Rollover Risk and Credit Risk HE, ZHIGUO; XIONG, WEI
The Journal of finance (New York),
April 2012, Volume:
67, Issue:
2
Journal Article
Peer reviewed
Open access
Our model shows that deterioration in debt market liquidity leads to an increase in not only the liquidity premium of corporate bonds but also credit risk. The latter effect originates from firms' ...debt rollover. When liquidity deterioration causes a firm to suffer losses in rolling over its maturing debt, equity holders bear the losses while maturing debt holders are paid in full. This conflict leads the firm to default at a higher fundamental threshold. Our model demonstrates an intricate interaction between the liquidity premium and default premium and highlights the role of short-term debt in exacerbating rollover risk.
Focusing on downgrades as stress events that drive the selling of corporate bonds, we show that the illiquidity of stressed bonds has increased after the Volcker Rule. Dealers regulated by the rule ...have curtailed their market-making activities and non-Volcker-affected dealers have not offset the decreased activities of Volcker-affected dealers. Furthermore, even Volcker-affected dealers that are not constrained by Basel III and Comprehensive Capital Analysis and Review regulations change their behavior, inconsistent with the effects being driven by these other regulations. Because Volcker-affected dealers have been the main liquidity providers, bonds have become less liquid during times of stress due to the Volcker Rule.
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•Guanidine-catalyzed asymmetric catalysis is introduced.•Guanidine-catalyzed construction of C-heteroatom bonds-forming reaction is described.•CN, CO, CP, CS bond-forming reaction is ...featured.
Guanidine-containing molecules have been employed as organocatalysts, and chiral guanidines have been widely explored as catalysts for mediating asymmetric reactions by constructing an asymmetric reaction environment. Currently, many guanidine-catalyzed asymmetric reactions are available, and some excellent reviews have appeared. In this Digest, we focused on recent progress in the guanidine-catalyzed asymmetric construction of CN, CO, CP, and CS bonds, especially developments since 2010.
We examine the dynamic relation between credit risk and liquidity in the Italian sovereign bond market during the eurozone crisis and the subsequent European Central Bank (ECB) interventions. Credit ...risk drives the liquidity of the market. A 10% change in the credit default swap (CDS) spread leads to a 13% change in the bid-ask spread, the relation being stronger when the CDS spread exceeds 500 basis points. The Long-Term Refinancing Operations of the ECB weakened the sensitivity of market makers’ liquidity provision to credit risk, highlighting the importance of funding liquidity measures as determinants of market liquidity.
Na⋅⋅⋅B Bond in NaBH3−: Solving the Conundrum Radenković, Slavko; Shaik, Sason S.; Braïda, Benoît
Angewandte Chemie International Edition,
June 1, 2021, 20210601, Volume:
60, Issue:
23
Journal Article
Peer reviewed
Open access
Bonding in the recently synthesized NaBH3− cluster is investigated using the high level Valence Bond BOVB method. Contrary to earlier conclusions, the Na−B bond is found to be neither a genuine ...dative bond, nor a standard polar‐covalent bond at equilibrium. It is rather revealed as a split and polarized weakly coupled electron‐pair, which allows this cluster to be more effectively stabilized by a combination of (major) dipole‐dipole electrostatic interaction and (secondary) resonant one‐electron bonding mechanism. Our analysis of this unprecedented bonding situation extends to similar clusters, and the VB model unifies and articulates the previously published variegated views on this exotic “bond”.
A multifaceted bond: High level Valence Bond calculations show that the NaBH3− cluster is stabilized neither by a dative bond nor by a standard polar‐covalent bond, but rather by a unique combination of three distinct components that are accurately quantified.
Ab initio calculations are employed to assess the relative strengths of various noncovalent bonds. Tetrel, pnicogen, chalcogen, and halogen atoms are represented by third-row atoms Ge, As, Se, and ...Br, respectively. Each atom was placed in a series of molecular bonding situations, beginning with all H atoms, then progressing to methyl substitutions, and F substituents placed in various locations around the central atom. Each Lewis acid was allowed to engage in a complex with NH₃ as a common nucleophile, and the strength and other aspects of the dimer were assessed. In the context of fully hydrogenated acids, the strengths of the various bonds varied in the pattern of chalcogen > halogen > pnicogen ≈ tetrel. Methyl substitution weakened all bonds, but not in a uniform manner, resulting in a greatly weakened halogen bond. Fluorosubstitution strengthened the interactions, increasing its effect as the number of F atoms rises. The effect was strongest when the F atom lay directly opposite the base, resulting in a halogen > chalcogen > pnicogen > tetrel order of bond strength. Replacing third-row atoms by their second-row counterparts weakened the bonds, but not uniformly. Tetrel bonds were weakest for the fully hydrogenated acids and surpassed pnicogen bonds when F had been added to the acid.
Reaching for Yield in the Bond Market BECKER, BO; IVASHINA, VICTORIA
The Journal of finance (New York),
October 2015, Volume:
70, Issue:
5
Journal Article
Peer reviewed
Open access
This paper studies reaching for yield—investors' propensity to buy riskier assets to achieve higher yields—in the corporate bond market. We show that insurance companies reach for yield in choosing ...their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the business cycle being most pronounced during economic expansions. It is also characteristic of firms with poor corporate governance and for which the regulatory capital requirement is more binding.
I propose a new measure that identifies when the market price of an over-the-counter traded asset is below its fundamental value due to selling pressure. The measure is the difference between prices ...paid by small traders and those paid by large traders. In a model for overthe-counter trading with search frictions and periods with selling pressures, I show that this measure identifies liquidity crises (i.e., high number of forced sellers). Using a structural estimation, the model is able to identify liquidity crises in the U.S. corporate bond market based on the relative prices paid by small and large traders. New light is shed on two crises, the downgrade of General Motors and Ford in 2005 and the subprime crisis.
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