By Donald van Deventer on
1/20/2012 12:32 PM
Today’s forecast for U.S. Treasury yields is based on the January 19, 2012 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 January 20, 2012. 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
1/19/2012 1:22 PM
This is the seventh in a series of blogs on trading volume and the degree of competitiveness in the credit derivatives market. In this post, we use credit derivatives data from the Office of the Comptroller of the Currency from June 30, 1998 to September 30, 2011 to measure the degree of concentration among commercial bank dealers in the credit derivatives market. We conclude that the credit derivatives market is very highly concentrated, which increases the probability of collusion and monopoly pricing power.
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By Donald van Deventer on
1/18/2012 8:54 AM
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust & Clearing Corporation and found that only one reference name in the world had averaged more than 10 non-dealer trades per day in the 77 weeks ended on December 30, 2011. In today’s blog, the sixth in the CDS trading volume series, we look at weekly credit default swap trading volume for non-U.S. banking firms among those 1,090 reference names. We find that there is minimal non-dealer trading volume in the 97 international banking firms for which DTCC reported non-zero trading volume.
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By Donald van Deventer on
1/14/2012 2:32 PM
Today’s forecast for U.S. Treasury yields is based on the January 12, 2012 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 January 13, 2012. 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
1/12/2012 11:25 AM
On January 9, we reviewed trading volume in credit default swaps for 1,090 reference names reported by the Depository Trust & Clearing Corporation and found that only one reference name in the world had averaged more than 10 non-dealer trades per day in the 77 weeks ended on December 30, 2011. In today’s blog, the fifth in the CDS trading volume series, we look at weekly credit default swap trading volume for sovereigns among those 1,090 reference names. We find that, in a small subset of sovereign names, there is regular trading, but in modest volume.
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