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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

Phone: 808.791.9888
Fax: 808.791.9898
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Phone: +49.17.33.430.184

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On February 25 in the U.S. bond market, there were 37,970 bond trades in 5,421 non-call fixed rate corporate bond issues representing $12,270,618,132 in notional principal.  Which 20 trades were the best trades of the day, and how do we decide the answer to that question?  We answered those questions in our analysis of the best value bond trades for maturities of one year or more on January 23. Today, we answer the same questions for bonds with maturities of 20 Years or longer.

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On February 26 in the U.S. bond market, there were 24,966 bond trades in the senior non-call fixed rate corporate bond issues of 760 bond issuers representing $7,919,219,136 in notional principal.  Which companies were the leaders in trading volume, and why were they the volume leaders?  We answer those questions in this note.

Conclusion: Cisco Systems Inc. (CSCO) was the trading volume leader on February 26, 2014. Following in ranks 2 through 6 were Citigroup Inc. (C), Goldman Sachs Group Inc. (GS), Morgan Stanley (MS), and Novartis Capital Corporation, an affiliate of Novartis AG (NVS).

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Cisco Systems Inc. (CSCO) has launched the largest U.S. bond offering since last September, raising $8 billion in seven tranches. This note compares the risk and return on Cisco Systems Inc. bonds with those of Google Inc. and Apple Inc., featured in yesterday’s Kamakura bond analysis.

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On February 21, 2014, the bonds of Google Inc. (GOOG) were the 18th most heavily traded of any reference name in the U.S. fixed rate corporate bond market.  Another iconic name in technology, Apple Inc. (AAPL), ranked 21st. We reviewed Apple Inc. in this series of notes on January 20, 2014. This is a rare opportunity to make a bond market comparison between the two names, which normally don’t trade in such volume.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields up 0.02% to 0.07% from last week while fixed rate mortgage yields are 0.02% to 0.14% 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 ®.  We also present three potential scenarios consistent with the implied forecast that represent alternative paths for interest rates.

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