Market dynamics associated with credit ratings: a literature review.

Credit ratings produced by the major credit rating agencies (CRAs) aim to measure the creditworthiness, or more specifically the relative creditworthiness of companies, i.e. their ability to meet their debt servicing obligations. In principle, the rating process focuses on the fundamental long-term credit strength of a company. It is typically based on both public and private information, except for unsolicited ratings, which focus only on public information. The basic rationale for using ratings is to achieve information economies of scale and solve principal-agent problems. Partly for the same reasons, the role of credit ratings has expanded significantly over time. Regulators, banks and bondholders, pension fund trustees and other fiduciary agents have increasingly used ratings-based criteria to constrain behaviour. As a result, the influence of the opinions of CRAs on markets appears to have grown considerably in recent years. One aspect of this development is its potential impact on market dynamics (i.e. the timing and path of asset price adjustments, credit spreads, etc.), either directly, as a consequence of the information content of ratings themselves, or indirectly, as a consequence of the “hardwiring” of ratings into regulatory rules, fund management mandates, bond covenants, etc. When considering the impact of ratings and rating changes, two conclusions are worth highlighting. – First, ratings correlate moderately well with observed credit spreads, and rating changes with changes in spreads. However, other factors, such as liquidity, taxation and historical volatility clearly also enter into the determination of spreads. Recent research suggests that reactions to rating changes may also extend beyond the immediately-affected company to its peers, and from bond to equity prices. Furthermore, this price reaction to rating changes seems to be asymmetrical, i.e. more pronounced for downgrades than for upgrades, and may be more significant for equity prices than for bond prices. – Second, the hardwiring of regulatory and market rules, bond covenants, investment guidelines, etc., to ratings may influence market dynamics, and potentially lead to or magnify threshold effects. The more that different market participants adopt identical ratings-linked rules, or are subject to similar ratings-linked regulations, the more “spiky” the reaction to a credit event is likely to be. This reaction may include, in some cases, the emergence of severe liquidity pressures. Efforts have recently been made, notably with support from the rating agencies themselves, to encourage a more systematic disclosure of rating triggers and to renegotiate and smooth the possibly more destabilising forms of rating triggers. However, the lack of a clear disclosure regime makes it difficult to assess how far this process has evolved. Questions also remain as to the extent to which ratings-based criteria introduce a fundamentally new element into market behaviour, or, conversely, the extent to which they are simply a va riant of more traditional contractual covenants. Rating agencies strive to provide credit assessments that remain broadly stable through the course of the business cycle (rating “through the cycle”). Agencies and other analysts frequently contrast the fundamental credit analysis on which ratings are based with market sentiment — measured for example by bond spreads — which is arguably subject to more short-term influences. Agencies are adamant that they do not directly incorporate market sentiment into ratings (although they may use market prices as a diagnostic tool). On the contrary, they make every effort to exclude transient market sentiment. However, as reliance on ratings grows, CRAs are being increasingly expected to satisfy a widening range of constituencies, with different, and even sometimes conflicting, interests: issuers and “traditional” asset managers will look for more than a simple statement of near-term probability of loss, and will stress the need for ratings to exhibit some degree of stability over time. On the other hand, mark-to-market traders, active investors and risk managers may seek more frequent indications of credit changes. Hence, in the wake of major bankruptcies with heightened credit stress, rating agencies have been under considerable pressure to provide higher-frequency readings of credit status, without loss of quality. So far, they have responded to this challenge largely by adding more products to their traditional range, but also through modifications in the rating process. The rating process and the range of products offered by rating agencies have thus evolved over time, with, for instance, an increasing emphasis on the analysis of liquidity risks, a new focus on the hidden liabilities of companies and an increased use of market-based tools. It is too early, however, to judge whether these changes should simply be regarded as a refinement of the agencies’ traditional methodology or whether they suggest a more fundamental shift in the approach to credit risk measurement. For the same reason, it is not possible to draw any firm conclusions about changes in the effects of credit ratings on market dynamics.

Enhancing the Toolbox of Fixed Income Active Portfolio Management

AbstractMany central banks adopt an active investment style for reserve management. This paper discusses various possible enhancements to active management tools and processes to generate extra returns in an increasingly challenging environment. The proposed framework is based on an affine model, which includes macroeconomic and market sentiment indicators among the explanatory variables. Using estimates of expected excess returns drawn from the model, an operational indicator produces input highlighting the portfolio's exposure to duration risk. This indicator is incorporated within a broader framework, in which a scorecard considers a range of qualitative elements, including consensus figures on macroeconomic data, monetary policy and interest rates. These elements are then combined with the model output to produce a comprehensive indication with respect to portfolio deviation from the benchmark. It should be noted that the approach presented in this paper is experimental; it has not yet been used in an active portfolio. Finally, consideration is given to the governance of the central bank investment process in order to assess how the proposed enhancements could strengthen the decision-making process. The analysis suggests that the scorecard with model-based input may address some weaknesses inherent in tactical decision- making.The views expressed herein are solely our own and do not necessarily reflect those of the Bank of Italy or the European System of Central Banks

Oxidative stress-mediated platelet CD40 ligand upregulation in patients with hypercholesterolemia: effect of atorvastatin

Objectives: We speculated that in patients with hypercholesterolemia CD40L overexpression could depend on low-density lipoprotein (LDL)-induced enhanced intraplatelet formation of O-2(.-) and statin could reduce platelet CD40L via interference with platelet O-2(.-) production. Background: CD40L is a protein with inflammatory and thrombotic properties. CD40L is upregulated in platelets from hypercholesterolemic (HC) patients but the underlying mechanism is unclear. Methods: Collagen-induced platelet CD40L and platelet O-2(.-) expression were investigated in 40 HC patients and 40 healthy subjects. HC patients were then randomized to either a diet (n = 20) (group A) or atorvastatin 10 mg day (n = 20) (group B); the above variables were measured at baseline and after 3 and 30 days of treatment. O-2(.-) and CD40L were also measured in vitro in LDL-treated platelets with or without nicotinamide adenine dinucleotide phosphate (NADPH) oxidase inhibitor or atorvastatin added. Results: Compared with controls, HC patients showed higher values of platelet CD40L (P < 0.001) and O-2(.-) (P < 0.001). Platelet CD40L was significantly correlated with O-2(.-) (P < 0.001). The interventional trial showed no changes in group A and a significant and parallel decrease in platelet CD40L (P < 0.001) and O-2(.-) (P < 0.001) in group B. In vitro studies demonstrated that LDL-induced platelet CD40L and GP IIb/IIIa (PAC1 binding) activation via the NADPH oxidase pathway. CD40L upregulation was counteracted by atorvastatin in a dose-dependent fashion. Conclusions: This study suggests that in patients with hypercholesterolemia platelet CD40L is upregulated via NADPH oxidase-dependent O-2(.-) generation. Atorvastatin downregulated CD40L with an oxidative stress-mediated mechanism likely involving platelet NADPH oxidase, an effect that seemed to be independent of its cholesterol-lowering action

Tumor response assessment on imaging following immunotherapy.

In recent years, various systemic immunotherapies have been developed for cancer treatment, such as monoclonal antibodies (mABs) directed against immune checkpoints (immune checkpoint inhibitors, ICIs), oncolytic viruses, cytokines, cancer vaccines, and adoptive cell transfer. While being estimated to be eligible in 38.5% of patients with metastatic solid or hematological tumors, ICIs, in particular, demonstrate durable disease control across many oncologic diseases (e.g., in melanoma, lung, bladder, renal, head, and neck cancers) and overall survival benefits. Due to their unique mechanisms of action based on T-cell activation, response to immunotherapies is characterized by different patterns, such as progression prior to treatment response (pseudoprogression), hyperprogression, and dissociated responses following treatment. Because these features are not encountered in the Response Evaluation Criteria in Solid Tumors version 1.1 (RECIST 1.1), which is the standard for response assessment in oncology, new criteria were defined for immunotherapies. The most important changes in these new morphologic criteria are, firstly, the requirement for confirmatory imaging examinations in case of progression, and secondly, the appearance of new lesions is not necessarily considered a progressive disease. Until today, five morphologic (immune-related response criteria (irRC), immune-related RECIST (irRECIST), immune RECIST (iRECIST), immune-modified RECIST (imRECIST), and intra-tumoral RECIST (itRECIST)) criteria have been developed to accurately assess changes in target lesion sizes, taking into account the specific response patterns after immunotherapy. In addition to morphologic response criteria, 2-deoxy-2-[ &lt;sup&gt;18&lt;/sup&gt; F]fluoro-D-glucose positron emission tomography/computed tomography ( &lt;sup&gt;18&lt;/sup&gt; F-FDG-PET/CT) is a promising option for metabolic response assessment and four metabolic criteria are used (PET/CT Criteria for Early Prediction of Response to Immune Checkpoint Inhibitor Therapy (PECRIT), PET Response Evaluation Criteria for Immunotherapy (PERCIMT), immunotherapy-modified PET Response Criteria in Solid Tumors (imPERCIST5), and immune PERCIST (iPERCIST)). Besides, there is evidence that parameters on &lt;sup&gt;18&lt;/sup&gt; F-FDG-PET/CT, such as the standardized uptake value (SUV)max and several radiotracers, e.g., directed against PD-L1, may be potential imaging biomarkers of response. Moreover, the emerge of human intratumoral immunotherapy (HIT-IT), characterized by the direct injection of immunostimulatory agents into a tumor lesion, has given new importance to imaging assessment. This article reviews the specific imaging patterns of tumor response and progression and available imaging response criteria following immunotherapy

Von willebrand and factor VIII portosystemic circulation gradient in cirrhosi. Implications for portal vein thrombosis

OBJECTIVES: Portal vein thrombosis seems to be dependent on local hypercoagulation and venous stasis; data regarding endothelial damage are lacking. METHODS: von Willebrad factor, a marker of endothelial damage/perturbation, factor VIII, and lipopolysaccharides (LPS) were studied in the portal and systemic circulation of 20 cirrhotic patients undergoing transjugular intrahepatic portosystemic procedure. RESULTS: von Willebrad factor, factor VIII, and LPS were higher in the portal compared with systemic circulation, with a significant correlation between LPS and the other 2 variables. DISCUSSION: Endothelial damage and hypercoagulation coexist in the portal tree of patients with cirrhosis, and both could contribute to portal vein thrombosis. LPS may be a potential trigger of endothelial damage

Platelet isoprostane overproduction in diabetic patients treated with aspirin

Aspirin modestly influences cardiovascular events in patients with type 2 diabetes mellitus (T2DM), but the reason is unclear. The aim of the study was to determine whether in T2DM patients aspirin enhances platelet isoprostanes, which are eicosanoids with proaggregating properties derived from arachidonic acid oxidation by platelet NOX2, the catalytic subunit of reduced NAD phosphate oxidase. A cross-sectional study was performed comparing T2DM patients, treated (n = 50) or not treated (n = 50) with 100 mg/day aspirin, with 100 nondiabetic patients, matched for age, sex, atherosclerosis risk factors, and aspirin treatment. A short-term (7 days) treatment with 100 mg/day aspirin also was performed in 36 aspirin-free diabetic and nondiabetic patients. Higher platelet recruitment, platelet isoprostane, and NOX2 activation was found in diabetic versus nondiabetic patients and in aspirin-treated diabetic patients versus nontreated patients (P < 0.001). Platelet thromboxane (Tx) A(2) (P < 0.001) was inhibited in all aspirin-treated patients. In the interventional study, aspirin similarly inhibited platelet TxA(2) in diabetic and nondiabetic patients (P < 0.001). Platelet recruitment, isoprostane levels, and NOX2 activation showed a parallel increase in diabetic patients (P < 0.001) and no changes in nondiabetic patients. These findings suggest that in aspirin-treated diabetic patients, oxidative stress-mediated platelet isoprostane overproduction is associated with enhanced platelet recruitment, an effect that mitigates aspirin-mediated TxA(2) inhibition

Short-term treatment with atorvastatin reduces platelet CD40 ligand and thrombin generation in hypercholesterolemic patients

Background - Soluble CD40L (sCD40L), a substance that maximally reflects in vivo platelet activation, is increased in patients with hypercholesterolemia. We investigated the relation between sCD40L and platelet CD4OL in hypercholesterolemic patients before and after a short-term treatment with atorvastatin. Methods and Results - Collagen-induced platelet CD40L and plasma levels of sCD40L and prothrombin fragment F1+2, a marker of thrombin generation, were investigated in 30 hypercholesterolemic patients and 20 healthy subjects. Hypercholesterolemic patients were then randomized to either diet ( n = 15; group A) or atorvastatin 10 mg/d ( group B); the aforementioned variables were measured at baseline and after 3 days of treatment. Compared with referents, hypercholesterolemic patients showed higher values of platelet CD40L ( P < 0.005), sCD40L ( P < 0.005), and F1 + 2 ( P < 0.003). Platelet CD40L was significantly correlated with sCD40L ( P < 0.001), and the latter was significantly correlated with F1 + 2 ( P < 0.001). The intervention trial showed no changes in group A but a significant decrease in platelet CD40L ( P < 0.01), sCD40L ( P < 0.002), and F1 + 2 ( P < 0.03) in group B. In vitro studies demonstrated that cholesterol enhanced platelet CD40L and CD40L-mediated clotting activation by human monocytes; also, atorvastatin dose-dependently inhibited platelet CD40L expression and clotting activation by CD40L-stimulated monocytes. Conclusions - This study shows that, in hypercholesterolemia, platelet overexpression of CD40L may account for enhanced plasma levels of sCD40L and F1 + 2. Atorvastatin exerts a direct antithrombotic effect via inhibition of platelet CD40L and CD40L-mediated thrombin generation, independently of its cholesterol-lowering effect

Corticosteroid use, myocardial injury and in-hospital cardiovascular events in patients with community-acquired pneumonia

Background and purpose: Corticosteroids are often prescribed to community-acquired pneumonia (CAP) patients, but the relationship with major cardiovascular events (MACEs) is unclear. Experimental approach: 541 CAP patients were recruited (334 males, mean age 71.9 ± 16.2 years). High-sensitivity troponin T (hs-cTnT) was measured at admission, during the hospital stay and at discharge. MACE occurrence was registered during a long-term follow-up. Key results: Overall, 318 patients (59%) showed hs-cTnT elevation &gt;99th percentile (&gt;0.014 μg/L). Age, heart failure and the increasing quintiles of hs-cTnT (hazard ratio [HR] 2.16, 95% confidence interval [CI] 1.82-2.58, P &lt; .001) predicted MACEs. Among patients with hs-cTnT &gt;0.014 μg/L at admission, 102 patients (31%) were on corticosteroids and showed lower hs-cTnT increase (P = .021), (NADPH) oxidase-2 (Nox2) activation (P = .005) and incidence of MACEs than untreated ones (HR 0.64, 95% CI 0.41-0.97, P = .038); no effect of corticosteroids on MACEs was observed in CAP patients with normal troponin. In vitro study showed that glucocorticoids have an antioxidant effect via downregulation of Nox2 activity. Conclusion and implications: The study provides evidence that corticosteroid use is associated with lower increase of hs-cTnT and incidence of MACEs in CAP patients