Maturity Gap Research Articles

The Use of Interest Rate Derivatives by End-users: The Case of Large Community Banks

This paper investigates the use of interest-rate derivatives by U.S. commercial banks with total assets between $100 million and $1 billion. These banks are interesting, because they allow us to focus on the end-users of interest-rate derivatives rather than dealers. Over our four-year test period, 1990–1993, only 10% of these large community banks, on average about 250 banks per year, used any interest-rate derivatives. We find evidence that the use of interest-rate derivatives is positively related to exposure to interest-rate risk as measured by the absolute value of the 12-month maturity gap. In addition, a community bank's decision to participate in interest-rate contracts is positively related to size. Nevertheless, we find no positive relationship between size and the extent of participation in the derivatives market. Finally, our evidence suggests that banks that participate more heavily in interest-rate swaps have stronger capital positions, an indicator of market or regulatory discipline or both.

An empirical investigation of asset-liability management of small US commercial banks

A simultaneous equation model is developed that jointly determines net interest margin and various maturity gaps. Using annual data for the majority of the population of insured commercial banks, this model is estimated for the years 1984 to 1987 (the only years for which repricing data were collected). For banks with assets of less than $300 million, it is found that net interest margin is significantly associated with various maturity gaps. This framework is highly relevant to thousands of small banks for which accounting flows (such as net interest income) are the primary indicators of the effectiveness of asset liability management. One policy implication of this study is that the Federal Reserve may resume collecting repricing data (its collection was discontinued after 1987), at least for small banks with assets less than $300 million because repricing data reveals important information about small banks exposure to interest rate risk, and these banks are less subject to market discipline.

Delayed Maturity and Reproductive Gaps in Fluctuating Populations

The evolutionary stability of delayed maturity and suppressed breeding, including a possibility of reproductive gaps, in an age-structured population breeding more than once within a breeding season was studied. In this study I show that breeding strategies may depend strongly on intra-specific competition (population density), in which case the breeding strategies will also modify the overall growth rates of the population. Consequently, breeding strategies may fluctuate from year to year when the individuals adjust their breeding behaviors according to chaotically varying population densities.

Estimating the Minimum Risk Maturity Gap: Some Evidence from the Savings and Loan Industry

The common view of many regulators and practitioners is that the minimum risk maturity gap is equal to zero. However, because of the interest sensitivity of such non‐gap items as the average spread between asset and liability rates, lending activity, fee income and prepayments, the minimum risk gap could be significantly different from zero. We formulate and test a model for a sample of four hundred and twenty six thrift institutions. The results strongly suggest that the minimum risk maturity gap is positive for the average firm in the sample and that there is substantial cross‐sectional variability in the ratio of the minimum risk gap to assets. This suggests that attempts to regulate interest rate risk using a uniform gap as a benchmark are misdirected. Finally, we provide some evidence that there is, in fact, a positive cross‐sectional relationship between measured maturity gap positions and our estimates of the minimum risk maturity gap.

Thrift Viability and Traditional Mortgage Lending: A Simultaneous Equations Analysis of the Risk-Return Trade-Off

A number of studies have argued that the thrift industry is not viable as it is presently structured and regulated because mortgage yields are inadequate to cover interest and operating costs. This hypothesis suggests that observed profitability is primarily the result of the tendency of the industry to “ride” the yield curve by borrowing short and lending long. To evaluate this argument, we construct a simultaneous-equations model of thrift risk (maturity gap positions) and return (net interest margin). We find support for the notion that the industry could not be reasonably profitable if it did not take on significant interest-rate risk. For instance, a zero gap position produces a return on assets of only 19 basis points and a return on equity of only 4%. We also estimate the amount of interest-rate risk the industry can employ to increase returns on equity and assets. Our estimates show that over 50% of thrift profits earned during this period are the result of negative gap positions and interest-rate speculation. As earlier research shows, changes in regulations affecting thrift asset and liability choices can be counterproductive.

Ultrastructural Analysis of Gap Junctions in C6 Glioma Cells Transfected with Connexin43 cDNA

In the past, we transfected C6 glioma cells with connexin43 cDNA, resulting in a significant increase in connexin43 mRNA and protein, as well as reduced proliferation and tumorigenesis. To investigate the morphological aspects of increased connexin43 expression in these cells, we have used a combination of immunocytochemistry, cytochemistry, and electron microscopy. By confocal immunofluorescence microscopy, connexin43 protein was localized to the plasma membrane of transfected cells and extensive intracellular accumulations of connexin43 were also demonstrated. Freeze fracture preparations showed large aggregates of particles typical of mature gap junction plaques in the plasma membrane of these cells. Ultrastructural immunogold labeling with anti-connexin43 serum revealed that connexin43 protein was present in gap junctions in the plasma membrane, some of which were found in proximity to clathrin-coaded pits. In addition, various intracellular membranous profiles were immunoreactive for connexin43, including annular profiles, some with fuzzy coats and some associated with lysosome-like structures. Enzyme cytochemistry revealed that these annular gap junction profiles were often associated with acid phosphatase-positive lysosomes. These studies on the intracellular localization of gap junction protein in connexin43-transfected cells are consistent with the functional expression of the transfected connexin43 cDNA and provide a useful model to study the pathways of gap junction assembly and degradation.

Adolescence-limited and life-course-persistent antisocial behavior: A developmental taxonomy.

A dual taxonomy is presented to reconcile 2 incongruous facts about antisocial behavior: (a) It shows impressive continuity over age, but (b) its prevalence changes dramatically over age, increasing almost 10-fold temporarily during adolescence. This article suggests that delinquency conceals 2 distinct categories of individuals, each with a unique natural history and etiology: A small group engages in antisocial behavior of 1 sort or another at every life stage, whereas a larger group is antisocial only during adolescence. According to the theory of life-course-persistent antisocial behavior, children's neuropsychological problems interact cumulatively with their criminogenic environments across development, culminating in a pathological personality. According to the theory of adolescence-limited antisocial behavior, a contemporary maturity gap encourages teens to mimic antisocial behavior in ways that are normative and adjustive.

Partial breaking of a mature seismic gap: The 1987 earthquakes in New Britain

To better understand the mechanics of subduction and the process of breaking a mature seismic gap, we study seismic activity along the western New Britain subduction segment (147°E-151°E, 4°S-8°S) through earthquakes with m b ≥ 5.0 in the outer-rise, the upper area of subducting slab and at intermediate depths to 250 km, from January 1964 to December 1990. The segment last broke fully in large earthquakes of December 28, 1945 (M s = 7.9) and May 6, 1947 (M s = 7.7), and its higher seismic potential has been recognized by McCann et al. (1979). Recently the segment broke partially in two smaller events of February 8, 1987 (M s = 7.4) and October 16, 1987 (M s = 7.4), leaving still unbroken areas.

Immunizing Foreign Exchange Contracts Against Swap Rate and Volatility Risks

AbstractSwap rate risk, also called the problem of' “maturity gaps,” originates from foreign currency holdings whenever the involved contracts have differing maturities. Such differing maturities give rise to a sensitivity of the portfolio values with respect to the “swap rate,” or differential between the relative interest rates in two countries. Volatility risk, which typically affects only currency contracts having asymmetric payoffs (such as currency options), gives rise to a sensitivity of portfolio values with respect to changes in the exchange rate volatility. In this article we show how currency portfolios may be immunized, or made insensitive, to both swap rate risk and volatility risk, in the sense of Macaulay's (1938) classical treatment of interest rate risk. The European currency option contract is the primary subject of our discussion, since we show that both ordinary forward contracts and other complicated currency contracts are equivalent to suitable combinations of European currency options.

Formation of tight and gap junctions in the inner enamel epithelium and preameloblasts in human fetal tooth germs.

Human fetal primary tooth germs in the cap stage were fixed with a glutaraldehyde-formaldehyde mixture, and formative processes of tight and gap junctions of the inner enamel epithelium and preameloblasts were examined by means of freeze-fracture replication. Chains of small clusters of particles on the plasma membrane P-face of the inner enamel epithelium and preameloblasts were the initial sign of tight junction formation. After arranging themselves in discontinuous, linear arrays in association with preexisting or forming gap junctions, these particles later began revealing smooth, continuous tight junctional strands on the plasma membrane P-face and corresponding shallow grooves of a similar pattern on the E-face. Although they exhibited evident meshwork structures of various extents at both the proximal and distal ends of cell bodies, they formed no zonulae occludentes. Small assemblies of particles resembling gap junctions were noted at points of cross linkage of tight junctional strands; but large, mature gap junctions no longer continued into the tight junction meshwork structure. Gap junctions first appeared as very small particle clusters on the plasma membrane P-face of the inner enamel epithelium. Later two types of gap junctions were recognized: one consisted of quite densely aggregated particles with occasional particle-free areas, and the other consisted of relatively loosely aggregated particles with particle-free areas and aisles. Gap junction maturation seemed to consist in an increase of particle numbers. Fusion of gap junctions in the forming stage too was recognized. The results of this investigation suggest that, from an early stage in their development, human fetal ameloblasts possess highly differentiated cell-to-cell interrelations.

How a gap junction maintains its structure.

In gap junctions, identical membrane proteins are linked up in pairs (dyads) that bridge the extracellular space between two apposed cell membranes. Typically, several thousand of these dyads are aggregated in the plane of the membranes and form a junctional plaque with a distinct boundary. The question thus arises as to what maintains the dyads in an aggregated state. From a statistical mechanical analysis of the positions of dyads in a freeze-fracture electron micrograph, we report here that the aggregates are not maintained by an attractive force between pairs of dyads, but probably by the minimization of the repulsive force between apposed membranes. On the basis of this analysis we present a model for the structure of mature gap junctions as well as certain aspects of the formation and disassembly of gap junctions.

Intercellular junctions in the cells of the human enamel organ as revealed by freeze-fracture

Examined by thin sections and freeze-fracture replication techniques, secretory ameloblasts possessed two sets of the junctional complexes at both proximal and distal ends of the cell bodies, which consisted of tight junctions and occasional gap junctions and desmosomes. The proximal tight junction was fascia occludens, whereas the distal tight junction was zonula occludens. Between adjacent ameloblasts, mature gap junctions were frequent. The stratum-intermedium cells were connected to each other and to the stellate-reticulum cells and ameloblasts by well-developed desmosomes, gap junctions and fascia or macula-type tight junctions. Stellate-reticulum cells were inter-connected by many extensive cytoplasmic processes, in which well-developed desmosomes, small gap junctions and occasional macula-type tight junctions appeared. Thus fascia or macula-type tight junctions as well as many desmosomes seem to serve in mechanical, cell-to-cell adhesion during tooth formation. Frequent and large gap junctions between adjacent stratum-intermedium cells and between the stratum intermedium and the base of the ameloblast suggest that, in relation to enamel formation, these two cell layers form a functional unit.

Intramembrane events accompanying junction formation in a liver cell line.

To study intramembrane events leading to the establishment of intercellular junctions between epithelial cells in vitro, we examined monolayer cultures of a rat liver cell line by an in situ freeze-fracturing technique (Pauli et al., J. Cell Biol., 72:763, 1977). Our observations indicate that an early step of junction formation between liver cells consists of the differentiation of a particle-poor membrane stretch showing a honeycomb pattern of shallow P-face depressions or E-face bulges ("formation band"). This change in membrane organization precedes and accompanies the subsequent aggregation of junctional particles. The latter process results in the formation of irregular particle islands with peripheral branchings which tend to encompass the depressions in the membrane. The linear branchings grow and interconnect in a network of beaded strands, which gradually transform into smooth tight junctional fibrils, as previously described in fetal liver in vivo (Montesano et al., J. Cell Biol., 67:310, 1975), while the particle islands assume the typical configuration of mature gap junctions. Formation bands are particularly prominent between liver cells growth in the presence of hydrocortisone (5 microgram/ml) in the culture medium.

Intercellular junctions and the development of the blood-brain barrier in Manduca sexta

In early embryonic development of the tobacco horn moth no blood-brain barrier is present, as shown by the unimpeded entry of exogenous tracers into the nervous system. However, later on, just before hatching, lanthanum and horseradish peroxidase (HRP) are unable to move inwardly beyond the level of the perineurium, which is the morphological site of the blood-brain barrier in the adult moth, as well as in other insects. Freeze-fracture studies indicate that in the early embryo, 10 nm particles are scattered about in the perineurial membrane PF, either as separate entities or as short linear arrays. By hatching or just before, however, the 10 nm particles have become aligned into lengthy linear aggregates as PF ridges with EF grooves. These would appear to be the simple, arthropod-form of tight junction, and are presumed to be the basis of the perineurial blood-brain barrier. At about the same time, gap junctional elements appear both between adjacent perineurial cells and between glial cells. In both cell types, the gap junctions form from free 13 nm EF particles which gradually become aligned or clumped into strands and aggregates which ultimately coalesce to form first irregular masses and then the macular plaques typical of mature gap junctions. Many of the latter stages are coincident with the hatching of a motile larvae, so that the perineurial and glial cells are by this stage coupled via the channels of the gap junctional particles. They are therefore able to undergo both ionic and metabolic exchange and cooperation during larval life, in addition to being able to respond to hormonal substances in an integrated way. During the 5 larval instars more gap junctions form as the perineurial layer grows thicker. These junctions become more regular in outline and their particles more tightly packed; these larval structures are compared with junctions found in the adult which tend to be more extensive but otherwise similar. Since no septate junctions are apparent during Manduca embryonic or larval life when the blood-brain barrier forms, nor in adults, the results of this report support the contention that it is the tight junctions rather than septate ones which form the basis of permeability barriers in this, and probably other, arthropod systems.

Changes in the blood-brain barrier of the central nervous system in the blowfly during development, with special reference to the formation and disaggregation of gap and tight junctions: II. Pupal development and adult flies

In the central nervous system (CNS) of pupal Calliphora, dramatic alterations occur in the perineurial and glial gap junctions. Having formed macular plaques by late larval stages, in early pupae cell migration causes the EF intramembranous junctional particles to disaggregate and move apart into linear and then disorganised arrays as shown by freeze-fracture. After nerve and glial cell reorganisation into the adult pattern, the gap junctions begin to reform in the late pupae, again seemingly by particle migration into linear arrays and clusters. Ultimately the particles form numerous macular plaques between both perineurial and glial cells. Statistical analyses support the contention that these are performed EF particles which undergo translateral movement from macular larval junctions into the disaggregated particles of early pupae and that the same particles appear to undergo realignment and reclustering in late pupae to form the mature gap junctions of adults. This is the first report to indicate breakdown and reformation of gap junctions in vivo involving reutilisation of the same intramembranous particles. Perineurial “tight” junctions are not to be found in early pupal stages and their absence can be correlated with the free entry of ionic lanthanum into the CNS observed during that period. In late pupae, when the tight junctional moniliform ridges have apparently reformed, the entry of the tracer lanthanum becomes restricted to the level of the perineurium, penetrating no deeper. This is also the case in the adult, where the blood-brain barrier is maintained. PF particles in the form of short linear ridges and clustered particle arrays in nerve cell membranes are present throughout pupal and adult stages; their continued presence throughout the whole of development suggests some role in neuronal function, as yet unclear.