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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

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Honolulu HI 96815

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Fax: 808.791.9898
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Phone: +49.17.33.430.184

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Today’s forecast for U.S. Treasury yields is based on the September 27, 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 Daylight Time September 28, 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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On September 25, 2012, we reviewed trading volume in credit default swaps for 1,112 reference names reported by the Depository Trust & Clearing Corporation and found that only three reference names in the world had averaged more than 10 non-dealer trades per day in the 103 weeks ended on June 29, 2012.  In today’s blog, we look at weekly credit default swap trading volume for sovereigns among those 1,112 reference names.  We find that a small set of sovereigns leads trading volume in single name credit default swaps: Spain, Italy, France and Brazil.  Beyond those names, trading volume drops off rapidly.

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In today’s blog, we look at 103 weeks of CDS trade volume data since the week ended July 16, 2010 through June 29, 2012 for 1,112 reference names.  We find minimal “end user” trade volume for the overwhelming majority of those reference names.

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Today’s forecast for U.S. Treasury yields is based on the September 20, 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 Daylight Time September 21, 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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Today’s forecast for U.S. Treasury yields is based on the September 13, 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 Daylight Time September 14, 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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