By Donald van Deventer on 12/30/2011 12:31 PM

Today’s forecast for U.S. Treasury yields is based on the December 29, 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 p.m. Eastern Standard Time December 30, 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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By Donald van Deventer on 12/27/2011 7:26 AM

Today’s forecast for U.S. Treasury yields is based on the December 22, 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 p.m. Eastern Standard Time December 23, 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@kamauraco.com.

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By Donald van Deventer on 12/16/2011 2:58 PM

Today’s forecast for U.S. Treasury yields is based on the December 15, 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 December 16, 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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By Donald van Deventer on 12/13/2011 2:23 PM

On August 25, 2011, Charles Schwab Bank and Charles Schwab Corporation filed suit alleging 12 banks conspired to manipulate the U.S. Dollar London Interbank Offered Rate (“Libor”) over an extended period of time beginning in 2007.  The firms named in the lawsuit were affiliates of Bank of America, Credit Suisse, JPMorgan Chase, Citigroup, HBOS, HSBC, Barclays, Lloyds, WestLB, UBS, Royal Bank of Scotland, and Deutsche Bank. The complaint contains anecdotal and statistical evidence that Libor was manipulated downward.  This blog uses publically available information and reaches the conclusion that the allegations are highly likely to be correct.

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By Donald van Deventer on 12/9/2011 1:31 PM

Today’s forecast for U.S. Treasury yields is based on the December 8, 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 December 9, 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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