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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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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

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Kamakura Corporation
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Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898

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Kamakura Blog


As we noted in our November 6, 2013 update on BP PLC (BP), its subsidiary BP Capital Markets PLC is one of the most heavily traded bond issuers in the domestic U.S. corporate bond market. Bonds issued by BP Capital Markets PLC have a guarantee of the parent BP PLC. For convenience, we discuss both legal entities today as if they were indistinguishable from a bondholder’s perspective. Today’s note incorporates BP Capital Markets PLC bond price data as of May 9, 2014 so that we may take an updated look at the bond market perspective on BP PLC. A total of 99 trades were reported on 19 fixed-rate non-call bond issues of BP Capital Markets PLC.

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Projected one month Treasury bill rates showed a sharp twist this week, with rates in 2019 down by as much as 0.15% and rates in 2024 up by 0.12%. Forward 1 month T-bill rates are now projected to peak in the second quarter of 2022 at 3.77%, postponed by a year relative to last week, but at the same peak level. This is the seventh consecutive implied peak in one month bill rates, something not seen for a few years. The impact of the peak can be seen in the three dimensional graph of Treasury yield movements (below) and Treasury forward rates. The forecast shows projected 10 year U.S. Treasury yields rising steadily to 3.97% in 2024, up 0.05% from last week. We also present three potential scenarios consistent with the implied forecast that represent alternative paths for interest rates.

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Toyota Motor Corporation (TM) (7203) ranks 14th on the Forbes list of the world’s best brands, ranking second among automakers after BMW. The bond market has generally paid more for brand name bond issues than pure financial analysis and relative value would indicate. With this history in mind, today’s study incorporates 64 May 7 bond trades on 16 U.S. dollar bonds issued by Toyota Motor Credit Corporation with trading volume of $48.6 million.

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In light of the recent earnings reports from the major U.S. banks, it is timely to update our analysis of Citigroup Inc. (C), which we last reviewed on December 6, 2013. We did also did an extensive analysis of the credit crisis history of Citigroup borrowings from the Federal Reserve and the events leading up to those borrowings on June 6, 2011. Citigroup Inc. consolidated borrowings during the credit crisis peaked at $24.2 billion on March 5, 2009, and the firm had borrowings outstanding on 211 days according to Federal Reserve reports.

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This is our second analysis ofPetroleo Brasileiro S.A.(“Petrobras”) (PBR) (PBRQF), the largest company in the southern hemisphere by market capitalization and the largest company in South America by revenues. The Petroleo Brasileiro S.A. investor information website explains the firm’s world-wide operations in detail. Our previous analysis was done in October, 2013.

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