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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
info@kamakuraco.com

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James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895
 
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Clement Ooi
President, Asia Pacific Operations
Phone: +65.6818.6336

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Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

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Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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3-6-7 Kita-Aoyama, Level 11
Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

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Kamakura Blog

  

The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields down 0.07% to 0.11% from last week while fixed rate mortgage yields are 0.01% to 0.04% lower.  Mortgage yields, determined by the Monday through Wednesday weekly survey of the Federal Home Loan Mortgage Corporation, lag Treasury movements simply because of the 3-day yield calculation used in the Primary Mortgage Market Survey ®.

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This note is an update of the bond market view of Wal-Mart Stores Inc. (WMT) that we published September 23, 2013. Today’s note incorporates Wal-Mart Stores Inc. bond price data as of January 22, 2014. A total of 205 trades were reported on 23 fixed-rate non-call bond issues of Wal-Mart Stores Inc. with trading volume of $60.9 million. All of this data was used in this study.

Conclusion: We find that Wal-Mart Stores Inc. bond offer investors a rare combination: both low default risk and an above average reward-to-risk ratio as measured by the ratio of credit spread to matched-maturity default probability.

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This note focuses on an updated risk and return on the bonds of Apple Inc. (AAPL), a consumer product icon like Ford Motor Co. (F), which we analyzed on January 15, 2014. Today’s note incorporates Apple Inc. bond price data as of January 17, 2014.  We compare our results with our prior analysis of Apple Inc. bonds on September 24, 2013. On January 17, a total of 144 trades were reported on 4 fixed-rate non-call bond issues of Apple Inc. with trading volume of $57.9 million.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields down 0.08% to 0.13% from last week while fixed rate mortgage yields are 0.09% to 0.12% lower.  Mortgage yields, determined by the Monday through Wednesday weekly survey of the Federal Home Loan Mortgage Corporation, lag Treasury movements simply because of the 3-day yield calculation used in the Primary Mortgage Market Survey ®.

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In the last few days, Ford Motor Company (F) announced its best revenue year since 2006, boosted its quarterly dividend by 25%, and announced an almost 50% sales increase in one of the world’s most important markets, China. In spite of this, Ford’s stock price has been flat to down since we last looked at the reward to risk ratio on Ford Motor Company bonds on September 13, 2013. This note uses the default probabilities and bond spreads of Ford Motor Company on January 13, 2014 to update the relative reward-to-risk ratio on the firm’s bonds.

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