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 About Donald

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura. Read More

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Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
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James McKeon
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Phone: 215.932.0312

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Phone: 647.405.0895
 
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Phone: +65.6818.6336

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Kamakura Blog

  

Today’s blog focuses on the funding shortfall that took place at Dexia SA during the period from February 8, 2008 to March 16, 2009. Today’s blog confirms that Dexia, through the New York Branch of Dexia Credit Local, was one of the largest borrowers from the Federal Reserve during the credit crisis, a fact that hasn’t received as much attention as it should. At its peak, Dexia was borrowing $50 billion from the Federal Reserve, almost double the funding shortfall at Lehman Brothers on September 15, 2008, the day after its bankruptcy filing. This amount of aid is four times the Dexia “rescue” amount that was announced by the Netherlands, Belgium, and Luxembourg on September 30, 2008.

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Today’s blog focuses on the funding shortfall that took place at Citigroup during the period from February 8, 2008 to March 16, 2009. Today’s blog confirms that Citigroup, like Morgan Stanley, experienced a greater amount of liquidity risk and funding shortfall than Lehman Brothers, but by the time of Citigroup’s peak borrowings on March 5, 2009, the unspoken definition of who is too big to fail had moved in its favor.

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10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the June 2, 2011 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 pm June 3, 2011. 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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Today’s blog focuses on the funding shortfall that took place at Morgan Stanley during the period from February 8, 2008 to March 16, 2009. While the bankruptcy of Lehman Brothers and the rescue of Merrill Lynch by Bank of America are emphasized by many analysts of the credit crisis, the analysis below confirms that Morgan Stanley too was in severe financial distress. Today’s blog confirms that Lehman borrowed less than half as much from the Federal Reserve after its bankruptcy than Morgan Stanley did when it was at the point of highest distress.

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Today’s blog focuses on the consolidated funding shortfall that took place at Lehman Brothers, perhaps the most spectacular corporate failure during the 2007-2009 credit crisis. After the failure of Lehman Brothers, CEO Dick Fuld complained loudly that Lehman had been singled out for failure by the U.S. government. ‘So I’m the schmuck?” Fuld was quoted as saying by Andrew Ross Sorkin in his book “Too Big to Fail: The Inside Story of How Wall Street and Washington Fought to Save the Financial System – and Themselves” (Penguin, 2009). Today’s blog confirms that Lehman borrowed less money than many of the firms we have analyzed so far in this liquidity risk series.

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