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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
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Honolulu HI 96815

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Fax: 808.791.9898
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Phone: +61.3.9563.6082

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Phone: +49.17.33.430.184

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Petroleo Brasileiro S.A. (“Petrobras”) (PBR) (PBRQF) is 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. In this note, we turn to the U.S. dollar bonds issued by Petroleo Brasileiro S.A. affiliates Petrobras Global Finance B.V. and Petrobras International Finance Co., both with the guarantee of the parent. We describe the bonds of both legal entities as being bonds issued by Petroleo Brasileiro S.A. for brevity.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields down 0.10% to 0.04% from last week while fixed rate mortgage yields are 0.04% lower to 0.02% higher.  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 ®.  The 10 year U.S. Treasury yield is projected to rise from 2.53% at Thursday’s close (down 0.08% from last week) to 2.939% (down 0.09% from last week) in one year.  The 10 year U.S. Treasury yield in ten years is forecast to reach 4.442%, 4 basis points lower than last week.  The 15 year fixed rate mortgage rate is forecast to rise from the effective yield of 3.41% on Thursday (unchanged from last week) to 3.848% (down 0.010% from last week) in one year and 5.80% in 10 years, up 0.017% from last week.

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In this note we take a second look at the current levels and past history of default probabilities for Time Warner Cable Inc. (TWC), which declared its dividend payable in December today.  We compare those default probabilities to credit spreads on 541 bond trades in 12 different company bond issues on October 23, 2013.  Time Warner Cable Inc. continues to have some of the lowest default probabilities of any firm analyzed in this series of credit notes to date. Trading volume in these 12 Time Warner Cable Inc. bonds on October 23 totaled $92.4 million, and the analysis in this note is based on those traded prices.

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In this note we re-analyze the current levels and past history of default probabilities and credit spreads for Dell Inc. (DELL) updating the analysis in our note of July 24, 2013 in the light of the recently announced special dividend contemplated by the merger agreement with Michael Dell and Silver Lake Partners.  We compare Dell Inc. default probabilities to credit spreads on 203 bond trades in 10 different bond issues with principal value of $28.7 million on October 21, 2013.  We continue to find that Dell Inc. bonds offer a slightly better than average ratio of credit spread to default probability risk, although the firm’s default probabilities have shifted slightly since our last report. We analyze the maturities where the credit spread/defaul

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In this note we re-analyze the current levels and past history of default probabilities for Wells Fargo & Company (WFC) updating the analysis previously reported on July 18, 2013.  We compare Wells Fargo & Company default probabilities to credit spreads on 394 bond trades in 31 different bond issues on October 18, 2013.  We continue to find that Wells Fargo & Company bonds offer a very attractive ratio of credit spread to default probability risk, although the bank’s default probabilities have risen slightly since our last report. We analyze the maturities where the credit spread/default probability ratio is highest for Wells Fargo & Company.

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