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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

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

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Phone: 215.932.0312

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Phone: 647.405.0895

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Phone: +65.6818.6336

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Phone: +61.3.9563.6082

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Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields up 0.01% to 0.06% from last week while fixed rate mortgage yields are 0.01% 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 ®.

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As we have noted in prior municipal bond analyses, the credit default swap market is often quoted as the source of credit risk information. In this note, we again turn to the municipal bond market and actual traded prices to analyze the market view of the credit risk of the State of California.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields varied by as much as -0.07% to +0.05% from last week while fixed rate mortgage yields changed -0.05% to +0.02%.  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 analysis is a fresh look at General Electric Company, one of the most complex conglomerates in the world. General Electric Company continues to be opportunistic in the financial services business, such as the December acquisition of $2.3 billion of commercial real estate loans from DeutschePostbank. In November, the Company announced plans for a partial initial public offering of its North American retail finance business in 2014. We most recently looked at General Electric Company on September 4, 2013. We also analyzed the risk of General Electric Company bonds on July 11, 2013. Given the announced plans for an eventual exit of its North American retail finance business, a review of the market’s assessment of General Electric Company is in order.

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All too often, in discussions about the risk of municipal bond issuers, the credit default swap market is quoted as the source of information. In this note, we instead turn to the municipal bond market and actual traded prices to analyze the market view of the credit risk of the State of Illinois.  This is particularly appropriate since the first lawsuit charging anticompetitive conduct in the credit default swap market was filed in the city of Chicago.

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