Asset portfolio securitizations and cyclicality of regulatory capital

This paper analyzes the level and cyclicality of regulatory bank capital for asset portfolio securitizations in relation to the cyclicality of capital requirements for the underlying loan portfolio as under Basel II/III. We find that the cyclicality of capital requirements is higher for (i) asset portfolio securitizations relative to primary loan portfolios, (ii) Ratings Based Approach (RBA) relative to the Supervisory Formula Approach, (iii) given the RBA for a point-in-time rating methodology relative to a rate-and-forget rating methodology, and (iv) under the passive reinvestment rule relative to alternative rules. Capital requirements of the individual tranches reveal that the volatility of aggregated capital charges for the securitized portfolio is triggered by the most senior tranches. This is due to the fact that senior tranches are more sensitive to the macroeconomy. An empirical analysis provides evidence that current credit ratings are time-constant and that economic losses for securitizations have exceeded the required capital in the recent financial crisis.     

Controlling 6-endo-selectivity in oxidation/bromocyclization cascades for synthesis of aplysiapyranoids and other 2,2,6,6-substituted tetrahydropyrans

A cascade, composed of (i) oxovanadium(V)-catalyzed oxidation of bromide by tert-butyl hydroperoxide and (ii) stereoselective 6-endo-bromocyclization, affords 3-bromo-2-aryl-2,6,6-trimethyltetrahydropyrans from styrene-type tertiary alkenols in synthetically useful yields. (E)-Alkenols add the bromo- and the alkoxy substituent anti-selectively across the double bond, indicating a bromonium ion-mechanism for the ring closure. 6-endo-control of the alkenol cyclization thereby arises from the polar effect of the aryl substituent. Two methyl substituents bound to the alkene terminus are not similarly able to favor 6-endo-cyclization, because strain arising from methyl group repulsion, as the bromonium-activated π-bond and the hydroxyl oxygen approach, directs bromocyclization of tertiary prenyl-type substrates toward tetrahydrofuran formation. A hexasubstituted bromotetrahydropyran prepared from the oxidation/bromocyclization cascade served as starting material for synthesis of racemic aplysiapyranoid A, in a sequence of free radical and polar functional group interconversion.     

Interval methods as a simulation tool for the dynamics of biological wastewater treatment processes with parameter uncertainties

This paper presents sophisticated interval algorithms for the simulation of discrete-time dynamical systems with bounded uncertainties of both initial conditions and system parameters. Since naive implementations of interval algorithms might lead to guaranteed enclosures of all system states which are too conservative to be practically useful, we present algorithmic extensions of classical approaches which are applicable to the simulation of non-cooperative systems with time-varying uncertain parameters. Overestimation arising in the interval evaluation of dynamical system models due to the wrapping effect is reduced by an exact pseudo-linear transformation of nonlinear state equations and by new heuristics for the subdivision of interval enclosures which especially prefer splitting of unstable intervals. To highlight the typical procedure for parameterization of interval-based simulation routines and to demonstrate their efficiency, a nonlinear model of biological wastewater treatment processes is discussed. For this application, we consider the maximum specific growth rate of substrate consuming bacteria as a time-varying uncertain parameter. Only worst-case bounds are assumed to be available for the range of this parameter while no information is provided about its actual variation rate.     

Synthesis and Characterization of Benzonitrile-Substituted Silyl Ethers

The silyl ethers (siloxanes) Me_{4? x}Si(OC₆H₅CN)_x (x = 1–4) (1–4), O(Si(OC₆H₄CN) (Me)₂)₂ (5), and Me₃Si–O–C₆F₄CN (6) have been synthesized by the reaction of the respective p-hydroxybenzonitriles and chlorosilanes in the presence of N,N,N′,N′-tetramethylethylenediamine (TMEDA) as hydrogen chloride acceptor. All compounds have been fully characterized by CHN-analysis, melting point, IR, Raman, mass spectroscopy, and ¹H, ¹³C, ²⁹Si NMR spectroscopy. Furthermore, the crystal structures of these compounds—with the exception of Me₂Si(OC₆H₅CN)₂, which is a liquid—were determined by X-ray diffractometry.     

New Trioxane Copolymers

Abstract

A review is given on two types of trioxane copolymers: trioxane/dioxolane copolymers and copolymers of trioxane with polar monomers. It has been possible to find reaction conditions that influence the transacetalization reaction and, hence, the molecular weight distribution and the sequence length of trioxane/dioxolane copolymers. Trioxane copolymers with varying dioxolane content show an unusual behavior with respect to density, specific volume, and melting point as a function of composition. This is possibly caused by the formation of at least four different crystal structures in such copolymers. The synthesis of polyoxymethylenes carrying reactive groups is possible by copolymerizing trioxane with substituted phenylglycidyl ethers. These copolymers can be subjected to further chemical modification leading to poly-oxymethylenes with aldehyde, carboxy, and amino groups or derivatives thereof.     

Chlorine‐Enhanced Surface Mobility of Au(100)

Motivated by experimental studies of two‐dimensional Ostwald ripening on Au(100) electrodes in chlorine‐containing electrolytes, we have studied diffusion processes using density functional theory. We find that chlorine has a propensity to temporary form AuCl complexes, which diffuse significantly faster than gold adatoms. With and without chlorine, the lowest activation energy is found for the exchange mechanism. Chlorine furthermore reduces the activation energy for the detachment from kink sites. Kinetic Monte Carlo simulations were performed on the basis of extensive density functional theory calculations. The island‐decay rate obtained from these Monte Carlo simulations, as well as the decay rate obtained from the theoretical activation energies and frequency factors when inserted into analytical solutions for Ostwald ripening, are in agreement with experimental island‐decay rates in chlorine‐containing electrolytes.     

Improved chemical composition separation of ethylene–propylene random copolymers by high-temperature solvent gradient interaction chromatography

High-temperature solvent gradient interaction chromatography (HT-SGIC) is a fast and efficient fractionation technique for the chemical composition analysis of olefin copolymers. The separation of ethylene–propylene random copolymers (EPRs) was achieved on a graphitic stationary phase, Hypercarb, at 160 °C by using linear solvent gradient elution from 1-decanol to 1,2,4-trichlorobenzene (TCB). In the present work, the solvent gradient profile was modified to improve the chromatographic separation of EPRs. With the aim to obtain a better resolution in separation, a slow increase in the volume fraction of TCB was applied. This allowed for a relatively large retention region for linear polyethylene (PE) chains on the column; thereby, a broader elution volume zone between the start of the gradient and the PE elution was achieved. The efficiency of this new gradient profile was demonstrated by analysing two fully amorphous EPR samples. Clear differences in the chemical composition of these EPR samples with similar ethylene contents have been proven by using this modified solvent gradient. The comprehensive chemical composition and microstructure analysis of the SGIC-separated fractions by FTIR revealed that ethylene/propylene (EP) copolymer chains were eluted according to their ethylene/propylene contents and E or P sequence lengths, even though they are distributed in a random manner. These results showed that the solvent composition is an important factor to affect the interactive adsorption or desorption behaviour of EP chains on Hypercarb. In this way, for the first time, the determination of the complex composition and chain structure of EPR samples was achieved within short analysis time, which is not possible till now using other fractionation techniques reported.