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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

 Blog Entries

Kamakura Corporation Named to World Finance 100

July 30, 2014
American International Group Inc. Bonds:
A Reward to Risk Ratio Twice as High as the Median Bond Issue


July 29,2014
AT&T Inc. Bonds: Ten Times the Risk of IBM and Below Average Value

July 22, 2014
International Business Machines: An Updated Bond Market Ranking

July 16, 2014
Transocean Ltd. Bonds: High Risk, Low Return

July 15, 2014
The Walt Disney Company Bonds: Very Low Default Risk at a “No Brand” Price

July 15, 2014
Brazil, Italy, Spain, Credit Default Swaps and the
European Commission Short Sale Ban, 2010-2014


July 14, 2014
Bank of America and MBIA Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2014

July 12, 2014
Banco Santander, S.A. Tops International Bank
Credit Default Swap Trading Volume, 2010 to 2014


July 11, 2014
Forward Fixed Rate Mortgage Yield Jumps 0.06% and Value of Mortgage Servicing Rights Drops This Week

July 10, 2014
J. C. Penney Leads Non-Bank Corporate Credit Default Swap Trading Volume

July 9, 2014
CDS Trading Volume for 1,206 Reference Names
For 207 Weeks Ended June 27, 2014


July 8, 2014
Hewlett-Packard Company Bonds: Default Risk Continues to Drop

July 3, 2014
Forward 1 Month T-Bill Rates Reverse Last Week’s Declines, Plateau Between 3.70% and 3.72% from 2021 to 2024

July 1, 2014
Kraft Foods Group Inc. Bonds: Under-rated, Low Risk and Solid Value

March 19, 2014
Stress Testing and Interest Rate Risk Models: A Multi-Factor Stress Testing Example

March 13, 2014
Stress Testing: A Credit Spread Ranking of 12 U.S. and 12 International Banks

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Kamakura Blog

  

American International Group Inc. (AIG) was one of the largest beneficiaries of U.S. government supportduring the credit crisis, but the U.S. government’s shareholder status ended in December, 2012. In this note, we turn to the U.S. dollar bonds issued by American International Group Inc. and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 28, 2014. A total of 38 trades were reported on 9 fixed-rate bond issues of American International Group Inc. with trading volume of $40.4 million on July 28. American International Group Inc. was the 17th most actively traded corporate bond issuer on July 28.

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We last reviewed AT&T Inc. (T) on April 23, 2014, prior to its announ­­cement that it intends to acquire DirecTV (DTV). In this note, we update our prior assessment in light of the DirecTV announcement and the uncertainties associated with that transaction. We turn to the U.S. dollar bonds issued by AT&T Inc. and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 25, 2014.

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International Business Machines Corp. (IBM) and Apple Inc. (AAPL) announced on July 15, 2014 that they would work together to develop business applications for iPhone and iPad users. International Business Machines Corp. ranks 4th and Apple Inc. ranks 1st on the Forbes ranking of the world’s most valuable brands. What is the bond market view of International Business Machines Corp. in light of this blockbuster announcement between two huge brand names?

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Transocean Ltd. (RIG) helps customers find and develop oil and natural gas reserves. On July 15, Transocean Ltd.’s fully guaranteed finance subsidiary Transocean Inc. was the 12th most heavily traded issuer of senior fixed rate debt in the United States bond market. In this note, we turn to the U.S. dollar bonds issued by Transocean Ltd. and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 15, 2014. A total of 70 trades were reported on 9 fixed-rate bond issues of Transocean Ltd. with July 15 trading volume of $56.1 million.

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The Walt Disney Company (DIS) ranks 17th on the Forbes ranking of the world’s most valuable brands. In this note, we turn to the U.S. dollar bonds issued by the Walt Disney Company and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 11 and 14, 2014 . A total of 65 trades were reported on 8 fixed-rate bond issues of the Walt Disney Company with trading volume of $28.9 million on July 11. The Walt Disney Company was the 16 th most actively traded corporate bond issuer on July 11. On July 14, there were 45 trades in 10 bond issues for $5.8 million.

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