A Market Model of Interest Rates with Dynamic Basis Spreads in the presence of Collateral and Multiple Currencies

The recent financial crisis caused dramatic widening and elevated volatilities among basis spreads in cross currency as well as domestic interest rate markets. Furthermore, the wide spread use of cash collateral, especially in fixed income contracts, has made the effective funding cost of financial institutions for the trades significantly different from the Libor of the corresponding payment currency. Because of these market developments, the text-book style application of a market model of interest rates has now become inappropriate for financial firms; It cannot even reflect the exposures to these basis spreads in pricing, to say nothing of proper delta and vega (or kappa) hedges against their movements. This paper presents a new framework of the market model to address all these issues.

Collateral Posting and Choice of Collateral Currency -Implications for Derivative Pricing and Risk Management-

In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the ?choice? of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded ?cheapest-to-deliver? option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.

A Note on Construction of Multiple Swap Curves with and without Collateral

There are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.

"Collateral Posting and Choice of Collateral Currency - Implications for Derivative Pricing and Risk Management-"

In recent years, we have observed the dramatic increase of the use of collateral as an important credit risk mitigation tool. It has become even rare to make a contract without collateral agreement among the major financial institutions. In addition to the significant reduction of the counterparty exposure, collateralization has important implications for the pricing of derivatives through the change of effective funding cost. This paper has demonstrated the impact of collateralization on the derivative pricing by constructing the term structure of swap rates based on the actual market data. It has also shown the importance of the "choice" of collateral currency. Especially, when the contract allows multiple currencies as eligible collateral and free replacement among them, the paper has found that the embedded "cheapest-to-deliver" option can be quite valuable and significantly change the fair value of a trade. The implications of these findings for market risk management have been also discussed.

"A Note on Construction of Multiple Swap Curves with and without Collateral"

There are now available wide variety of swap products which exchange Libors with different currencies and tenors. Furthermore, the collateralization is becoming more and more popular due to the increased attention to the counter party credit risk. These developments require clear distinction among different type of Libors and the discounting rates. In this brief note, we will explain the method to construct the multiple swap curves consistently with all the relevant swaps with and without a collateral agreement.

Optical resolution of DL-Amino acids on cellulose and its applications

Since Pasteur\u27s discovery for asymmetrical tartarate,optical isomers have been widely investigated.Especially,biomolecules are characterized by the asymmetry,although both D- and L-isomers symmetrically ...Thesis--University of Tsukuba, D.Agr.(B), no. 590, 1990. 3. 2

タイショウタイ ニ タイスル コウソ カッセイ オヨビ カッセイ ブイ ノ ヒカク ニ モトズク ホモキラリティー ノ キゲン ノ ケントウ

ホモキラリティーの起源の問題はパスツールが光学活性体を発見して以来多くの科学者の興味を引きつけてきた。この問題はこれまで非生物的要因、すなわち物理・化学から検討されてきた。しかし、光学異性体を ...研究代表者: 島田秋彦研究課題番号: 1068056

Tryptophanase-Catalyzed l-Tryptophan Synthesis from d-Serine in the Presence of Diammonium Hydrogen Phosphate

Tryptophanase, an enzyme with extreme absolute stereospecificity for optically active stereoisomers, catalyzes the synthesis of l-tryptophan from l-serine and indole through a β-substitution mechanism of the ping-pong type, and has no activity on d-serine. We previously reported that tryptophanase changed its stereospecificity to degrade d-tryptophan in highly concentrated diammonium hydrogen phosphate, (NH4)2HPO4 solution. The present study provided the same stereospecific change seen in the d-tryptophan degradation reaction also occurs in tryptophan synthesis from d-serine. Tryptophanase became active to d-serine to synthesize l-tryptophan in the presence of diammonium hydrogen phosphate. This reaction has never been reported before. d-serine seems to undergo β-replacement via an enzyme-bonded α-aminoacylate intermediate to yield l-tryptophan