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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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Clement Ooi
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Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

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On January 10, 2012, we noted that a proposal to use credit default swaps to price deposit insurance (Financial Times, December 28, 2011) was not workable for two reasons: lack of trading volume and the fact that the riskiest banks were in fact CDS market makers. In this blog, we update our January 10, 2012 blog by reporting on credit default swap trading volume for all U.S. banks for the 129 weeks ending December 30, 2012.

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On January 11, 2012, we looked at weekly credit default swap trading volume for sub-sovereigns and municipals among 1,090 reference names that had traded in the 77 weeks ended December 30, 2011.  We found, unfortunately, that (in the words of Gertrude Stein) “there is no there there.” In this blog, we update our CDS volume analysis for sub-sovereigns and municipals for the 129 weeks ended December 30, 2012. Alas, our conclusion is unchanged.

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On January 14, 2013, we reviewed trading volume in credit default swaps for 1,130 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 129 weeks ended on December 30, 2012.  In today’s blog, we look at weekly credit default swap trading volume for sovereigns among those 1,130 reference names.  We continue to 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 129 weeks of single name credit default swap trading volume data since the week ended July 16, 2010 through December 30, 2012 for 1,130 reference names.  We continue to 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 January 10, 2013 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 11, 2013. The forecast for primary mortgage market yields and the resulting mortgage servicing rights valuations are derived in part from the Federal Home Loan Mortgage Corporation Primary Mortgage Market Survey ® made available on the same day.

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