Predicción del chepeast to deliver en los contratos de futuros sobre bono nocional de corto, mediano y largo plazo

In this study I implemented the Ho-Lee model to identify which bond will become the Cheapest to deliver (CTD) at the delivery date of the futures contracts traded in the BVC between 2008 and 2014. In the model the zero curve (ZC) is an exogenous variable and it’s used to predict the future movements of the interest rates between the current and delivery dates of the future contract, in this interval the Ho-Lee rate tree is built. Bootstrapping is used to construct the ZC, because it guarantees that the theoretical and observed prices for the bonds used in the process are the same at the current date. The discount factors for the future flows of the bonds in the basket and the clean price for each were found based on the ZC and the Ho-Lee rate tree. At this point, all the variables needed to calculate the CTD are known. Finally, the sensitivity of the CTD was tested by changing the interest rates and the volatility.En este estudio se implementó el modelo Ho-Lee para identificar el bono de deuda pública con la mayor probabilidad de convertirse en el cheapest to deliver (CTD) en la fecha de vencimiento de los contratos de futuro sobre bono nocional, que se negocian en la Bolsa de Valores de Colombia (BVC) entre 2008 y 2014. El modelo exige que la curva cero cupón (CCC) sea una variable exógena, a partir de la cual se realizan proyecciones de los posibles movimientos de las tasas de interés. Estos movimientos se proyectan entre la fecha actual y la fecha de vencimiento del contrato de futuro, periodo en el que se construyó el árbol de tasas Ho-Lee. Para calcular la ccc se utilizó bootstrapping, porque para los bonos utilizados dentro del cálculo este garantiza que tanto el precio teórico como el observado coincidan en la fecha del cálculo. Con base en la ccc y el árbol de tasas de Ho-Lee se calcularon los factores de descuento de los flujos futuros de los entregables y el precio limpio de cada bono; a partir de estos resultados halló el bono CTD. Finalmente, se realizó un análisis de sensibilidad del CTD frente a cambios en la volatilidad y en el nivel de tasas de interés

Análisis de montos y tasas del mercado de simultáneas en Colombia

The main goal of this paper is to identify if the market of secured liquidity operations called “simultáneas” reflects the devaluation expectations in the sovereign Colombian bond market, besides the liquidity conditions of the money market. In order to achieve it, each operation (Traded in the Electronic Trading System between October 2008 and April 2018) is classified in three ranges, built using the media and standard deviation of the spread—between the weighted average rate of the liquidity market operations and the monetary policy rate. The results show that most of the operations are concentrated in the medium range, with a spread between ± one standard deviation. The descriptive and statistical analysis of each range allows to conclude that high volumes of “simultáneas” traded at unusual low rates might reflect the devaluation expectations in the local bond market.El objetivo de este documento es identificar si el mercado de simultáneas, además de reflejar las condiciones de liquidez en pesos, ofrece información sobre las expectativas de desvalorizaciones de los bonos soberanos. Para ello, se clasifica cada operación (el estudio incluye las operaciones de simultáneas pactadas a plazo de un día hábil en el Sistema Electrónico de Negociación del Banco de la República, entre octubre de 2008 y abril de 2018) en tres rangos, que se construyen a partir del promedio y la desviación estándar del margen –entre la tasa promedio ponderada por monto de las simultáneas negociadas a plazo overnight y la tasa de política monetaria–. Los resultados muestran que la mayoría de operaciones se concentran en el rango medio, cuyo margen se ubica entre ± una desviación estándar. El análisis descriptivo y estadístico de cada rango permite concluir que altos volúmenes de operaciones de simultáneas pactadas a tasas inusualmente bajas podrían indicar expectativas de desvalorizaciones de los bonos locales

La Interdependencia de los Mercados de Dólares y TES: El Caso Colombiano

Analizamos la interdependencia entre los mercados de divisas y bonos (TES) en Colombia. Para esto estimamos modelos VAR identificados por heterocedasticidad para los retornos de la tasa de cambio (TRM) y los precios de los bonos, así como también modelos de análisis de eventos para la volatilidad de los retornos, el número y volumen de las ofertas, y los diferenciales de compra y venta, bid/ask spreads. Los datos analizados consisten en muestras de cada 5-minutos de precios bid/ask del dólar y de ofertas de los bonos, para un conjunto de referencias. Para estas referencias también contamos con el número de ofertas bid/ask así como su volumen. Encontramos que la TRM transmite información al mercado de bonos, pero lo opuesto no se da completamente: una depreciación de 1% del peso produce una reducción permanente del precio de los TES de entre 0.05% y 0.22%. Sin embargo, un incremento de 1% del precio de los bonos tiene un efecto pequeño y no enteramente significativo sobre la TRM, i.e. una apreciación del peso entre 0.001% y 0.009%. Adicionalmente, los incrementos en la volatilidad de la TRM no afectan la volatilidad de los retornos de los bonos, pero si su liquidez, es decir, el número y volumen de sus ofertas. Estos resultados son consistentes con el hecho de que el mercado de divisas refleja de manera más eficiente el efecto de los choques que el de bonos, resultado de la baja liquidez y concentración en un hábitat específico de este último. Estos resultados tienen implicaciones importantes para el diseño de políticas de estabilidad financiera, así como también para el diseño de portafolios privados, su rebalanceo y cobertura.We study the interdependence of FX and Treasury Bonds (TES) markets in Colombia. To do this, we estimate a heteroskedasticity identified VAR model on the returns of the COP/USD exchange rate (TRM) and bond prices, as well as event-analysis models for return volatilities, number of quotes, quote volume, and bid/ask spreads. The data under analysis consists of 5-minute intraday bid/ask US dollar prices and bond quotes, for an assortment of bond species. For these species we also have the number of bid/ask quotes as well as their volume. We found, also, that the exchange rate conveys information to the TES market, but the opposite does not completely hold: A one percent COP depreciation leads to a persistent reduction of TES prices between 0.05% and 0.22%. However, a 1% TES price increase has a very small effect and not entirely significant on the exchange rate, i.e. a COP appreciation between 0.001% and 0.009%. Furthermore, TRM return volatility increases do not affect bond return volatility but its liquidity, i.e. the bid/ask quote number and volume. These results are coherent with the fact that the FX market more efficiently reflects the effect of shocks than the TES market, which may be due to its low liquidity and concentration on a specific habitat. These results have implications for the design of financial stability policies as well as for private portfolio design, rebalancing and hedging.Enfoque Los mercados e instituciones financieras locales son objeto de un flujo constante de información, choques, que determinan los precios de los activos como la tasa de cambio y los bonos de la tesorería, TES. La interrelación entre estos dos mercados permite establecer la manera como se transmiten esos choques a las variables que determinan el mercado como los precios o retornos, sus volatilidades o riesgos, y su liquidez medida como el volumen negociado y el número de transacciones. Conocer la manera como se transmiten los choques permite desarrollar estrategias para controlar la estabilidad financiera, para diseñar y administrar portafolios, además sirve como una herramienta para desarrollar estrategias de cobertura. Contribución En este trabajo modelamos la interrelación entre el mercado del dólar y el de los bonos TES en Colombia. Estudiamos la relación entre sus (i) retornos, (ii) volatilidades y (ii) la liquidez medida a través del volumen negociado, el número de cierres de negocios y el margen entre los precios de oferta y demanda. Para esto analizamos registros intradía en intervalos de 5 minutos de estas variables, y controlamos por el efecto de sorpresas macroeconómicas tanto colombianas como de los Estados Unidos, así como también por estacionalidad intradía cuando resulte necesario. Resultados Encontramos que el mercado cambiario afecta de manera importante al de los bonos, pero el efecto contrario es muy limitado. En efecto, los precios de los bonos reaccionan a choques a la tasa de cambio, pero lo contrario ocurre en una medida que no es económicamente importante o significativa. También encontramos que los choques a la volatilidad de la tasa de cambio no parecen alterar la volatilidad de los precios de los TES pero si su liquidez. En efecto, el número de ofertas de compra y venta de bonos y el volumen negociado se reduce inmediatamente al choque, pero este se recupera minutos después. También encontramos que el incremento de la liquidez del mercado del dólar incrementa con posterioridad la liquidez del mercado de bonos. Sin embargo, los cambios en los precios de los TES no parecen afectar la liquidez o volatilidad del precio del dólar. Estos resultados tienen implicaciones importantes para el desarrollo de estrategias para la estabilidad financiera, el diseño y administración de portafolios, así como también para el desarrollo de alternativas para el cubrimiento de riesgos.

Post-intervention Status in Patients With Refractory Myasthenia Gravis Treated With Eculizumab During REGAIN and Its Open-Label Extension

OBJECTIVE: To evaluate whether eculizumab helps patients with anti-acetylcholine receptor-positive (AChR+) refractory generalized myasthenia gravis (gMG) achieve the Myasthenia Gravis Foundation of America (MGFA) post-intervention status of minimal manifestations (MM), we assessed patients' status throughout REGAIN (Safety and Efficacy of Eculizumab in AChR+ Refractory Generalized Myasthenia Gravis) and its open-label extension. METHODS: Patients who completed the REGAIN randomized controlled trial and continued into the open-label extension were included in this tertiary endpoint analysis. Patients were assessed for the MGFA post-intervention status of improved, unchanged, worse, MM, and pharmacologic remission at defined time points during REGAIN and through week 130 of the open-label study. RESULTS: A total of 117 patients completed REGAIN and continued into the open-label study (eculizumab/eculizumab: 56; placebo/eculizumab: 61). At week 26 of REGAIN, more eculizumab-treated patients than placebo-treated patients achieved a status of improved (60.7% vs 41.7%) or MM (25.0% vs 13.3%; common OR: 2.3; 95% CI: 1.1-4.5). After 130 weeks of eculizumab treatment, 88.0% of patients achieved improved status and 57.3% of patients achieved MM status. The safety profile of eculizumab was consistent with its known profile and no new safety signals were detected. CONCLUSION: Eculizumab led to rapid and sustained achievement of MM in patients with AChR+ refractory gMG. These findings support the use of eculizumab in this previously difficult-to-treat patient population. CLINICALTRIALSGOV IDENTIFIER: REGAIN, NCT01997229; REGAIN open-label extension, NCT02301624. CLASSIFICATION OF EVIDENCE: This study provides Class II evidence that, after 26 weeks of eculizumab treatment, 25.0% of adults with AChR+ refractory gMG achieved MM, compared with 13.3% who received placebo

Minimal Symptom Expression' in Patients With Acetylcholine Receptor Antibody-Positive Refractory Generalized Myasthenia Gravis Treated With Eculizumab

The efficacy and tolerability of eculizumab were assessed in REGAIN, a 26-week, phase 3, randomized, double-blind, placebo-controlled study in anti-acetylcholine receptor antibody-positive (AChR+) refractory generalized myasthenia gravis (gMG), and its open-label extension

Finishing the euchromatic sequence of the human genome

The sequence of the human genome encodes the genetic instructions for human physiology, as well as rich information about human evolution. In 2001, the International Human Genome Sequencing Consortium reported a draft sequence of the euchromatic portion of the human genome. Since then, the international collaboration has worked to convert this draft into a genome sequence with high accuracy and nearly complete coverage. Here, we report the result of this finishing process. The current genome sequence (Build 35) contains 2.85 billion nucleotides interrupted by only 341 gaps. It covers ∼99% of the euchromatic genome and is accurate to an error rate of ∼1 event per 100,000 bases. Many of the remaining euchromatic gaps are associated with segmental duplications and will require focused work with new methods. The near-complete sequence, the first for a vertebrate, greatly improves the precision of biological analyses of the human genome including studies of gene number, birth and death. Notably, the human enome seems to encode only 20,000-25,000 protein-coding genes. The genome sequence reported here should serve as a firm foundation for biomedical research in the decades ahead

Omecamtiv mecarbil in chronic heart failure with reduced ejection fraction, GALACTIC‐HF: baseline characteristics and comparison with contemporary clinical trials

Aims: The safety and efficacy of the novel selective cardiac myosin activator, omecamtiv mecarbil, in patients with heart failure with reduced ejection fraction (HFrEF) is tested in the Global Approach to Lowering Adverse Cardiac outcomes Through Improving Contractility in Heart Failure (GALACTIC‐HF) trial. Here we describe the baseline characteristics of participants in GALACTIC‐HF and how these compare with other contemporary trials. Methods and Results: Adults with established HFrEF, New York Heart Association functional class (NYHA) ≥ II, EF ≤35%, elevated natriuretic peptides and either current hospitalization for HF or history of hospitalization/ emergency department visit for HF within a year were randomized to either placebo or omecamtiv mecarbil (pharmacokinetic‐guided dosing: 25, 37.5 or 50 mg bid). 8256 patients [male (79%), non‐white (22%), mean age 65 years] were enrolled with a mean EF 27%, ischemic etiology in 54%, NYHA II 53% and III/IV 47%, and median NT‐proBNP 1971 pg/mL. HF therapies at baseline were among the most effectively employed in contemporary HF trials. GALACTIC‐HF randomized patients representative of recent HF registries and trials with substantial numbers of patients also having characteristics understudied in previous trials including more from North America (n = 1386), enrolled as inpatients (n = 2084), systolic blood pressure < 100 mmHg (n = 1127), estimated glomerular filtration rate < 30 mL/min/1.73 m2 (n = 528), and treated with sacubitril‐valsartan at baseline (n = 1594). Conclusions: GALACTIC‐HF enrolled a well‐treated, high‐risk population from both inpatient and outpatient settings, which will provide a definitive evaluation of the efficacy and safety of this novel therapy, as well as informing its potential future implementation

Global, regional, and national comparative risk assessment of 79 behavioural, environmental and occupational, and metabolic risks or clusters of risks, 1990-2015: a systematic analysis for the Global Burden of Disease Study 2015

Forouzanfar MH, Afshin A, Alexander LT, et al. Global, regional, and national comparative risk assessment of 79 behavioural, environmental and occupational, and metabolic risks or clusters of risks, 1990-2015: a systematic analysis for the Global Burden of Disease Study 2015. LANCET. 2016;388(10053):1659-1724.Background The Global Burden of Diseases, Injuries, and Risk Factors Study 2015 provides an up-to-date synthesis of the evidence for risk factor exposure and the attributable burden of disease. By providing national and subnational assessments spanning the past 25 years, this study can inform debates on the importance of addressing risks in context. Methods We used the comparative risk assessment framework developed for previous iterations of the Global Burden of Disease Study to estimate attributable deaths, disability-adjusted life-years (DALYs), and trends in exposure by age group, sex, year, and geography for 79 behavioural, environmental and occupational, and metabolic risks or clusters of risks from 1990 to 2015. This study included 388 risk-outcome pairs that met World Cancer Research Fund-defined criteria for convincing or probable evidence. We extracted relative risk and exposure estimates from randomised controlled trials, cohorts, pooled cohorts, household surveys, census data, satellite data, and other sources. We used statistical models to pool data, adjust for bias, and incorporate covariates. We developed a metric that allows comparisons of exposure across risk factors-the summary exposure value. Using the counterfactual scenario of theoretical minimum risk level, we estimated the portion of deaths and DALYs that could be attributed to a given risk. We decomposed trends in attributable burden into contributions from population growth, population age structure, risk exposure, and risk-deleted cause-specific DALY rates. We characterised risk exposure in relation to a Socio-demographic Index (SDI). Findings Between 1990 and 2015, global exposure to unsafe sanitation, household air pollution, childhood underweight, childhood stunting, and smoking each decreased by more than 25%. Global exposure for several occupational risks, high body-mass index (BMI), and drug use increased by more than 25% over the same period. All risks jointly evaluated in 2015 accounted for 57.8% (95% CI 56.6-58.8) of global deaths and 41.2% (39.8-42.8) of DALYs. In 2015, the ten largest contributors to global DALYs among Level 3 risks were high systolic blood pressure (211.8 million [192.7 million to 231.1 million] global DALYs), smoking (148.6 million [134.2 million to 163.1 million]), high fasting plasma glucose (143.1 million [125.1 million to 163.5 million]), high BMI (120.1 million [83.8 million to 158.4 million]), childhood undernutrition (113.3 million [103.9 million to 123.4 million]), ambient particulate matter (103.1 million [90.8 million to 115.1 million]), high total cholesterol (88.7 million [74.6 million to 105.7 million]), household air pollution (85.6 million [66.7 million to 106.1 million]), alcohol use (85.0 million [77.2 million to 93.0 million]), and diets high in sodium (83.0 million [49.3 million to 127.5 million]). From 1990 to 2015, attributable DALYs declined for micronutrient deficiencies, childhood undernutrition, unsafe sanitation and water, and household air pollution; reductions in risk-deleted DALY rates rather than reductions in exposure drove these declines. Rising exposure contributed to notable increases in attributable DALYs from high BMI, high fasting plasma glucose, occupational carcinogens, and drug use. Environmental risks and childhood undernutrition declined steadily with SDI; low physical activity, high BMI, and high fasting plasma glucose increased with SDI. In 119 countries, metabolic risks, such as high BMI and fasting plasma glucose, contributed the most attributable DALYs in 2015. Regionally, smoking still ranked among the leading five risk factors for attributable DALYs in 109 countries; childhood underweight and unsafe sex remained primary drivers of early death and disability in much of sub-Saharan Africa. Interpretation Declines in some key environmental risks have contributed to declines in critical infectious diseases. Some risks appear to be invariant to SDI. Increasing risks, including high BMI, high fasting plasma glucose, drug use, and some occupational exposures, contribute to rising burden from some conditions, but also provide opportunities for intervention. Some highly preventable risks, such as smoking, remain major causes of attributable DALYs, even as exposure is declining. Public policy makers need to pay attention to the risks that are increasingly major contributors to global burden. Copyright (C) The Author(s). Published by Elsevier Ltd

Prediction of the cheapest to deliver in futures contracts on short, medium and long term notional bonds

En este estudio se implementó el modelo Ho-Lee para identificar el bono de deuda pública con la mayor probabilidad de convertirse en el cheapest to deliver (CTD) en la fecha de vencimiento de los contratos de futuro sobre bono nocional, que se negocian en la Bolsa de Valores de Colombia (BVC) entre 2008 y 2014. El modelo exige que la curva cero cupón (CCC) sea una variable exógena, a partir de la cual se realizan proyecciones de los posibles movimientos de las tasas de interés. Estos movimientos se proyectan entre la fecha actual y la fecha de vencimiento del contrato de futuro, periodo en el que se construyó el árbol de tasas Ho-Lee. Para calcular la ccc se utilizó bootstrapping, porque para los bonos utilizados dentro del cálculo este garantiza que tanto el precio teórico como el observado coincidan en la fecha del cálculo. Con base en la ccc y el árbol de tasas de Ho-Lee se calcularon los factores de descuento de los flujos futuros de los entregables y el precio limpio de cada bono; a partir de estos resultados halló el bono CTD. Finalmente, se realizó un análisis de sensibilidad del CTD frente a cambios en la volatilidad y en el nivel de tasas de interés.In this study I implemented the Ho-Lee model to identify which bond will become the Cheapest to deliver (CTD) at the delivery date of the futures contracts traded in the BVC between 2008 and 2014. In the model the zero curve (ZC) is an exogenous variable and it’s used to predict the future movements of the interest rates between the current and delivery dates of the future contract, in this interval the Ho-Lee rate tree is built. Bootstrapping is used to construct the ZC, because it guarantees that the theoretical and observed prices for the bonds used in the process are the same at the current date. The discount factors for the future flows of the bonds in the basket and the clean price for each were found based on the ZC and the Ho-Lee rate tree. At this point, all the variables needed to calculate the CTD are known. Finally, the sensitivity of the CTD was tested by changing the interest rates and the volatility

Amount Analysis and market rates of simultaneous in Colombia

El objetivo de este documento es identificar si el mercado de simultáneas, además de reflejar las condiciones de liquidez en pesos, ofrece información sobre las expectativas de desvalorizaciones de los bonos soberanos. Para ello, se clasifica cada operación (el estudio incluye las operaciones de simultáneas pactadas a plazo de un día hábil en el Sistema Electrónico de Negociación del Banco de la República, entre octubre de 2008 y abril de 2018) en tres rangos, que se construyen a partir del promedio y la desviación estándar del margen –entre la tasa promedio ponderada por monto de las simultáneas negociadas a plazo overnight y la tasa de política monetaria–. Los resultados muestran que la mayoría de operaciones se concentran en el rango medio, cuyo margen se ubica entre ± una desviación estándar. El análisis descriptivo y estadístico de cada rango permite concluir que altos volúmenes de operaciones de simultáneas pactadas a tasas inusualmente bajas podrían indicar expectativas de desvalorizaciones de los bonos locales.The main goal of this paper is to identify if the market of secured liquidity operations called “simultáneas” reflects the devaluation expectations in the sovereign Colombian bond market, besides the liquidity conditions of the money market. In order to achieve it, each operation (Traded in the Electronic Trading System between October 2008 and April 2018) is classified in three ranges, built using the media and standard deviation of the spread—between the weighted average rate of the liquidity market operations and the monetary policy rate. The results show that most of the operations are concentrated in the medium range, with a spread between ± one standard deviation. The descriptive and statistical analysis of each range allows to conclude that high volumes of “simultáneas” traded at unusual low rates might reflect the devaluation expectations in the local bond market