Nominal Spread Research Articles

Back-of-the-Envelope analysis of plan-asymmetric confined masonry buildings for force-based seismic design

Location of centers of rigidity (CR) in a confined masonry building is sensitive to the aspect ratio of constituting walls and wall-piers (in case of wall with openings). These centers, generally, do not lie on one vertical line. In contrast, the mass centers (MC) are nearly vertically aligned for a regular confined masonry building. Assuming an average vertical line for the CRs (elastic axis), this paper first presents a simplified framework to arrive at the design force resultants for the force-based seismic design. The framework uses a set of 2D Finite Element (FE) analyses (that can be performed using any commercial software) and some nominal spread sheet calculations. Case study on a recently constructed confined masonry building at Indian Institute of Technology Gandhinagar (India) campus is considered for the purpose of illustration. This framework leads to the design member force resultants close to that calculated using a detailed 3D FE analysis. Next, the framework is converted into a Back-of-the-Envelope method that does not require any FE analysis and yet leads to the member force resultants acceptable for all practical purposes. This is particularly suitable for routine seismic design, especially at the preliminary stage, provided none of the constituting walls comprises of a squat wall-pier.

Execution in an aggregator

An aggregator is a technology that consolidates liquidity—in the form of bid and ask prices and amounts—from multiple sources into a single unified order book to facilitate ‘best-price’ execution. It is widely used by traders in financial markets, particularly those in the globally fragmented spot currency market. In this paper, I study the properties of execution in an aggregator where multiple liquidity providers (LPs) compete for a trader’s uninformed flow. There are two main contributions. Firstly, I formulate a model for the liquidity dynamics and contract formation process, and use this to characterize key trading metrics such as the observed inside spread in the aggregator, the reject rate due to the so-called ‘last-look’ trade acceptance process, the effective spread that the trader pays, as well as the market share and gross revenues of the LPs. An important observation here is that aggregation induces adverse selection where the LP that receives the trader’s deal request will suffer from the ‘Winner’s curse’, and this effect grows stronger when the trader increases the number of participants in the aggregator. To defend against this, the model allows LPs to adjust the nominal spread they charge or alter the trade acceptance criteria. This interplay is a key determinant of transaction costs. Secondly, I analyse the properties of different execution styles. I show that when the trader splits her order across multiple LPs, a single provider that has quick market access and for whom it is relatively expensive to internalize risk can effectively force all other providers to join her in externalizing the trader’s flow thereby maximizing the market impact and aggregate hedging costs. It is therefore not only the number, but also the type of LP and execution style adopted by the trader that determines transaction costs.

A ‘bank rent’ approach to understanding the development of the banking system in Bangladesh

This paper applies the ‘bank rent’ approach to understanding the development of the banking system in Bangladesh since its independence. The paper uses the financial restraint model as an analytical framework and argues that there still remains room for creating bank rents in order to change the current dreary performance of the banking system. The paper unearths a varied level of high nominal lending rates, high nominal spreads and too low or negative real spreads as per different clusters of banks both in the pre-liberalized and liberalized regime, and concludes that this persistent varied performance is largely the outcome of a high amount of non-performing loans, inefficiencies in managing credit risks, and fragmentation and distorted competition in the banking system. This varied level of performance of the banking clusters also results from the government's intervention in the activities of nationalized commercial banks and specialized banks for mediating credits to priority sectors at a subsidized rate. The paper suggests that a more coordinated use of monetary and fiscal policies is required with a view to creating appropriate rents for banks for redressing their current dismal performance.

Pricing Mortgage-Backed Security: An Empirical Analysis

Abstract This article summarizes the factors and basic theory in mortgaged-backed securities pricing, builds suitable models for Chinese MBS product, and carries out empirical study on Jianyuan 2007-1RMBS. By assimilating the successful experiences of developed countries and regions, BDT model is applied to construct term structure of 1-year interest rate, and then under the assumption that CPR is 100% PSA, binary tree of interest rate path is generated through Monte-Carlo simulation, and finally, the option-adjusted spread (OAS) values of three tranches are calculated. The conclusion is that when OAS is low, the nominal spread equals to or slightly higher than OAS, while the difference will gradually expand with the OAS increasing. Moreover, the OAS pricing method more adapts to market-oriented interest rates, and can be used as reference in Chinese MBS pricing in the future.

40Ar– 39Ar laser dating of tektites from the Cheb Basin (Czech Republic): Evidence for coevality with moldavites and influence of the dating standard on the age of the Ries impact

Moldavites (Central European tektites) are genetically related to the impact event that produced the ∼24-km diameter Ries crater in Germany, representing one of the youngest large impact structures on Earth. Although several geochronological studies have been completed, there is still no agreement among 40Ar– 39Ar ages on both moldavites and glasses from Ries suevites. Even recently published data yielded within-sample mean ages with a nominal spread of more than 0.6 Ma (14.24–14.88 Ma). This age spread, which significantly exceeds current internal errors, must be in part ascribed to geological and/or analytical causes. This study reports the results of a detailed geochronological investigation of moldavites from the Cheb area (Czech Republic), which have never been dated before, and, for comparison, of two samples from type localities, one in southern Bohemia and the other in western Moravia. We used 40Ar– 39Ar laser step-heating and total fusion techniques in conjunction with microscale petrographic and chemical characterization. In addition, with the purpose of ascertaining the influence of the dating standards on the age of the Ries impact and making data from this study and literature consistent with the now widely used Fish Canyon sanidine (FCs) standard, we performed a direct calibration of multi-grain splits of the Fish Canyon biotite (FCT-3) with FCs. The intercalibration factors ( R FCs FCT- 3 ), determined for eight stack positions in one of the three performed irradiations, were indistinguishable within errors and gave an arithmetic mean and a standard deviation of 1.0086 ± 0.0031 (±2 σ), in agreement with previous works suggesting that biotite from the Fish Canyon Tuff is somewhat older (∼0.8%) than the coexisting sanidine. Laser total fusion analysis of milligram to sub-milligram splits of five tektite samples from the Cheb area yielded mostly concordant intrasample 40Ar– 39Ar ages, and within-sample weighted mean ages of 14.66 ± 0.08–14.75 ± 0.12 Ma (±2 σ internal errors, ages relative to FCs) that overlap within errors. These ages match those obtained for samples from western Moravia (14.66 ± 0.08 Ma) and southern Bohemia (14.68 ± 0.11 Ma), supporting the genetic link between Cheb Basin tektites and moldavites, and, consequently, between Cheb Basin tektites and the Ries impact. In contrast to samples from the Cheb area and Moravia, 40Ar– 39Ar ages from total fusion experiments on the Bohemian specimen ranged widely from ∼14.6 to ∼17.0 Ma. Older apparent ages, however, were systematically obtained from fragments characterized by visible surface alteration. Laser step-heating experiments, although displaying slightly disturbed age profiles, were in line with total fusion analyses and yielded well-defined plateau ages of 14.64 ± 0.11–14.71 ± 0.11 Ma (±2 σ internal errors, ages relative to FCs). A thorough comparison of our and previous 40Ar– 39Ar ages on both moldavites and Ries suevite glasses, recalculated relative to the 40Ar ∗/ 40K ratio recently determined for FCs using intercalibration factors available in or derivable from the literature, reveals some inconsistencies which may be ascribed to either geological or analytical causes. Based on our data, decay constants in current use in geochronology, and ages calculated relative to FCs, we infer that the age of moldavites is 14.68 ± 0.11 Ma (±2 σ, neglecting uncertainties in the 40K decay constants).

Predicting Australian Growth and Recession Via the Yield Curve

This slope of the yield curve has been estimated using quarterly data on real GDP and the nominal spread is proxied by the difference in returns from the 10 year bond rate and the 90 day bill rate. The time-series analysis after unit root tests using stationary variables revealed that the yield curve gives the best forecasts on real activity over a forecast horizon of one year (4 quarters) ahead. Non-nested tests of rival models of alternative financial indicators demonstrated that the yield curve outperforms other financial indicators as a robust predictor of future real activity. The Probit model forecasts of recessions indicated that the inverted slope of the yield curve for 4-quarter horizon gave the best recession prediction for Australia. The probit model predictions also gave probability estimates for the occurrence of recessions for different nominal spreads or slopes of the yield curve. The probit model predictions of recessions improved dramatically when a dynamic lag structure was incorporated. Empirical evidence demonstrates that the yield curve outperforms other financial indicators as a predictor of a recessions in Australia. It is a simple operational tool that can be validated using up-to-date data.

The Australian yield curve as a leading indicator of consumption growth

The purpose of the reported research is to determine if Australia's real consumption growth is predicted by real and/or nominal yield spreads. To this end, a model of the relationship between consumption growth and interest rates is derived from neoclassical, utility maximizing premises. This theoretical foundation is applied to quarterly Australian data over the period 1983:4 to 1995:4. The time series on real consumption and yield spreads is stationary. Initial OLS estimates are subjected to the Newey West transformation and show that all ‘real’ spreads from one quarter to two years are significant, but at the short end these are of the wrong sign. Nominal spreads of one and two year length influence real consumption growth. The model provides accurate out-of-sample predictions. GMM estimation of the relationship between real spreads and real consumption are significant and of the correct sign at the longer end of the yield curve. Policy implications are indicated.

OAS Analysis for CMOs

For example, stable intermediate PACs on par collateral might trade 50 to 80 bp “off the curve”; broken PACs with premium collateral might carry an additional discount of 50 to 100 bp; support tranches would trade wider still. Investors persist in attempting to adjust these nominal spreads for prepayment risk in order both to compare a security to other similar ones and to compare the different sectors. These comparisons are really “rule of thumb” exercises, partly for lack of familiarity with, availability of, or inconvenience of the quantitative analytical tools required for accurate analysis.

Rotating‐Anode X‐Ray Generator

Construction of the rotating‐anode x‐ray generator was based on that of A. Taylor (1949), the main difference lying in the design of the anode and of the anode‐cathode assembly. The anode is in the form of a flat disk, ⅞ in. thick and 6 in. in diameter, with the focus on the periphery. The cathode assembly is extended to partly cover the anode. This combined anode‐cathode assembly not only greatly reduces wall‐heating due to stray electrons but also improves the electron‐optical system. With zero‐bias conditions, it has been found possible with a silicated tungsten helix of outside diameter 0.065 in. to concentrate 200 ma into a line focus 0.020×0.40 in. with nominal spread outside the focal area. The cooling system is cyclic.