylation at birth with midchildhood cognition using linear regression.ResultsLiving closer to major roadways at birth was associated with higher cord blood (and-more weakly-midchildhood blood) methylation of four sites in LAMB2. For each halving of residential-proximity-to-major-roadways, we observed a 0.82% increase in DNA methylation at cg05654765 [95% confidence interval (CI): (0.54%, 1.10%)], 0.88% at cg14099457 [95% CI: (0.56%, 1.19%)], 0.19% at cg03732535 [95% CI: (0.11%, 0.28)], and 1.08% at cg02954987 [95% CI: (0.65%, 1.51%)]. Higher cord blood methylation of these sites was associated with lower midchildhood nonverbal cognitive scores. Our results did not replicate in the Generation R Study.ConclusionsOur discovery results must be interpreted with caution, given that they were not replicated in a separate cohort. However, living close to major roadways at birth was associated with cord blood methylation of sites in LAMB2-a gene known to be linked to axonal development-in our U.S. cohort. Higher methylation of these sites associated with lower nonverbal cognitive scores at age 7-11 y in the same children. https://doi.org/10.1289/EHP2034

Health-related quality of life and its determinants during and after treatment for paediatric acute lymphoblastic leukaemia:a national, prospective, longitudinal study in the Netherlands

OBJECTIVES: Health-related quality of life (HRQoL) is impaired in paediatric patients with acute lymphoblastic leukaemia (ALL). Over the past decades, ALL treatment has successfully been adjusted to the risk of relapse, which is now reflected by the stratification of patients into three risk groups who receive treatment of differing intensities. This study is the first to evaluate the longitudinal course of HRQoL in light of these adjustments and identify determinants of HRQoL. DESIGN: Two prospective, national cohort studies (add-on studies within the two most recent treatment protocols for children with ALL (ALL-10 and ALL-11)). SETTING: Dutch paediatric oncology hospitals between October 2006 and October 2009 (ALL-10) and between August 2013 and July 2017 (ALL-11).PARTICIPANTS: Patients with ALL (2-18 years) are treated according to the ALL-10 or ALL-11 treatment protocol. Patients treated according to the ALL-10 protocol only completed a cancer-specific QoL measure and patients treated according to the ALL-11 protocol completed both a cancer-specific and generic QoL measure (see below). OUTCOME MEASURES: HRQoL, assessed with parent-proxy questionnaires (PedsQL Generic and Cancer module) within the first 5 months (T0), at 1 year (T1), 2 years (T2) and 3 years (T3) after diagnosis. The proportion of patients with clinically relevant generic HRQoL impairment was compared with healthy norm values. Multivariable mixed model analyses were used to evaluate the development of HRQoL over time and its medical and sociodemographic determinants (collected on enrolment). RESULTS: Of the ALL-10 cohort, 132 families participated and of the ALL-11 cohort, 136 families participated (268 total). Thus, cancer-specific HRQoL assessments were available for 268 patients (median age 5.3 years (IQR 6.15), 56.0% boys, 69.0% medium-risk ALL), and generic HRQoL assessments for 136 patients (median age 4.8 years (IQR 6.13), 60.3% boys, 75.0% medium-risk ALL). Generic HRQoL improved between timepoints T0 and T3 (total score B 16.1, 95% CI 12.2 to 20.1, p&lt;0.001), but did not restore to normal 1 year after the end of treatment: 28.0% of children remained impaired compared with 16% in the general population (p=0.003). Cancer-specific HRQoL generally improved from T0 to T2 (Pain B 11.3, 95% CI 7.1 to 15.5; Nausea B 11.7, 8.4 to 15.1; Procedural Anxiety B 19.1, 14.8 to 23.4; Treatment Anxiety B 12.8, 9.5 to 16.0; Worry B 3.5, 0.6 to 6.3; Communication B 8.5, 5.0 to 11.9; all p&lt;0.001 except for Worry (p=0.02)), while Physical Appearance and Cognitive Functioning remained stable. Higher treatment intensity and experiencing pain or simultaneous chronic illness were associated with lower HRQoL over time for multiple subscales. CONCLUSIONS: HRQoL impairment is prevalent during and after ALL treatment. Patients with standard-risk ALL and reduced treatment intensity have better HRQoL than patients in higher risk groups. Systematic monitoring of HRQoL is of utmost importance in order to provide timely psychosocial interventions and supportive care.</p

Pre-encounter predictions of DART impact ejecta behavior and observability

We overview various efforts within the DART Investigation Team’s Ejecta Working Group to predict the characteristics, quantity, dynamical behavior, and observability of DART impact ejecta. We discuss various methodologies for simulation of the impact/cratering process with their advantages and drawbacks in relation to initializing ejecta for subsequent dynamical propagation through and away from the Didymos system. We discuss the most relevant forces acting on ejecta once decoupled from Dimorphos’s surface and highlight various software packages we have developed and used to dynamically simulate ejecta under the action of those forces. With some additional software packages, we explore the influence of additional perturbing effects, such as interparticle collisions within true N-body codes and nonspherical and rotating particles’ interplay with solar radiation pressure. We find that early-timescale and close-proximity ejecta evolution is highly sensitive to some of these effects (e.g., collisions) while relatively insensitive to other factors. We present a methodology for turning the time-evolving size- and spatially discretized number density field output from ejecta simulations into synthetic images for multiple platforms/cameras over wide-ranging vantage points and timescales. We present such simulated images and apply preliminary analyses to them for nominal and off-nominal cases bracketing realistic total mass of ejecta and ejecta cumulative size–frequency distribution slope. Our analyses foreshadow the information content we may be able to extract from the actual images taken during and after the DART encounter by both LICIACube and Earth-vicinity telescopes.ANII: FCE_1_2019_1_15645

Prenatal Exposure to Traffic Pollution and Childhood Body Mass Index Trajectory

Background: Limited evidence suggests an association between prenatal exposure to traffic pollution and greater adiposity in childhood, but the time window during which growth may be most affected is not known.Methods: We studied 1,649 children in Project Viva, a Boston-area pre-birth cohort. We used spatiotemporal models to estimate prenatal residential air pollution exposures and geographic information systems to estimate neighborhood traffic density and roadway proximity. We used weight and stature measurements at clinical and research visits to estimate a BMI trajectory for each child with mixed-effects natural cubic spline models. In primary analyses, we examined associations of residential PM2.5 and black carbon (BC) exposures during the third trimester and neighborhood traffic density and home roadway proximity at birth address with (1) estimated BMI at 6 month intervals through 10 years of age, (2) magnitude and timing of BMI peak and rebound, and (3) overall BMI trajectory. In secondary analyses, we examined associations of residential PM2.5 and BC exposures during the first and second trimesters with BMI outcomes.Results: Median (interquartile range; IQR) concentration of residential air pollution during the third trimester was 11.4 (1.7) μg/m3 for PM2.5 and 0.7 (0.3) μg/m3 for BC. Participants had a median (IQR) of 13 (7) clinical or research BMI measures from 0 to 10 years of age. None of the traffic pollution exposures were significantly associated with any of the BMI outcomes in covariate-adjusted models, although effect estimates were in the hypothesized direction for neighborhood traffic density and home roadway proximity. For example, greater neighborhood traffic density [median (IQR) 857 (1,452) vehicles/day x km of road within 100 m of residential address at delivery] was associated with a higher BMI throughout childhood, with the strongest associations in early childhood [e.g., per IQR increment natural log-transformed neighborhood traffic density, BMI at 12 months of age was 0.05 (−0.03, 0.13) kg/m2 higher and infancy peak BMI was 0.05 (−0.03, 0.14) kg/m2 higher].Conclusions: We found no evidence for a persistent effect of prenatal exposure to traffic pollution on BMI trajectory from birth through mid-childhood in a population exposed to modest levels of air pollution

Residential PM2.5 exposure and the nasal methylome in children

Rationale: PM2.5-induced adverse effects on respiratory health may be driven by epigenetic modifications in airway cells. The potential impact of exposure duration on epigenetic alterations in the airways is not yet known. Objectives: We aimed to study associations of fine particulate matter PM2.5 exposure with DNA methylation in nasal cells. Methods: We conducted nasal epigenome-wide association analyses within 503 children from Project Viva (mean age 12.9 y), and examined various exposure durations (1-day, 1-week, 1-month, 3-months and 1-year) prior to nasal sampling. We used residential addresses to estimate average daily PM2.5 at 1 km resolution. We collected nasal swabs from the anterior nares and measured DNA methylation (DNAm) using the Illumina Methylation EPIC BeadChip. We tested 719,075 high quality autosomal CpGs using CpG-by-CpG and regional DNAm analyses controlling for multiple comparisons, and adjusted for maternal education, household smokers, child sex, race/ethnicity, BMI z-score, age, season at sample collection and cell-type heterogeneity. We further corrected for bias and genomic inflation. We tested for replication in a cohort from the Netherlands (PIAMA). Results: In adjusted analyses, we found 362 CpGs associated with 1-year PM2.5 (FDR < 0.05), 20 CpGs passing Bonferroni correction (P < 7.0 x 10(-8)) and 10 Differentially Methylated Regions (DMRs). In 445 PIAMA participants (mean age 16.3 years) 11 of 203 available CpGs replicated at P < 0.05. We observed differential DNAm at/ near genes implicated in cell cycle, immune and inflammatory responses. There were no CpGs or regions associated with PM2.5 levels at 1-day, 1-week, or 1-month prior to sample collection, although 2 CpGs were associated with past 3-month PM2.5. Conclusion: We observed wide-spread DNAm variability associated with average past year PM2.5 exposure but we did not detect associations with shorter-term exposure. Our results suggest that nasal DNAm marks reflect chronic air pollution exposure