The cost of counterparty risk and collateralization in longevity swaps

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. For typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest-rate swaps market (as a result of the offsetting effects of interest rate and longevity risks), which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions.longevity swap; counterparty risk; default risk; collateral; marking-to-market

Impact of Caloric Intake on Parenteral Nutrition–Associated Intestinal Morphology and Mucosal Barrier Function

Peer Reviewedhttps://deepblue.lib.umich.edu/bitstream/2027.42/142275/1/jpen0474.pd

The role of counterparty risk and collateral in longevity swaps *

Abstract Longevity swaps allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated or eliminated by collateralization. In this study, we examine the impact of bilateral default risk and collateralization rules on the marking to market of longevity swaps. In particular, we show how different rules for posting collateral during the life of the swap may affect longevity swap rates

The cost of counterparty risk and collateralization in longevity swaps

Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by collateralization. We examine the impact of bilateral default risk and collateral rules on the marking to market of longevity swaps, and show how longevity swap rates must be determined endogenously from the collateral flows associated with the marking-to-market procedure. For typical interest rate and mortality parameters, we find that the impact of collateralization is modest in the presence of symmetric default risk, but more pronounced when default risk and/or collateral rules are asymmetric. Our results suggest that the overall cost of collateralization is comparable with, and often much smaller than, that found in the interest-rate swaps market (as a result of the offsetting effects of interest rate and longevity risks), which may then provide the appropriate reference framework for the credit enhancement of both indemnity-based and indexed longevity risk solutions

Energy-Efficient, Thermal-Aware Modeling and Simulation of Datacenters: The CoolEmAll Approach and Evaluation Results

International audienceThis paper describes the CoolEmAll project and its approach for modeling and simulating energy-efficient and thermal-aware data centers. The aim of the project was to address energy-thermal efficiency of data centers by combining the optimization of IT, cooling and workload management. This paper provides a complete data center model considering the workload profiles, the applications profiling, the power model and a cooling model. Different energy efficiency metrics are proposed and various resource management and scheduling policies are presented. The proposed strategies are validated through simulation at different levels of a data cente

Persisting Viral Sequences Shape Microbial CRISPR-based Immunity

Well-studied innate immune systems exist throughout bacteria and archaea, but a more recently discovered genomic locus may offer prokaryotes surprising immunological adaptability. Mediated by a cassette-like genomic locus termed Clustered Regularly Interspaced Short Palindromic Repeats (CRISPR), the microbial adaptive immune system differs from its eukaryotic immune analogues by incorporating new immunities unidirectionally. CRISPR thus stores genomically recoverable timelines of virus-host coevolution in natural organisms refractory to laboratory cultivation. Here we combined a population genetic mathematical model of CRISPR-virus coevolution with six years of metagenomic sequencing to link the recoverable genomic dynamics of CRISPR loci to the unknown population dynamics of virus and host in natural communities. Metagenomic reconstructions in an acid-mine drainage system document CRISPR loci conserving ancestral immune elements to the base-pair across thousands of microbial generations. This ‘trailer-end conservation’ occurs despite rapid viral mutation and despite rapid prokaryotic genomic deletion. The trailer-ends of many reconstructed CRISPR loci are also largely identical across a population. ‘Trailer-end clonality’ occurs despite predictions of host immunological diversity due to negative frequency dependent selection (kill the winner dynamics). Statistical clustering and model simulations explain this lack of diversity by capturing rapid selective sweeps by highly immune CRISPR lineages. Potentially explaining ‘trailer-end conservation,’ we record the first example of a viral bloom overwhelming a CRISPR system. The polyclonal viruses bloom even though they share sequences previously targeted by host CRISPR loci. Simulations show how increasing random genomic deletions in CRISPR loci purges immunological controls on long-lived viral sequences, allowing polyclonal viruses to bloom and depressing host fitness. Our results thus link documented patterns of genomic conservation in CRISPR loci to an evolutionary advantage against persistent viruses. By maintaining old immunities, selection may be tuning CRISPR-mediated immunity against viruses reemerging from lysogeny or migration

Presynaptic adenosine receptor-mediated regulation of diverse thalamocortical short-term plasticity in the mouse whisker pathway

Short-term synaptic plasticity (STP) sets the sensitivity of a synapse to incoming activity and determines the temporal patterns that it best transmits. In “driver” thalamocortical (TC) synaptic populations, STP is dominated by depression during stimulation from rest. However, during ongoing stimulation, lemniscal TC connections onto layer 4 neurons in mouse barrel cortex express variable STP. Each synapse responds to input trains with a distinct pattern of depression or facilitation around its mean steady-state response. As a result, in common with other synaptic populations, lemniscal TC synapses express diverse rather than uniform dynamics, allowing for a rich representation of temporally varying stimuli. Here, we show that this STP diversity is regulated presynaptically. Presynaptic adenosine receptors of the A1R type, but not kainate receptors (KARs), modulate STP behavior. Blocking the receptors does not eliminate diversity, indicating that diversity is related to heterogeneous expression of multiple mechanisms in the pathway from presynaptic calcium influx to neurotransmitter release

A rare localization in right-sided endocarditis diagnosed by echocardiography: A case report

BACKGROUND: Right-sided endocarditis occurs predominantly in intravenous drug users, patients with pacemakers or central venous lines and with congenital heart diseases. The vast majority of cases involve the tricuspid valve. CASE PRESENTATION: A case of a 31-year-old woman with intravenous drug abuse who had a right-sided vegetation attached to the muscular bundle of the right ventricle is presented. Transthoracic echocardiography revealed a vegetation in the right ventricular outflow tract. Transesophageal echocardiography clearly showed that the 1.8 cm vegetation was not adherent to the pulmonary valve but attached to a muscular bundle. CONCLUSIONS: Our case points to an unusual location of right-sided endocarditis in intravenous drug users. It confirms that TTE remains an easy and highly sensitive first-line examination for the diagnosis of right-sided endocarditis