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PurposeThis article aims to analyze the impact of COVID-19 measures by governments and central banks on International Financial Reporting Standards (IFRS) 9 loan loss provisions (LLPs). Changes in the total amount of LLPs, distribution of outstanding loan balance among IFRS 9 stages and credit risk parameters used for calculation are investigated for each world region where banks report under IFRS.Design/methodology/approachData for a global selection of 105 banks reporting under IFRS were collected from 2019 to 2020 annual reports, financial statements, and Pillar III reports. These data provide the basis to empirically analyze the impact of COVID-19 on LLPs.FindingsIn most world regions Stage 2 balances increase while Stage 3 balances remain comparatively stable. The credit risk parameters used for computing LLPs remained stable in 2020. However, in China, the impact of COVID-19 on banks was not detected. Mean Stage 1 balances for Chinese banks increased slightly during the pandemic. Aside from the COVID-19 impact, we find that LLPs, credit risk parameters, and loss absorption capacities are significantly lower for banks in Canada, Oceania and Western Europe compared to those in the rest of the world.Originality/valueThere exists previous research examining the COVID-19 impact on financial stability, implementation of emergency rules and country-wide analyses to anticipate default rates depending on recovery scenarios. However, this is the first global study on the immediate impact of COVID-19 on LLPs. It reveals the significant differences between world regions and provides implications about their resilience against future credit shocks.

To fulfil its orchestration of immune cell trafficking, a network of chemokines and receptors developed that capitalizes on specificity, redundancy, and functional selectivity. The discovery of heteromeric interactions in the chemokine interactome has expanded the complexity within this network. Moreover, some inflammatory mediators, not structurally linked to classical chemokines, bind to chemokine receptors and behave as atypical chemokines (ACKs). We identified macrophage migration inhibitory factor (MIF) as an ACK that binds to chemokine receptors CXCR2 and CXCR4 to promote atherogenic leukocyte recruitment. Here, we hypothesized that chemokine–chemokine interactions extend to ACKs and that MIF forms heterocomplexes with classical chemokines. We tested this hypothesis by using an unbiased chemokine protein array. Platelet chemokine CXCL4L1 (but not its variant CXCL4 or the CXCR2/CXCR4 ligands CXCL8 or CXCL12) was identified as a candidate interactor. MIF/CXCL4L1 complexation was verified by co-immunoprecipitation, surface plasmon-resonance analysis, and microscale thermophoresis, also establishing high-affinity binding. We next determined whether heterocomplex formation modulates inflammatory/atherogenic activities of MIF. Complex formation was observed to inhibit MIF-elicited T-cell chemotaxis as assessed by transwell migration assay and in a 3D-matrix-based live cell-imaging set-up. Heterocomplexation also blocked MIF-triggered migration of microglia in cortical cultures in situ, as well as MIF-mediated monocyte adhesion on aortic endothelial cell monolayers under flow stress conditions. Of note, CXCL4L1 blocked binding of Alexa-MIF to a soluble surrogate of CXCR4 and co-incubation with CXCL4L1 attenuated MIF responses in HEK293-CXCR4 transfectants, indicating that complex formation interferes with MIF/CXCR4 pathways. Because MIF and CXCL4L1 are platelet-derived products, we finally tested their role in platelet activation. Multi-photon microscopy, FLIM-FRET, and proximity-ligation assay visualized heterocomplexes in platelet aggregates and in clinical human thrombus sections obtained from peripheral artery disease (PAD) in patients undergoing thrombectomy. Moreover, heterocomplexes inhibited MIF-stimulated thrombus formation under flow and skewed the lamellipodia phenotype of adhering platelets. Our study establishes a novel molecular interaction that adds to the complexity of the chemokine interactome and chemokine/receptor-network. MIF/CXCL4L1, or more generally, ACK/CXC-motif chemokine heterocomplexes may be target structures that can be exploited to modulate inflammation and thrombosis.

Background Cancer cachexia (CCx) is a multifactorial wasting disorder characterized by involuntary loss of body weight that affects many cancer patients and implies a poor prognosis, reducing both tolerance to and efficiency of anticancer therapies. Actual challenges in management of CCx remain in the identification of tumour‐derived and host‐derived mediators involved in systemic inflammation and tissue wasting and in the discovery of biomarkers that would allow for an earlier and personalized care of cancer patients. The aim of this study was to identify new markers of CCx across different species and tumour entities. Methods Quantitative secretome analysis was performed to identify specific factors characteristic of cachexia‐inducing cancer cell lines. To establish the subsequently identified phospholipase PLA2G7 as a marker of CCx, plasma PLA2G7 activity and/or protein levels were measured in well‐established mouse models of CCx and in different cohorts of weight‐stable and weight‐losing cancer patients with different tumour entities. Genetic PLA2G7 knock‐down in tumours and pharmacological treatment using the well‐studied PLA2G7 inhibitor darapladib were performed to assess its implication in the pathogenesis of CCx in C26 tumour‐bearing mice. Results High expression and secretion of PLA2G7 were hallmarks of cachexia‐inducing cancer cell lines. Circulating PLA2G7 activity was increased in different mouse models of CCx with various tumour entities and was associated with the severity of body wasting. Circulating PLA2G7 levels gradually rose during cachexia development. Genetic PLA2G7 knock‐down in C26 tumours only partially reduced plasma PLA2G7 levels, suggesting that the host is also an important contributor. Chronic treatment with darapladib was not sufficient to counteract inflammation and tissue wasting despite a strong inhibition of the circulating PLA2G7 activity. Importantly, PLA2G7 levels were also increased in colorectal and pancreatic cancer patients with CCx. Conclusions Overall, our data show that despite no immediate pathogenic role, at least when targeted as a single entity, PLA2G7 is a consistent marker of CCx in both mice and humans. The early increase in circulating PLA2G7 levels in pre‐cachectic mice supports future prospective studies to assess its potential as biomarker for cancer patients.

PurposeThe purpose of this article is to derive formulas for lifetime expected credit loss of loans that are required for the calculation of loan loss reserves under IFRS 9. This is done both for fixed-rate and floating rate loans under different assumptions on LGD modeling, prepayment, and discount rates.Design/methodology/approachThis study provides exact formulas for lifetime expected credit loss derived analytically together with the mathematical proofs of each expression.FindingsThis articles shows that the formula most commonly applied in the literature for calculating lifetime expected credit loss is inconsistent with measuring expected loss based on expected discounted cash flows. Formulas based on discounted cash flows always lead to more conservative numbers.Practical implicationsFor banks reporting under IFRS 9, the implication of this research is a better understanding of the different approaches used for computing lifetime expected loss, how they are connected, and what assumptions are underlying each approach. This may lead to corrections in existing frameworks to make applications of risk management systems more consistent.Originality/valueWhile there is a lot of literature explaining IFRS 9 and evaluating its impact, none of the existing research has systematically analyzed the calculation of lifetime expected credit loss for this purpose and how the formula changes under different modeling assumptions. This gap is filled by this study.

Atherothrombosis is a frequent cause of cardiovascular mortality. It is mostly triggered by plaque rupture and exposure of the thrombogenic subendothelial matrix, which initiates platelet aggregation and clot formation. Current antithrombotic strategies, however, target both thrombosis and physiological hemostasis and thereby increase bleeding risk. Thus, there is an unmet clinical need for optimized therapies. Neutrophil activation and consecutive interactions of neutrophils and platelets contribute mechanistically to thromboinflammation and arterial thrombosis, and thus present a potential therapeutic target. Platelet–neutrophil interactions are mediated through adhesion molecules such as P-selectin and P-selectin glycoprotein ligand 1 as well as glycoprotein Ib and macrophage-1 antigen, which mediate physical cell interactions and intracellular signaling. Release of soluble mediators as well as direct signaling between platelets and neutrophils lead to their reciprocal activation and neutrophil release of extracellular traps, scaffolds of condensed chromatin that play a prothrombotic role in atherothrombosis. In this article, we review the role of neutrophils and neutrophil-derived prothrombotic molecules in platelet activation and atherothrombosis, and highlight potential therapeutic targets.

The two most popular equity derivatives pricing models among practitioners are the local volatility model and the Heston model. While the former has the appealing property that it can be calibrated exactly to any given set of arbitrage free European vanilla option prices, the latter delivers a more realistic smile dynamics. In this article we combine both modeling approaches to the Heston stochastic local volatility model. The theoretical framework for this modeling approach was already developed in Ren, Madan, and Qian (2007). We focus on the numerical model calibration which requires special care in the treatment of mixed derivatives and in cases where the Feller condition is not met in the Heston model which leads to a singular transition density at zero volatility. We propose a finite volume scheme to calibrate the model after a suitable transformation of the model equation and demonstrate its accuracy in numerical test cases using real market data.

In the last two decades, both internal and external risk management of banks have undergone significant developments. Banking supervision encourages banks to use a risk-based approach for computing minimum regulatory capital. Accounting rules have been tightened requiring more timely loss reserves for impaired loans. In this article, we propose a comprehensive scheme for calculating the profitability of a loan that could be used both for setting risk-based interest rates when originating a loan and for accurately determining the profitability of existing clients. The scheme utilizes the credit models developed for regulatory purposes and takes the impact of regulation on loan performance into account. We show that accounting loan loss provisions cannot be applied in a performance measurement scheme because they do not reflect the true economic loss. In addition, we demonstrate that it is crucial to measure loan performance over the full life cycle of a loan. Restricting profitability measurement to a time horizon of one year as often observed in practice could be misleading. Although our focus is on profitability measurement, the framework could be applied in a wider context, i.e., for macroeconomic stress tests, bank balance sheet projections, capital management, or evaluating the impact of securitizing parts of a bank&rsquo, s loan portfolio.

Objective— Cancer patients are at high risk of developing deep venous thrombosis (DVT) and venous thromboembolism, a leading cause of mortality in this population. However, it is largely unclear how malignant tumors drive the prothrombotic cascade culminating in DVT. Approach and Results— Here, we addressed the pathophysiology of malignant DVT compared with nonmalignant DVT and focused on the role of tumor microvesicles as potential targets to prevent cancer-associated DVT. We show that microvesicles released by pancreatic adenocarcinoma cells (pancreatic tumor–derived microvesicles [pcMV]) boost thrombus formation in a model of flow restriction of the mouse vena cava. This depends on the synergistic activation of coagulation by pcMV and host tissue factor. Unlike nonmalignant DVT, which is initiated and propagated by innate immune cells, thrombosis triggered by pcMV was largely independent of myeloid leukocytes or platelets. Instead, we identified externalization of the phospholipid phosphatidylethanolamine as a major mechanism controlling the prothrombotic activity of pcMV. Disrupting phosphatidylethanolamine-dependent activation of factor X suppressed pcMV-induced DVT without causing changes in hemostasis. Conclusions— Together, we show here that the pathophysiology of pcMV-associated experimental DVT differs markedly from innate immune cell–promoted nonmalignant DVT and is therefore amenable to distinct antithrombotic strategies. Targeting phosphatidylethanolamine on tumor microvesicles could be a new strategy for prevention of cancer-associated DVT without causing bleeding complications.

Neutrophils, early mediators of the innate immune defense, are recruited to developing thrombi in different types of thrombosis. They amplify intravascular coagulation by stimulating the tissue factor-dependent extrinsic pathway via inactivation of endogenous anticoagulants, enhancing factor XII activation or decreasing plasmin generation. Neutrophil-dependent prothrombotic mechanisms are supported by the externalization of decondensed nucleosomes and granule proteins that together form neutrophil extracellular traps. These traps, either in intact or fragmented form, are causally involved in various forms of experimental thrombosis as first indicated by their role in the enhancement of both microvascular thrombosis during bacterial infection and carotid artery thrombosis. Neutrophil extracellular traps can be induced by interactions of neutrophils with activated platelets; vice versa, these traps enhance adhesion of platelets via von Willebrand factor. Neutrophil-induced microvascular thrombus formation can restrict the dissemination and survival of blood-borne bacteria and thereby sustain intravascular immunity. Dysregulation of this innate immune pathway may support sepsis-associated coagulopathies. Notably, neutrophils and extracellular nucleosomes, together with platelets, critically promote fibrin formation during flow restriction-induced deep vein thrombosis. Neutrophil extracellular traps/extracellular nucleosomes are increased in thrombi and in the blood of patients with different vaso-occlusive pathologies and could be therapeutically targeted for the prevention of thrombosis. Thus, during infections and in response to blood vessel damage, neutrophils and externalized nucleosomes are major promoters of intravascular blood coagulation and thrombosis.

Tumor microvesicles are a peculiar type of extracellular vesicles that circulate in the blood of patients with metastatic cancer. The itineraries and immune cell interactions of tumor microvesicles during the intravascular and extravascular stages of metastasis are largely unknown. We found that the lipid receptor CD36 is a major mediator of the engulfment of pancreatic tumor microvesicles by myeloid immune cells in vitro and critically samples circulating tumor microvesicles by resident liver macrophages in mice in vivo. Direct nanoscopic imaging of individual tumor microvesicles shows that the microvesicles rapidly decay during engulfment whereby their cargo is targeted concomitantly to the plasma membrane and the cytoplasm excluding lysosomal compartments. CD36 also promotes internalization of blood cell (nontumor) microvesicles, which involves endolysosomal pathways. A portion of tumor microvesicles circulating in the liver microcirculation traverses the vessel wall in a CD36-dependent way. Extravasated microvesicles colonize distinct perivascular Ly6C(-) macrophages for at least 2 wk. Thus, the microvesicles are increasingly integrated into CD36-induced premetastatic cell clusters and enhance development of liver metastasis. Hence, promotion of metastasis by pancreatic tumor microvesicles is associated with CD36-regulated immune cell invasion and extravasation of microvesicles and persistent infiltration of specific tissue macrophages by microvesicle cargo.Pfeiler, S., Thakur, M., Grunauer, P., Megens, R. T. A., Joshi, U., Coletti, R., Samara, V., Muller-Stoy, G., Ishikawa-Ankerhold, H., Stark, K., Klingl, A., Frohlich, T., Arnold, G. J., Wormann, S., Bruns, C. J., Algul, H., Weber, C., Massberg, S., Engelmann, B. CD36-triggered cell invasion and persistent tissue colonization by tumor microvesicles during metastasis.

A framework for measuring and managing the risk of embedded options in non-traded credit is developed. For typical bank clients there is no market information related to their ability to pay (bond or CDS spreads) available. In this case a bank has to rely solely on statistical data to judge the credit quality of a borrower. To value a loan with embedded options like prepayment rights in this context, a model is proposed that combines a stochastic interest rate model with statistical information on default and recovery rates. Using this as the basis for evaluating the risk of embedded options in loans, it is shown how the concepts of credit risk management can be transferred to this framework after defining a suitable concept of risk. It turns out that this modeling approach combines the theories of derivatives pricing and credit risk modeling in the sense that derivatives pricing theory measures the costs for hedging optional components in loans while credit risk modeling measures the risk that these hedging costs turn out to be inadequate. This risk depends not only on the single loan's risk characteristics but also on the dependence structure and the granularity of the total loan portfolio.

Banks reporting under IFRS have to build provisions for expected credit losses in their financial statement. The rules for determining loan loss provisions have been reformed in 2014 by the International Accounting Standards Board and been published under IFRS 9. A new requirement which was not present in previous regulation is the necessity to provision the expected loss over a loan's lifetime in case a borrower's credit quality deteriorates substantially. The IFRS 9 rules are formulated in a qualitative way and no explicit formulas or precise parameter estimation methods are prescribed. An established method both in academia and practice for computing lifetime expected loss is summing over discounted one-year expected credit losses calculated for each year of a loan's remaining lifetime. When comparing this approach with an exact calculation based on discounted cash flows, it turns out that this formula is not correct and is underestimating true economic expected credit loss. In addition, the impact of prepayments, different assumptions on LGD, and the IFRS 9 requirements for the choice of discount factors on loan loss provisions are analyzed in detail and accurate formulas for lifetime expected credit loss are provided.

A framework for the pricing and risk management of retail loans with embedded options is developed. For retail customers there is in general no market information related to their ability to pay (bond or CDS spreads) available. In this case a bank has to rely solely on statistical data to judge the credit quality of a debtor. For the pricing of a loan with embedded options like prepayment rights in this context, a model is proposed that combines a stochastic interest rate model with statistical information like a term structure of default probabilities or a one-year transition matrix and recovery rate estimations. By defining a suitable notion of risk, it is shown how the concepts of credit risk management can be transferred to this framework. It turns out that this modeling approach combines the theories of derivatives pricing and credit risk modeling in the sense that derivatives pricing theory measures the costs for hedging optional components in loans while credit risk modeling measures the risk that these hedging costs turn out to be inadequate. This risk does depend not only on the single loan’s risk characteristics but also on the dependence structure and the granularity of the total loan portfolio.

Deep vein thrombosis (DVT) is a common condition characterized by the formation of an occlusive blood clot in the venous vascular system, potentially complicated by detachment and embolization of thrombi into the lung. Recent evidence from mouse models has shed light on the sequence of events and on the cellular (innate immune cells, platelets) and molecular (hematopoietic tissue factor, nucleic acids) components involved. In response to decreased blood flow, circulating neutrophils and monocytes adhere to the activated endothelium within hours. They initiate and propagate DVT by interacting with platelets and by the exposure and activation of circulating tissue factor and FXII. Intravascular blood coagulation is also induced by extracellular nucleosomes released mainly from activated neutrophils. Interestingly, these mechanisms are closely linked to an evolutionary conserved immune defense mechanism activated in response to infections. In this review, we will give an overview of DVT and the role of innate immune pathways supporting this process. While the latter are aimed at preserving tissue integrity and function, uncontrolled blood coagulation and activation of immune cells may result in pathological thrombus formation and vascular occlusion. Understanding the molecular and cellular players triggering occlusion of large veins, and their distinction from physiological hemostasis, is important for the development of strategies to prevent and treat DVT.

The mechanisms protecting from immunopathology during acute bacterial infections are incompletely known. We found that in response to apoptotic immune cells and live or dead Listeria monocytogenes scavenger receptor BI (SR-BI), an anti-atherogenic lipid exchange mediator, activated internalization mechanisms with characteristics of macropinocytosis and, assisted by Golgi fragmentation, initiated autophagic responses. This was supported by scavenger receptor-induced local increases in membrane cholesterol concentrations which generated lipid domains particularly in cell extensions and the Golgi. SR-BI was a key driver of beclin-1-dependent autophagy during acute bacterial infection of the liver and spleen. Autophagy regulated tissue infiltration of neutrophils, suppressed accumulation of Ly6C+ (inflammatory) macrophages and prevented hepatocyte necrosis in the core of infectious foci. Perifocal levels of Ly6C+ macrophages and Ly6C− macrophages were unaffected, indicating predominant regulation of the focus core. SR-BI-triggered autophagy promoted co-elimination of apoptotic immune cells and dead bacteria but barely influenced bacterial sequestration and survival or inflammasome activation, thus exclusively counteracting damage inflicted by immune responses. Hence, SR-BI- and autophagy promote a surveillance pathway that partially responds to products of antimicrobial defenses and selectively prevents immunity-induced damage during acute infection. Our findings suggest that control of infection-associated immunopathology can be based on a unified defense operation.

In this meeting report, particularly addressing the topic of protection of the cardiovascular system from ischemia/reperfusion injury, highlights are presented that relate to conditioning strategies of the heart with respect to molecular mechanisms and outcome in patients’ cohorts, the influence of co-morbidities and medications, as well as the contribution of innate immune reactions in cardioprotection. Moreover, developmental or systems biology approaches bear great potential in systematically uncovering unexpected components involved in ischemia–reperfusion injury or heart regeneration. Based on the characterization of particular platelet integrins, mitochondrial redox-linked proteins, or lipid-diol compounds in cardiovascular diseases, their targeting by newly developed theranostics and technologies opens new avenues for diagnosis and therapy of myocardial infarction to improve the patients’ outcome. © 2016, The Author(s).

Deep vein thrombosis initiation is mediated by cross talk between monocytes, neutrophils, and platelets., Deep vein thrombosis (DVT) is a major cause of cardiovascular death. The sequence of events that promote DVT remains obscure, largely as a result of the lack of an appropriate rodent model. We describe a novel mouse model of DVT which reproduces a frequent trigger and resembles the time course, histological features, and clinical presentation of DVT in humans. We demonstrate by intravital two-photon and epifluorescence microscopy that blood monocytes and neutrophils crawling along and adhering to the venous endothelium provide the initiating stimulus for DVT development. Using conditional mutants and bone marrow chimeras, we show that intravascular activation of the extrinsic pathway of coagulation via tissue factor (TF) derived from myeloid leukocytes causes the extensive intraluminal fibrin formation characteristic of DVT. We demonstrate that thrombus-resident neutrophils are indispensable for subsequent DVT propagation by binding factor XII (FXII) and by supporting its activation through the release of neutrophil extracellular traps (NETs). Correspondingly, neutropenia, genetic ablation of FXII, or disintegration of NETs each confers protection against DVT amplification. Platelets associate with innate immune cells via glycoprotein Ibα and contribute to DVT progression by promoting leukocyte recruitment and stimulating neutrophil-dependent coagulation. Hence, we identified a cross talk between monocytes, neutrophils, and platelets responsible for the initiation and amplification of DVT and for inducing its unique clinical features.

Microvascular thrombosis indicates a pathological occlusion of microvessels by fibrin- and/or platelet-rich thrombi. It is observed during systemic infections, cancer, myocardial infarction, stroke, neurodegenerative diseases and in thrombotic microangiopathies. Microvessel thrombosis can cause greatly differing symptoms that range from limited changes in plasma coagulation markers to severe multi-organ failure. Because microvessel thrombi are difficult to detect and often occur only transiently, their importance for disease development and host biology is likely markedly under-appreciated. Recently, clear indications for a biological basis of microvascular thrombosis have been obtained. During systemic infections microvessel thrombosis can mediate an intravascular innate immune response (immunothrombosis). This biological form of thrombosis is based on the generation of fibrin inside blood vessels and is critically triggered by neutrophils and their interactions with platelets which result in the release of neutrophil extracellular traps (extracellular nucleosomes). Immunothrombosis is critically supported by neutrophil elastase and the activator molecules of blood coagulation tissue factor and factor XII. Identification of the biological driving forces of microvascular thrombosis should help to elucidate the mechanisms promoting pathological vessel occlusions in both microvessels and large vessels.

In this study, we empirically analyze dynamic hedges of barrier options in the local volatility model using more than five years of data on the DAX, a major German equity index. The emphasis is on the comparison of the hedge performance of different hedging strategies under alternative stickiness assumptions on the dynamics of the implied volatility surface. We compare sticky-strike, sticky-moneyness and local volatility-implied (model-consistent) hedges for barrier options with a maturity of one and two years. We find that sticky-strike performs best, with the choice of the hedging strategy being a much more important factor for successful risk management than the stickiness assumption.

Mouse embryonic endothelial progenitor cells (eEPCs) acquire a mature phenotype after treatment with cyclic adenosine monophosphate (cAMP), suggesting an involvement of Raf serine/threonine kinases in the differentiation process. To test this idea, we investigated the role of B-Raf and C-Raf in proliferation and differentiation of eEPCs by expressing fusion proteins consisting of the kinase domains from Raf molecules and the hormone binding site of the estrogen receptor (ER), or its variant, the tamoxifen receptor. Our findings show that both B- and C-Raf kinase domains, when lacking adjacent regulatory parts, are equally effective in inducing eEPC differentiation. In contrast, the C-Raf kinase domain is a more potent stimulator of eEPC proliferation than B-Raf. In a complimentary approach, we used siRNA silencing to knockdown endogenously expressed B-Raf and C-Raf in eEPCs. In this experimental setting, we found that eEPCs lacking B-Raf failed to differentiate, whereas loss-of C-Raf function primarily slowed cell growth without impairing cAMP-induced differentiation. These findings were further corroborated in B-Raf null eEPCs, isolated from the corresponding knockout embryos, which failed to differentiate in vitro. Thus, gain- and loss-of-function experiments point to distinct roles of B-Raf and C-Raf in regulating growth and differentiation of endothelial progenitor cells, which may harbour therapeutic implications.

Recent work suggests that extracellular (cell-free) nucleic acids, both DNA and RNA species, as well as extracellular nucleosomes can activate blood coagulation and promote thrombosis in vitro and in vivo (1, 2). Indeed, they substantially contribute to the development of microvascular thrombosis which can act as an intravascular immune response to circulating bacteria and has been termed immunothrombosis (3). However, they also foster pathological vessel occlusions as shown in animal models of large vessel thrombosis including deep-vein thrombosis and arterial thrombosis. Large filaments of extracellular nucleosomes that are released from activated neutrophils (neutrophil extracellular traps, NETs) and isolated extracellular nucleosomes support fibrin formation and platelet adhesion/activation via different mechanisms. These include for example stimulation of fibrin formation by degradation of the endogenous anticoagulant tissue factor pathway inhibitor and via activation of proteins involved in the contact pathway of blood coagulation such as factor XII (2, 3). The study by Varju et al. (4) adds a new aspect to the procoagulant role of nucleosome components and NETs. These authors show that isolated eukaryotic DNA and histone proteins such as HIIIS enhance the diameter of thrombus-forming fibrin fibers under in vitro conditions. Moreover, they are found to decrease the permeability of fibrin clots and to enhance the overall stability of such clots. Mechanistically, these effects are mediated by regulation of endogenous anticoagulant and fibrinolytic pathways. Indeed, histone proteins prevented the inactivation of thrombin by antithrombin and DNA reduced plasminogen activation. Furthermore, NETs released from isolated neutrophils suppressed t-PA-promoted fibrinolysis. Together with earlier work, these results further corroborate the conclusion that extracellular nucleosomes and their major components target the coagulation system at different levels and that their overall effect is to enhance fibrin formation. It will be of interest to clarify in the future whether the stabilization of fibrin clots by histones, DNA and nucleosomes as shown in (4) contributes to the prothrombotic role of NETs and extracellular nucleosomes in vivo.

We conduct an empirical comparison of static versus dynamic hedges of barrier options. Using more than five years of data, we compare a number of static hedges from the literature with dynamic hedges based on the local volatility model. The main result is that the variability of profit-and-loss distributions from certain static hedges is significantly smaller than that of dynamic hedges and robust to changing market scenarios. Furthermore, these static hedges are able to provide a robust tracking of barrier options’ sensitivities.

Lipid-rich atherosclerotic plaques are vulnerable, and their rupture can cause the formation of a platelet- and fibrin-rich thrombus leading to myocardial infarction and ischemic stroke. Although the role of plaque-based tissue factor as stimulator of blood coagulation has been recognized, it is not known whether plaques can cause thrombus formation through direct activation of platelets. We isolated lipid-rich atheromatous plaques from 60 patients with carotid stenosis and identified morphologically diverse collagen type I- and type III-positive structures in the plaques that directly stimulated adhesion, dense granule secretion, and aggregation of platelets in buffer, plasma, and blood. This material also elicited platelet-monocyte aggregation and platelet-dependent blood coagulation. Plaques exposed to flowing blood at arterial wall shear rate induced platelets to adhere to and spread on the collagenous structures, triggering subsequent thrombus formation. Plaque-induced platelet thrombus formation was observed in fully anticoagulated blood (i.e., in the absence of tissue factor-mediated coagulation). Mice platelets lacking glycoprotein VI (GPVI) were unable to adhere to atheromatous plaque or form thrombi. Human platelet thrombus formation onto plaques in flowing blood was completely blocked by GPVI inhibition with the antibody 10B12 but not affected by integrin alpha2beta1 inhibition with 6F1 mAb. Moreover, the initial platelet response, shape change, induced by plaque was blocked by GPVI inhibition but not with alpha2beta1 antagonists (6F1 mAb or GFOGER-GPP peptide). Pretreatment of plaques with collagenase or anti-collagen type I and anti-collagen type III antibodies abolished plaque-induced platelet activation. Our results indicate that morphologically diverse collagen type I- and collagen type III-containing structures in lipid-rich atherosclerotic plaques stimulate thrombus formation by activating platelet GPVI. This platelet collagen receptor, essential for plaque-induced thrombus formation, presents a promising new anti-thrombotic target for the prevention of ischemic cardiovascular diseases.

While the adenosine 5′-diphosphate (ADP) pathway is known to enhance thrombus formation by recruiting platelets and leukocytes to the primary layer of collagen-adhering platelets, its role for the initiation of coagulation has not been revealed. Ex vivo inhibition of the P2Y12 ADP receptor by clopidogrel administration diminished the rapid exposure of tissue factor (TF), the major initiator of coagulation, in conjugates of platelets with leukocytes established by the contact of whole blood with fibrillar collagen. Under in vitro conditions, the P2Y12 and P2Y1 ADP receptors were both found to be implicated in the exposure of TF in collagen-activated whole blood. Immunoelectron-microscopy revealed that collagen elicited the release of TF from its storage pools within the platelets. Functional activation of the intravascular TF was reduced by inhibition of the ADP receptors, partially due to the disruption of the platelet-neutrophil adhesions. Injection of collagen into the venous system of mice increased the number of thrombin-antithrombin complexes, indicative for the formation of thrombin in vivo. In P2Y1-deficient mice, the ability of collagen to enhance the generation of thrombin was impaired. In conclusion, the platelet ADP pathway supports the initiation of intravascular coagulation, which is likely to contribute to the concomitant formation of fibrin at the site of the growing thrombus.

Although tissue factor (TF), the principial initiator of physiological coagulation and pathological thrombosis, has recently been proposed to be present in human blood, the functional significance and location of the intravascular TF is unknown. In the plasma portion of blood, we found TF to be mainly associated with circulating microvesicles. By cell sorting with the specific marker CD42b, platelet-derived microvesicles were identified as a major location of the plasma TF. This was confirmed by the presence of full-length TF in microvesicles acutely shedded from the activated platelets. TF was observed to be stored in the alpha-granules and the open canalicular system of resting platelets and to be exposed on the cell surface after platelet activation. Functional competence of the blood-based TF was enabled when the microvesicles and platelets adhered to neutrophils, as mediated by P-selectin and neutrophil counterreceptor (PSGL-1, CD18 integrins) interactions. Moreover, neutrophil-secreted oxygen radical species supported the intravascular TF activity. The pools of platelet and microvesicle TF contributed additively and to a comparable extent to the overall blood TF activity, indicating a substantial participation of the microvesicle TF. Our results introduce a new concept of TF-mediated coagulation crucially dependent on TF associated with microvesicles and activated platelets, which principally enables the entire coagulation system to proceed on a restricted cell surface.

SummaryThe loss of blood through vessel wall ruptures is initially prevented by the rapid adhesion of platelets to the subendothelium, and the formation of a thrombus consisting of platelets and different types of leukocytes. Concomitantly, the coagulation process is thought to be activated by vascular wall tissue factor (TF). Here, a new model for the initiation of coagulation is presented, based on unexpected findings on the presence and functional activation of TF within the blood itself. TF was recently found to be stored in the α-granules of resting platelets under physiological conditions. Activation by collagen exposes TF on the platelet cell membrane and on platelet derived microvesicles. Adhesive interactions of the TF bearing platelets and microvesicles to neutrophils and monocytes support the functional activation of the blood based TF. The intravascular TF pathway is proposed to play a significant role during hemostasis by enabling the generation of fibrin at the site of the developing thrombus.

Abstract— We have analyzed the influence of plasma lipoproteins on the activation of the contact pathway of blood coagulation in platelet-rich plasma (PRP). The formation of thrombin in PRP incubated in vitro was abolished by the factor XIIa antagonist corn trypsin inhibitor and by severe factor XII deficiency, indicating mediation by the contact system. Addition of VLDL to the PRP shortened the lag period and increased the generation of thrombin. There was no effect of HDL and LDL. In whole blood, VLDL accelerated the rate of fibrin formation, the procoagulant effect being prevented by factor XII deficiency and by corn trypsin inhibitor. The thrombin formation in the PRP was strongly increased by microemulsions of the VLDL lipids while it was reduced by the aqueous phase of the particles. Separation of the VLDL lipids indicated the phospholipid component as the major activating principle. Vesicles supplemented with all VLDL phospholipids but lacking specifically the fraction containing phosphatidylethanolamine (PE) prolonged the lag time. The PE containing fraction alone as well as vesicles enriched with egg PE shortened the lag period. In summary, VLDL stimulates the contact pathway of blood coagulation, ethanolamine phospholipids being the most active components of the particles.

The extravascular localization of tissue factor (TF), the central initiator of coagulation, is thought to ensure that thrombus formation is prevented in the intact vessel. We observed that during a 5-min stimulation of human blood with collagen (type I), TF antigen appeared on the surface of platelets adhering to leukocytes. The rapidly presented intravascular TF was competent to start the coagulation cascade. The isolated platelets from healthy donors contained appreciable amounts of the TF protein, while no TF antigen was detected in the neutrophils and rapidly isolated monocytes. Direct interactions with the neutrophils and monocytes were apparently necessary to activate the platelet-associated TF. This was most likely mediated by inactivation of tissue factor pathway inhibitor through leukocyte elastase. In summary, the leukocyte-elicited activation of the platelet TF participates in the rapid initiation of coagulation by collagen.

We analyzed the influence of the atherogenic oxidized low density lipoproteins (LDL) on the activity of the platelet prothrombinase complex, a major contributor to overall thrombin formation in vivo. Platelet dependent thrombin generation was found to be strongly stimulated by in vitro oxidized LDL. The enhancement was additive to that observed with the platelet agonist thrombin. Oxidized LDL increased the platelet binding of annexin-V, suggesting that the augmented surface exposure of aminophospholipids promoted the prothrombinase activity. All of the stimulatory activity of the oxidized LDL could be recovered in the microemulsions prepared from the lipid portion of the modified particles. Phospholipid vesicles were prepared containing the total lipids of the oxidized LDL but lacking specifically in one lipid component. Following the selective removal of the ethanolamine phospholipids (PE) from the LDL lipids, the platelet-dependent thrombin formation was markedly reduced. Vesicles enriched with the isolated PE fraction alone enhanced the thrombin generation. Analyses with autoxidized phospholipids indicated that oxidation products of unsaturated diacyl-PE were mainly responsible for the increased prothrombinase activity. Oxidized LDL and its PE fraction lost their stimulatory activity after treatment with NaCNBH(3), a chemical reductant of Schiff base adducts. Phospholipid vesicles supplemented with synthetic aldehyde-PE adducts largely reproduced the stimulation of the thrombin generation. We conclude that the oxidized LDL particles elicit a pronounced prothrombotic response by increasing the activity of the platelet prothrombinase complex. Specific oxidative modifications of the LDL-associated ethanolamine phospholipids are mainly responsible for this stimulation.

The blockade of platelet glycoprotein IIb‐IIIa (GPIIb‐IIIa) was recently introduced as a new antiplatelet strategy. At present, various GPIIb‐ IIIa inhibitors are available to treat patients with acute coronary syndrome or when undergoing percutaneous coronary interventions. The current study systematically evaluates the antiplatelet effects of GPIIb‐IIIa inhibitors in clinical use. Using conformation-dependent monoclonal antibodies [ligand-induced binding sites (LIBS-1), PMI-1] and flow cytometry, we showed that the GPIIb ‐I IIa antagonists abciximab, integrelin, lamifiban, and tirofiban, but not EMD 122347 or YM 337, induced LIBS activity of platelet GPIIb‐ IIIa. The LIBS activity of GPIIb‐IIIa antagonists correlates with a proaggregatory response of fixed platelets pretreated with GPIIb‐IIIa antagonists (intrinsic activity). All tested GPIIb‐IIIa antagonists completely inhibit concentration-dependent ADP (20 mmol/l)-induced aggregation. In contrast, substantial TRAP (25 mmol/l)-induced platelet aggregation still occurs even at high inhibitor concentrations of the tested GPIIb‐IIIa antagonists. In addition, we show that GPIIb‐IIIa antagonists are poor inhibitors of platelet release reaction (ATP and P-selectin secretion) especially when strong agonists such as TRAP are used to activate platelets. Inhibition of platelet procoagulant activity (thrombin generation) by GPIIb‐IIIa antagonists is dependent on the type and concentration of antagonists and on the strength of stimulus (thrombin, tissue factor) used to induce platelet-dependent thrombin generation. The present data show that significant pharmacological differences exist between GPIIb‐IIIa antagonists that may have consequences for antithrombotic strategies and for future drug development. D 2001 Elsevier Science Ltd. All rights reserved.

The selective import of phospholipids into cells could be mediated by proteins secreted from the cells into the extracellular compartment. We observed that the supernatants obtained from suspensions of thrombin-activated platelets stimulated the exchange of pyrene (py)-labeled sphingomyelin between lipid vesicles in vitro. The proteins with sphingomyelin transfer activity were purified and identified as the chemokine connective tissue-activating peptide III (CTAP-III) and platelet basic protein. Isolated CTAP-III stimulated the exchange of py-sphingomyelin between lipid vesicles but did not affect the translocations of py-labeled phosphatidylcholine and phosphatidylethanolamine. CTAP-III rapidly increased the transfer of py-sphingomyelin from low density lipoproteins into peripheral blood lymphocytes, other immune cells, and fibroblasts. In the presence of heparin, CTAP-III was unable to insert sphingomyelin into the peripheral blood lymphocytes. The activation energy of the py-sphingomyelin transfer suggested that the translocation proceeded entirely in a hydrophobic environment. [(3)H]Sphingomyelin transferred to the cells by CTAP-III was hydrolyzed to [(3)H]ceramide and [(3)H]sphingosine after activation with tumor necrosis factor alpha. The generation of the [(3)H]sphingolipid messengers was catalyzed by acid sphingomyelinase. Our results identify CTAP-III as the first mediator of the selective (endocytosis-independent) cellular import of sphingomyelin allowing the paracrine modulation of the sphingolipid signaling.

The phospholipids of lipoproteins can be transferred to cells by an endocytosis-independent uptake pathway. We analyzed the role of scavenger receptor BI (SR-BI) for the selective cellular phospholipid import. Human monocytes rapidly acquired the pyrene (py)-labeled phospholipids sphingomyelin (SM), phosphatidylcholine, and phosphatidylethanolamine from different donors (low and high density lipoproteins (LDL, HDL), lipid vesicles). The anti-SR-BI antibody directed against the extracellular loop of the membrane protein lowered the cellular import of the phospholipids by 40-80%. The phospholipid transfer from the lipid vesicles into the monocytes was suppressed by LDL, HDL, and apoprotein AI. Transfection of BHK cells with the cDNA for human SR-BI enhanced the cellular import of the vesicle-derived py-phospholipids by 5-6-fold. In the case of the LDL donors, transfer of py-SM to the transfected cells was stimulated to a greater extent than the uptake of the other py-phospholipids. Similar differences were not observed when the vesicles and HDL were used as phospholipid donors. The concentration of LDL required for the half-maximal phospholipid import was close to the previously reported apparent dissociation constant for LDL binding to SR-BI. The low activation energy of the SR-BI-mediated py-phospholipid import indicated that the transfer occurs entirely in a hydrophobic environment. Disruption of cell membrane caveolae by cyclodextrin treatment reduced the SR-BI-catalyzed incorporation of py-SM, suggesting that intact caveolae are necessary for the phospholipid uptake. In conclusion, SR-BI mediates the selective import of the major lipoprotein-associated phospholipids into the cells, the transfer efficiency being dependent on the structure of the donor lipoprotein.

In the framework of the macroscopic simulation of electrorheological fluids, we present an extension of the classical Bingham model which goes beyond pure shear flows and thus enables the simulation of settings in more complex geometries. Emphasis is on the numerical solution of the resulting nonsmooth minimization problem. We propose the method of augmented Lagrangians combined with an operator-splitting technique which allows to confine the nonlinearity to local, low-dimensional problems. Numerical results are given that illustrate the electrorheological effects for various shear rates and electric field strengths in case of an electrorheological suspension rotating between two revolving cylinders.

After the rapid extracorporal reduction of plasma low-density lipoprotein (LDL) by LDL apheresis, the percentages of arachidonic acid (AA)-containing species of phosphatidylcholine (PC) were lowered in the plasma of patients with hypercholesterolemia. The same PC species with AA were also decreased in the patient’s platelets. Thus the supply of phospholipid-bound AA from LDL to the platelets was probably diminished after the apheresis. We therefore analyzed the concentration dependence of the transfer of phospholipid-bound AA from LDL to the platelets under in vitro conditions. The amount of [14C]AA-PC transferred to platelets strongly increased upon elevation of LDL from 0.1 to 1 mg protein/ml, with a less marked elevation being noted at higher LDL concentrations. After stimulation with thrombin (0.5 U/ml), 7.1% ([14C]AA-PC) and 10.6% ([14C]AA-phosphatidylethanolamine) of the14C transferred from LDL to the platelets were recovered in the eicosanoids [14C]thromboxane B2(TxB2) plus 12-[14C]hydroxyeicosatetraenoic acid. Experimental increases and reductions of the [14C]AA-PC import were associated with comparable modifications in the [14C]TxB2production of the platelets. Accordingly, the import of phospholipid-bound [14C]AA is a necessary prerequisite for the formation of14C-labeled eicosanoids. In summary, the transfer of phospholipids from LDL to the platelets markedly varies within the physiological range of lipoprotein concentrations. LDL contributes to platelet eicosanoid formation by supplying platelets with phospholipid-bound AA.

It is unknown whether the endocytosis-independent transfer of phospholipids from lipoproteins to platelets is regulated by platelet agonists such as thrombin. The movements of the choline phospholipids phosphatidylcholine and sphingomyelin (labeled with either 14C or the fluorescent pyrenedecanoic acid) between low density lipoproteins and platelets were unaffected by thrombin (0.5 unit/ml). In contrast, thrombin accelerated the import of diacyl phosphatidylethanolamine (PE) and alkenylacyl phosphatidylethanolamine into platelets by about 4-fold. Similarly, thrombin receptor-activating peptide (15 microM), collagen (10 microgram/ml), and ADP (10 microM) enhanced PE uptake. High density lipoprotein particles and egg phosphatidylcholine vesicles were also donors for stimulation of platelet PE import. Part of the [14C]arachidonic acid-labeled PE transferred from low density lipoprotein to platelets activated by thrombin and collagen was metabolized to 14C-eicosanoids. Inhibitors of protein kinase C partially prevented thrombin-induced [14C]PE uptake, while direct activators of protein kinase C increased incorporation of [14C]PE into platelets. Proteinaceous factor(s) recovered in the extracellular medium from ADP- and thrombin-activated platelet suspensions were found to accelerate the transfer of pyrenedecanoic acid-labeled PE between donor and acceptor lipid vesicles. The stimulation of import of ethanolamine phospholipids led to a 2-fold enhancement of the prothrombinase activity of thrombin-activated platelets. Our study demonstrates that physiological platelet stimuli increase specifically the transfer of ethanolamine phospholipids from lipoproteins to platelets through a secretion-dependent mechanism. This might contribute to the increase of procoagulant activity of stimulated platelets.

Fibrin can be generated in blood vessels in the absence of substantial damage to the vessel wall. According to novel observations, fibrin formation within the vessel lumen could be initiated by intravascular (blood borne) tissue factor (TF), a central starter protein of blood coagulation. We have recently detected TF in platelets, principally allowing coagulation to be initiated within the developing thrombus. While TF is stored in intraplatelet compartments under resting conditions, it is rapidly translocated to the cell surface in response to platelet activation, accumulating on filopodia. Platelet TF might be acquired from extracellular sources via transfer of TF positive microparticles and/or, potentially, be generated through translational mechanisms. Exocytotic microparticles, regular blood components, share the ability of the activated platelets to coexpose TF and phosphatidylserine, allowing the assembly of the entire coagulation system on a single membrane surface. Nonetheless, the procoagulant activity of the microparticles, when present alone, is limited. However, the vesicular TF might be uncovered by platelet-microparticle interactions. Thereby, the recruitment of platelets and microparticles to the site of vascular injury could synergistically trigger fibrin generation. In summary, by utilizing differential pathways, activated platelets are mandatory for the TF-mediated coagulation start in blood.

The oxidative degradation of plasmalogen (alkenylacyl) phospholipids was analysed in the absence and the presence of polyunsaturated ester phospholipids by 1H-NMR and by chemical determination. Brain lysoplasmenylethanolamine (lyso-P-PE), brain P-PE and erythrocyte P-PE, containing an increasing number of intrachain double bonds at sn2, were oxidized with 2,2´-azobis-(2-amidinopropane hydrochloride) (AAPH; 2 or 10 mM) in Triton X-100 micelles (detergent/phospholipid 1:5, mol/mol). The formation of two peroxyl radicals was accompanied by the degradation of approx. one molecule of brain lyso-P-PE. On oxidation of brain P-PE or erythrocyte P-PE (320 nmol) with 2 mM AAPH, the (α-vinyl) methine 1H signal of the enol ether decreased more rapidly than the methine proton peak of intrachain double bonds. The rate of enol ether degradation increased in the order: erythrocyte P-PE > brain P-PE > brain lyso-P-PE. The disappearance of the polyunsaturated ester phospholipids 1-palmitoyl-2-arachidonoyl phosphatidylcholine (16:0/20:4-PC) and 1-palmitoyl-2-linoleoyl phosphatidylcholine (16:0/18:2-PC) (100 nmol), as induced by 10 mM AAPH, was nearly completely inhibited by the plasmalogens (25 nmol) in the first 30 and 60 min of incubation respectively, and was delayed at later time points. Plasmalogens and vitamin E (4–25 nmol) mitigated the decreases in 16:0/[3H]20:4-PC (100 nmol) induced by 2 mM AAPH in a similar manner. The initial rate of degradation of intrachain double bonds of 16:0/20:4-PC and 16:0/18:2-PC (320 nmol; 2 mM AAPH) was decreased by 59% and 81% respectively in the presence of 80 nmol of brain lyso-P-PE. In conclusion, plasmalogens markedly delay the oxidative degradation of intrachain double bonds under in vitro conditions. Interactions of enol ether double bonds with initiating peroxyl radicals as well as with products generated by prior oxidation of polyunsaturated fatty acids are proposed to be responsible for this capacity of plasmalogens. Furthermore, the products of enol ether oxidation apparently do not propagate the oxidation of polyunsaturated fatty acids.

Platelet phospholipid composition was analyzed before and after extracorporeal removal of low density lipoproteins (LDL) by LDL apheresis in six patients with familial hypercholesterolemia. Elevated levels of total plasma cholesterol and the portion of plasma cholesterol carried by LDL were reduced by 56 and 66% after LDL apheresis. Platelet cholesterol contents remained unaffected. While the phosphatidylcholine (PC):sphingomyelin (SM) ratio in plasma lipoproteins was increased by 22% following apheresis, the same parameter was lowered by 14% in platelets. LDL apheresis induced decreases in the percentages of distinct molecular species containing arachidonic acid in platelet diacyl subgroups of PC, phosphatidylinositol (PI) and phosphatidylserine (PS) as well as in alkenylacyl (plasmalogen) phosphatidylethanolamine (PE). Directly after apheresis, the percentages of molecular species with arachidonic acid of diacyl PC, diacyl PI and alkenylacyl PE were reduced by 20, 23 and 8%, respectively. Two days after the procedure, total arachidonic acid of diacyl PC, diacyl PS and alkenylacyl PE was lowered by 11, 20 and 8%. Overall, the amount of phospholipid bound arachidonic acid was reduced by 16% after apheresis (from 79.1 to 66.4 nmol/10 8 platelets). The results are thus in agreement with previous data indicating decreased phospholipid bound arachidonic acid in red blood cells after apheresis (Engelman B, Brautigam C, Kulschar R et al. Biochim Biophys Acta 1994;1196:154). Urinary 2,3-dinor thromboxane B 2 , an estimate of platelet thromboxane A 2 (TXA 2 ) production, tended to be decreased following the procedure. The percentage change in the TXA 2 metabolite was positively related to the magnitude of change induced by apheresis in phospholipid bound arachidonic acid. In summary, the results suggest that in patients with hypercholesterolemia, the level of plasma LDL is an important determinant of the arachidonic acid content of several platelet phospholipids.