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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 August 11, 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 August 12, 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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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 August 4, 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 August 5, 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, p

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Today’s blog focuses on the U.S. dollar funding shortfall that took place at Royal Bank of Scotland PLC’s New York branch during the period from February 8, 2008 to March 16, 2009. We also include borrowings by RBS Citizens Bank during that period. Our previous blogs have found that most institutions analyzed to date have primarily relied on “primary, secondary and other extensions of credit” by the Fed. Unlike most of the other financial institutions analyzed in this series to date, entities for which the Royal Bank of Scotland Group was the sponsor were very significant borrowers under the Federal Reserve’s Commercial Paper Funding Facility. In aggregate, the Royal Bank of Scotland Group received major support from the Federal Reserve in spite of very significant aid from the U.K. government during the credit crisis.

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Today’s blog focuses on the U.S. dollar funding shortfall that took place at Bank of Scotland PLC’s New York branch during the period from February 8, 2008 to March 16, 2009. Bank of Scotland is the main banking subsidiary of holding company HBOS PLC. The HBOS group was the largest mortgage lender in the United Kingdom and the group was affected by the same factors that forced the Bank of England to announce its support for Northern Rock PLC on September 14, 2007, followed by a complete nationalization of Northern Rock in early 2008. Data from the Federal Reserve show that Bank of Scotland PLC was forced to borrow $5 billion from the Fed on September 17, 2008, the same day that HBOS’s rescue by Lloyds was announced and almost a full month before the U.K. government announced a major capital injection to HBOS.

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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 July 28, 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 July 29, 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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