Determinants of primary market pricing of contingent convertibles

Tutkielman tavoitteet CoCo-joukkolainat ovat hybridi-rahoitusinstrumentteja, jotka toimivat osakepääoman tavoin puskurina mahdollisille tappiolle liikkeeseenlaskijan taseessa. CoCo-joukkolainat maksavat houkuttelevaa kuponkia haltijalleen vastapainoksi sille, että lainat voidaan muuttaa osakepääomaksi tai kirjata alas osittain tai kokonaan jos liikkeeseenlaskijan vakavaraisuus (CET1-tunnusluvullla mitatttuna) laskee lainaehdoissa määritellyn tason alle. Tutkielmassani tutkin mitkä tekijät ajavat näiden uusien joukkolainojen hinnoittelua, eli luottoriskipreemion määräytymistä, primäärimarkkinoilla. Data ja metodologia Otokseni koostuu 112 CoCo-joukkolainasta, jotka on laskettu liikkeeseen aikavälillä 2009 - 03/2015. Lainojen liikkeeseenlaskijoista suurin osa on euroooppalaisia pankkeja ja rahoituslaitoksia. Hyödynnän tutkielmassani myös dataa Aasian ja Tyynenmeren alueella liikkeeseenlasketuista CoCo-joukkolainoista käyttämällä niitä varsinaisten tulosteni kestävyyden testaamiseen. Käytän tutkimushypoteesien testaamiseen muokkaamaani lineeaarista regressiomallia, jonka pohjana toimii Chen et al. (2009) käyttämä malli. Regressiomallini yhdistää joukkolainakohtaiset, yhtiökohtaiset ja makroekonomiset tekijät kontrollimuuttujiksi, jotta pystyn tutkimaan vaikuttavatko tietyt CoCo-spesifit tekijät näiden lainojen luottoriskipreemion hinnoitteluun primäärimarkkinoilla. Luottoriskipreemioiden määräytymisen ohella, tutkin myös tekijöitä, jotka vaikuttavat CoCo-lainojen luottoluokitukseen ja sitä, mikä vaikutus CoCo-spesifeillä tekijöillä on luottoluokituksen määräytymisessä. Luottoluokituksien tutkimisessa käytän kontrollimuuttujina luottoluokittaja Moody's:n arviointimetodologiasta johdettuja tekijöitä. Tulokset Tutkielmani tulokset osoittavat, että sekä kiinteä- että vaihtuvakorkoisten CoCo-joukkolainojen luottoriskipreemiot ovat käänteisesti riippuvaisia lainojen "CET1-puskurin" sekä konvertointitason kanssa. Nämä tulokset ovat sekä tilastollisesti että taloudellisesti huomattavia niin Eurooppalaisten kuin myös Aasian ja Tyynenmeren alueilla liikkeeseen laskettujen lainojen osalta. Tämän lisäksi pörssilistattujen liikkeeseenlaskijoiden ja luottoluokituksen omaavien lainojen osalta esitän, että sijoittajat vaativat lisätuottoa lainoilta, joiden nimellispääoma kirjataan alas lopullisesti tai väliaikaisesti verrattuna niihin lainoihin, joiden nimellispääoma muutetaan osakepääomaksi pankin vakavaraisuuden heikentyessä. Edellämainittujen havaintojen ohella tulokseni osoittavat myös, että luottoluokitus on suurin yksittäinen selittävä tekijä, niin tilastollisesti kuin taloudellisestikin, CoCo-lainojen luottoriskipreemion määräytymisessä emissiohetkellä. Suorittamani analyysi luottoluokitusta ajavista tekijöistä osoittaa, että luottoluokittajat ottavat CoCo-spesifit tekijät huomioon luokitellessaan näitä lainoja

Modeling optical constants from the absorption of organic thin films using a modified Lorentz oscillator model

Optical constants of organic thin films can be evaluated using the Lorentz oscillator model (LOM) which fails to fit inhomogeneously broadened absorption of highly concentrated molecular films. In modified LOM (MLOM), the inhomogeneous broadening is implemented through a frequency-dependent adjustable broadening function. In this work, we evaluate the optical constants of rhodamine 6G doped poly-vinyl alcohol thin films with varying doping concentration (including also extensively high concentrations) using MLOM, which outperforms LOM by showing a better agreement with the experimental results. Our proposed method provides a way to accurately determine optical constants of isotropic organic thin films only from their absorption spectra without spectroscopic ellipsometry.Peer reviewe

Surviving out-of-hospital cardiac arrest : The neurological and functional outcome and health-related quality of life one year later

Background: Data on long-term functional outcome and quality of life (QoL) after out-of-hospital cardiac arrest (OHCA) are limited. We assessed long-term functional outcome and health-related QoL of OHCA survivors regardless of arrest aetiology. Methods: All adult unconscious OHCA patients treated in 21 Finnish ICUs between March 2010 and February 2011 were followed. Barthel Index (BI), activities of daily living (ADL), accommodation, help needed and received, working status, car driving and self-experienced cognitive deficits were assessed in 1-year survivors (N = 206, 40.9% of the original FINNRESUSCI cohort) with a structured telephone interview. Health-related QoL and more complex ADL-functions were evaluated by EQ-5D and instrumental ADL questionnaires. Results: Good outcome, defined as Cerebral Performance Categories 1 or 2, had been reached by 90.3% of survivors. The median BI score was 100, and 91.3% of survivors were independent in basic ADL-functions. The great majority of survivors were living at home, only 8.7% lived in a sheltered home or needed institutionalized care. Of home-living survivors 71.4% scored high in instrumental ADL assessment. The majority (72.6%) of survivors who were working previously had returned to work. Health-related QoL was similar as in age-and gender-adjusted Finnish population. Conclusions: Long-term functional outcome was good in over 90% of patients surviving OHCA, with health-related quality of life similar to that of an age and gender matched population.Peer reviewe

Serum fibroblast growth factor 21 levels after out of hospital cardiac arrest are associated with neurological outcome

Fibroblast growth factor (FGF) 21 is a marker associated with mitochondrial and cellular stress. Cardiac arrest causes mitochondrial stress, and we tested if FGF 21 would reflect the severity of hypoxia-reperfusion injury after cardiac arrest. We measured serum concentrations of FGF 21 in 112 patients on ICU admission and 24, 48 and 72 h after out-of-hospital cardiac arrest with shockable initial rhythm included in the COMACARE study (NCT02698917). All patients received targeted temperature management for 24 h. We defined 6-month cerebral performance category 1-2 as good and 3-5 as poor neurological outcome. We used samples from 40 non-critically ill emergency room patients as controls. We assessed group differences with the Mann Whitney U test and temporal differences with linear modeling with restricted maximum likelihood estimation. We used multivariate logistic regression to assess the independent predictive value of FGF 21 concentration for neurologic outcome. The median (inter-quartile range, IQR) FGF 21 concentration was 0.25 (0.094-0.91) ng/ml in controls, 0.79 (0.37-1.6) ng/ml in patients at ICU admission (PPeer reviewe

Lower heart rate is associated with good one-year outcome in post-resuscitation patients

Background: Optimal hemodynamic goals in post-resuscitation patients are not clear. Previous studies have reported an association between lower heart rate and good outcome in patients receiving targeted temperature management (TTM) after out-of-hospital cardiac arrest. Methods: We analyzed heart rate (HR) and outcome data of 504 post-resuscitation patients from the prospectively collected database of the FINNRESUSCI study. One-year neurologic outcome was dichotomized by the Cerebral Performance Category (CPC) to good (1-2) or poor (3-5). Results: Of 504 patients, 40.1% (202/504) had good and 59.9% (302/504) had poor one-year neurologic outcome. Patients with good outcome had lower time-weighted mean HR during the first 48 h in the ICU (69.2 bpm [59.2-75.1] vs. 76.6 bpm [65.72-89.6], p <0.001) and the first 72 h in the ICU (71.2 bpm [65.0-79.0] vs. 77.1 bpm [69.1-90.1, p <0.001]). The percentage of HR registrations below HR threshold values (60, 80 and 100 bpm) were higher for patients with good neurologic outcome, p <0.001 for all. Lower time-weighted HR for 0-48 h and 0-72 h, and a higher percentage of HR recordings below threshold values were independently associated with good neurological one-year outcome (p <0.05 for all). When TTM and non-TTM patients were analyzed separately, HR parameters were independently associated with one-year neurologic outcome only in non-TTM patients. Conclusion: Lower heart rate was independently associated with good neurologic outcome. Whether HR in post-resuscitation patients is a prognostic indicator or an important variable to be targeted by treatment, needs to be assessed in future prospective controlled clinical trials.Peer reviewe

Modeling optical constants from the absorption of organic thin films using a modified Lorentz oscillator model

Optical constants of organic thin films can be evaluated using the Lorentz oscillator model (LOM) which fails to fit inhomogeneously broadened absorption of highly concentrated molecular films. In modified LOM (MLOM), the inhomogeneous broadening is implemented through a frequency-dependent adjustable broadening function. In this work, we evaluate the optical constants of rhodamine 6G doped poly-vinyl alcohol thin films with varying doping concentration (including also extensively high concentrations) using MLOM, which outperforms LOM by showing a better agreement with the experimental results. Our proposed method provides a way to accurately determine optical constants of isotropic organic thin films only from their absorption spectra without spectroscopic ellipsometry

Usefulness of neuron specific enolase in prognostication after cardiac arrest : Impact of age and time to ROSC

Aim of the study: We evaluated the impact of patient age and time from collapse to return of spontaneous circulation (ROSC) on the prognostic accuracy of neuron specific enolase (NSE) after out-of-hospital cardiac arrest (OHCA). Methods: Using electrochemiluminescence immunoassay, we measured serum concentrations of NSE in 249 patients who were admitted to intensive care units after resuscitation from OHCA. In each quartile according to age and time to ROSC, we evaluated the ability of NSE at 48 h after OHCA to predict poor outcome (Cerebral Performance Category 3-5) at 12 months. Results: The outcome at 12 months was poor in 121 (49%) patients. The prognostic performance of NSE was excellent (area under the receiver operating characteristic curve, AUROC, 0.91 [95% confidence interval, 0.81-1.00]) in the youngest quartile (18-56 years), but worsened with increasing age, and was poor (AUROC 0.53 [0.37-0.70]) in the oldest quartile (72 years or more). The prognostic performance of NSE was worthless (AUROC 0.45 [0.30-0.61]) in the quartile with the shortest time to ROSC (1-13 min), but improved with increasing time to ROSC, and was good (AUROC 0.84 [0.74-0.95]) in the quartile with the longest time to ROSC (29 min or over). Conclusion: NSE at 48 h after OHCA is a useful predictor of 12-month-prognosis in young patients and in patients with a long time from collapse to ROSC, but not in old patients or patients with a short time to ROSC.Peer reviewe

Copeptin levels are associated with organ dysfunction and death in the intensive care unit after out-of-hospital cardiac arrest

Introduction: We studied associations of the stress hormones copeptin and cortisol with outcome and organ dysfunction after out-of-hospital cardiac arrest (OHCA). Methods: Plasma was obtained after consent from next of kin in the FINNRESUSCI study conducted in 21 Finnish intensive care units (ICUs) between 2010 and 2011. We measured plasma copeptin (pmol/L) and free cortisol (nmol/L) on ICU admission (245 patients) and at 48 hours (additional 33 patients). Organ dysfunction was categorised with 24-hour Sequential Organ Failure Assessment (SOFA) scores. Twelve-month neurological outcome (available in 276 patients) was classified with cerebral performance categories (CPC) and dichotomised into good (CPC 1 or 2) or poor (CPC 3 to 5). Data are presented as medians and interquartile ranges (IQRs). A Mann-Whitney U test, multiple linear and logistic regression tests with odds ratios (ORs) 95% confidence intervals (CIs) and beta (B) values, repeated measure analysis of variance, and receiver operating characteristic curves with area under the curve (AUC) were performed. Results: Patients with a poor 12-month outcome had higher levels of admission copeptin (89, IQR 41 to 193 versus 51, IQR 29 to 111 pmol/L, P = 0.0014) and cortisol (728, IQR 522 to 1,017 versus 576, IQR 355 to 850 nmol/L, P = 0.0013). Copeptin levels fell between admission and 48 hours (P Conclusions: Admission copeptin and free cortisol were not of prognostic value regarding 12-month neurological outcome after OHCA. Higher admission copeptin and cortisol were associated with ICU death, and copeptin predicted subsequent organ dysfunction.Peer reviewe

Functional outcome, cognition and quality of life after out-of-hospital cardiac arrest and therapeutic hypothermia : data from a randomized controlled trial

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Mean arterial pressure and vasopressor load after out-of-hospital cardiac arrest : Associations with one-year neurologic outcome

The aim of the study: There are limited data on blood pressure targets and vasopressor use following cardiac arrest. We hypothesized that hypotension and high vasopressor load are associated with poor neurological outcome following out-of-hospital cardiac arrest (OHCA). Methods: We included 412 patients with OHCA included in FINNRESUSCI study conducted between 2010 and 2011. Hemodynamic data and vasopressor doses were collected electronically in one, two or five minute intervals. We evaluated thresholds for time-weighted (TW) mean arterial pressure (MAP) and outcome by receiver operating characteristic (ROC) curve analysis, and used multivariable analysis adjusting for co-morbidities, factors at resuscitation, an illness severity score, TW MAP and total vasopressor load (VL) to test associations with one-year neurologic outcome, dichotomized into either good (1-2) or poor (3-5) according to the cerebral performance category scale. Results: Of 412 patients, 169 patients had good and 243 patients had poor one-year outcomes. The lowest MAP during the first six hours was 58 (inter-quartile range [IQR] 56-61) mmHg in those with a poor outcome and 61 (59-63) mmHg in those with a good outcome (p <0.01), and lowest MAP was independently associated with poor outcome (OR 1.02 per mmHg, 95% CI 1.00-1.04, p = 0.03). During the first 48h the median (IQR) of the 1W mean MAP was 80 (78-82) mmHg in patients with poor, and 82 (81-83) mmHg in those with good outcomes (p=0.03) but in multivariable analysis TWA MAP was not associated with outcome. Vasopressor load did not predict one-year neurologic outcome. Conclusions: Hypotension occurring during the first six hours after cardiac arrest is an independent predictor of poor one-year neurologic outcome. High vasopressor load was not associated with poor outcome and further randomized trials are needed to define optimal MAP targets in OHCA patients. (C) 2016 Elsevier Ireland Ltd. All rights reserved.Peer reviewe