By Donald van Deventer on
6/7/2010 1:03 PM
For the last few weeks, Kamakura’s weekly “implied forecast” for the U.S. Treasury yield curve and the U.S. dollar libor-swap curve has commented on the abrupt and stair-step nature of shifts in short term interest rates on U.S. Eurodollar deposits as reported by the Board of Governors of the Federal Reserve in its H15 statistical release. This blog examines the often large discrepancies between this rate and the London interbank offered rates officially released by the British Bankers Association and compares them to default probabilities of the Libor panel banks.
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By Donald van Deventer on
6/4/2010 12:22 PM
Today’s forecast for U.S. Treasury yields is based on the June 3, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm June 4, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
6/2/2010 11:08 AM
Today the Depository Trust and Clearing Corporation made available statistics on daily trading volume in credit default swaps for corporates and sovereigns during the period from June 20, 2009 to March 19, 2010. This blog analyzes the very low daily trading volume in the overwhelming majority of reference names.
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By Donald van Deventer on
5/28/2010 2:08 PM
Today’s forecast for U.S. Treasury yields is based on the May 27, 2010 constant maturity Treasury yields reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release reported at 4:15 pm May 28, 2010. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.
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By Donald van Deventer on
5/25/2010 7:51 AM
In the classic 1939 film “Mr. Smith Goes to Washington,” the legendary Jimmy Stewart plays a naïve Westerner who was appointed U.S. Senator and then has to learn the realities of Washington the hard way. What would have happened if Mr. Smith instead had gone to Wall Street today? This blog presents one possible script.
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