The Determinants of the Nondefaultable Spreads of Corporate Bonds: Evidence from China

This study investigates the factors impacting the price difference between the interbank market and the exchange market for the same bond using a large transaction dataset from July 2006 to June 2016 in China. We find that market liquidity and macrofactors mainly affect the price difference between the two markets for the same bond. And individual bond liquidity explains only a small part of the price difference. We also find that the interaction between liquidity and credit risk is an important factor affecting the price difference, and the effect is greater during financial crisis.

Using a DOE Approach to Optimize a LVPS Bond Coat and APS Top Coat for TBC Systems

Acquisition of a new LVPS and APS coating system at Delta Air Lines necessitated optimization of the coating parameters on both systems; especially for application of bond coat (LVPS) and top coat (APS) for a TBC coating system. To expedite the coating optimization; it was determined that a design of experiments (DOE) approach would best enable the establishment of the operating window for the two systems. Samples prepared were primarily evaluated for their performance while exposed to a cyclic oxidation cycle. Samples were also evaluated for the microstructure and composition using energy dispersive spectroscopy (EDS) analysis. Samples from the ceramic coating DOE were also evaluated for their erosion characteristics. Results indicate a low correlation between the individual bond coat parameters evaluated to the furnace cycle life. However; the top coat spray parameters were found to have a greater correlation to furnace cycle life and erosion performance.

Numerical Characterization of Cohesive and Non-Cohesive ‘Sediments’ under Different Consolidation States Using 3D DEM Triaxial Experiments

The Discrete Element Method has been widely used to simulate geo-materials due to time and scale limitations met in the field and laboratories. While cohesionless geo-materials were the focus of many previous studies, the deformation of cohesive geo-materials in 3D remained poorly characterized. Here, we aimed to generate a range of numerical ‘sediments’, assess their mechanical response to stress and compare their response with laboratory tests, focusing on differences between the micro- and macro-material properties. We simulated two endmembers—clay (cohesive) and sand (cohesionless). The materials were tested in a 3D triaxial numerical setup, under different simulated burial stresses and consolidation states. Variations in particle contact or individual bond strengths generate first order influence on the stress–strain response, i.e., a different deformation style of the numerical sand or clay. Increased burial depth generates a second order influence, elevating peak shear strength. Loose and dense consolidation states generate a third order influence of the endmember level. The results replicate a range of sediment compositions, empirical behaviors and conditions. We propose a procedure to characterize sediments numerically. The numerical ‘sediments’ can be applied to simulate processes in sediments exhibiting variations in strength due to post-seismic consolidation, bioturbation or variations in sedimentation rates.

Managing the UK National Debt 1694–2018

We examine UK debt management using a new monthly dataset on the quantity and market price of every individual bond issued by the government since 1694. Our bond-by-bond dataset identifies variations in the market value of debt and so captures investors’ one-period holding returns, which is the cost of debt management in the government’s intertemporal budget constraint. We find a substantial cost advantage in favor of issuing short bonds, even when considering some of the operational risks implied by cash flows and gross redemptions. (JEL F34, G15, H63, N23, N24, N43, N44)

Structural influence of the conserved Hsp40 HPD tripeptide on Hsp70 chaperone function

ABSTRACTThe control of Hsp70 functions has been related to the modulation of ATP hydrolysis and substrate capture by Hsp40. Structural and biophysical analyses of Hsp40 variants and their interactions with Hsp70 have identified key residues for this functional control mechanism. Conserved residues in both Hsp40 and Hsp70 have revealed conserved interactions that link Hsp40 binding to the catalytic residues within Hsp70. The current work investigates the effect of documented J-domain dysfunctional mutations (i.e. D35N, H33Q) on the described interaction linkage. Molecular dynamics simulations were used to compare the persistence of individual bond types (i.e. H-bonds, salt bridges, hydrophobic interactions) between Hsp70 and the bound forms of functional and dysfunctional Hsp40 variants. The generated data suggests the involvement of both direct and allosteric effects for the tested mutations. The observed changes relate mutations in the conserved HPD tripeptide of Hsp40 to alterations in the interaction network that induces Hsp70 chaperone functions.STATEMENT OF SIGNIFICANCEThe significance of the work may be summarized as follows. First, the interaction network for the simulated systems were observed to be different from one previously proposed for a disulfide linked complex (9). This may be attributed to altered residue movement and interactions without the restrictions set by the disulfide link. These results support the use of in silico methods to refine investigations of molecular contacts, particularly for systems, whose in vitro structural elucidation are difficult to achieve without modifications.Second, key interactions for intermolecular and intramolecular contacts were observed within a short simulation time (0.1 ns) matched those from much longer runs (500 ns) (4). This result highlights the possibility of identifying key interactions with relatively low computational cost.

Stick-Slip Dynamics of Migrating Cells on Viscoelastic Substrates

Stick-slip motion, a common phenomenon observed during crawling of cells, is found to be strongly sensitive to the substrate stiffness. Stick-slip behaviours have previously been investigated typically using purely elastic substrates. For a more realistic understanding of this phenomenon, we propose a theoretical model to study the dynamics on a viscoelastic substrate. Our model based on a reaction-diffusion framework, incorporates known important interactions such as retrograde flow of actin, myosin contractility, force dependent assembly and disassembly of focal adhesions coupled with cell-substrate interaction. We show that consideration of a viscoelastic substrate not only captures the usually observed stick-slip jumps, but also predicts the existence of an optimal substrate viscosity corresponding to maximum traction force and minimum retrograde flow which was hitherto unexplored. Moreover, our theory predicts the time evolution of individual bond force that characterizes the stick-slip patterns on soft versus stiff substrates. Our analysis also elucidates how the duration of the stick-slip cycles are affected by various cellular parameters.

Toward Greater Transparency and Efficiency in Trading Fixed-Income ETF Portfolios

The over-the-counter global corporate bond market, characterized by opacity and illiquidity, is undergoing a rapid transformation driven by new regulations and technology. Bond exchange-traded funds (ETFs) offer one vision of the possible future of the market, trading on organized exchanges with typically narrow spreads and high liquidity. The success of bond ETFs relies critically on the efficient functioning of arbitrage. In recent years, improved real-time technology combined with greater post-trade transparency (e.g., through TRACE) has made it possible to generate intraday estimates for a fixed-income portfolio based on individual bond data and macro-market parameters. In this article, the authors describe one possible approach to developing and implementing such an intraday estimate. From a practical perspective, they illustrate how investors and traders can use these estimates as a complement to existing data (such as end-of-day NAV) to better understand the underlying bond portfolio value during the trading day and for transaction cost analysis. More generally, the article illustrates the potential for new analytics to increase transparency and further accelerate the ongoing evolution of fixed-income markets.

Executive Constraint and Sovereign Debt: Quasi-Experimental Evidence From Argentina During the Baring Crisis

The literature on whether executive constraint improves the credibility of sovereign debt takes the political regime as the unit of analysis, typically computing an average yield or price for each regime, and then relating that average to regime characteristics. In this article, we take the individual bond issue as the unit of analysis, examining quasi-experimental evidence from two Argentine sovereign debts issued in the 1880s. The loans were sought by the same government and offered nearly identical terms to borrowers, except that one was funded and the other was unfunded. The loans sold at virtually the same price until the Baring crisis of November 16, 1890 erupted. Thereafter, their price histories diverged markedly. We analyze the market’s evolving valuation of the two loans before and after the Baring crisis using a difference-in-differences estimator and weekly price data. Our study shows that exposure to executive discretion strongly influences market assessments of value.