Search My Blog
 About Donald

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

 Connect
 Contact Us
Kamakura Corporation
2222 Kalakaua Avenue

Suite 1400
Honolulu HI 96815

Phone: 808.791.9888
Fax: 808.791.9898
info@kamakuraco.com

Americas, Canada
James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
Director, North America (Canada)
Phone: 647.405.0895
 
Asia, Pacific
Clement Ooi
President, Asia Pacific Operations
Phone: +65.6818.6336

Australia, New Zealand
Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

Europe, Middle East, Africa
Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

Tokyo, Japan
3-6-7 Kita-Aoyama, Level 11
Minato-ku, Tokyo, 107-0061 Japan
Toshio Murate
Phone: +03.5778.7807

Visit Us
Linked In Twitter Seeking Alpha

Careers at Kamakura
Technical Business Consultant – ASPAC
Asia Pacific Region
Business Consultant – ASPAC
Asia Pacific Region

Consultant
Europe

Kamakura Risk Manager Data Expert
Europe, North America, Asia & Australia 

 

 Archive
kamakura blog
   
  

This note is the last in a series analyzing the trading volume in single name credit default swaps for the 155 weeks ended June 28, 2013.  In this analysis, we focus on trading in 961 non-bank corporate reference names.  We find that only one corporate averaged more than five non-dealer trades per day over the 155 week period studied.

Read More »

Institutional investors around the world are required to prove to their audit committees, senior management, and regulators that their investments are in fact “investment grade.” Even computer users take note of the financial strength of key vendors like Microsoft Corporation. For many investors, “investment grade” is an internal definition; for many banks and insurance companies “investment grade” is also defined by regulators. In this note we analyze the current levels and past history of default probabilities for Microsoft Corporation (MSFT). We also measure the reward, in terms of credit spread, for taking on the default risk of Microsoft Corporation bonds. On August 19, Microsoft Corporation non-call fixed rate bonds were traded 125 times for $6.5 million in volume.  We use that data in this analysis.

Read More »

On January 20, 2013 Kamakura Corporation reported on trading volume in credit default swaps for non-U.S. banking firms for the 129 weeks ended December 30, 2012. This note updates that analysis for the 155 weeks ended June 28, 2013.  We confirm our earlier results that there is minimal end-user trading in single name credit default swaps on the international banking sector.

Read More »

Institutional investors around the world are required to prove to their audit committees, senior management, and regulators that their investments are in fact “investment grade.” The same is true for producers of goods sold at retailers like J C. Penney Company, Inc. which operates its JCPenney stores through its wholly-owned subsidiary J. C. Penney Corporation, Inc. For many suppliers and investors, “investment grade” is an internal definition; for many banks and insurance companies “investment grade” is also defined by regulators. In this note we analyze the current levels and past history of default probabilities for J. C. Penney Company (JCP).  JCP issues bonds through its affiliate J. C. Penney Corporation, Inc., but JCP is guarantor or co-obligor on the bonds.  On August 16, J. C. Penney Corporation non-call fixed rate bonds were traded 85 times for $6.9 million in volume. We use that data in this analysis.

Read More »

Today’s forecast for U.S. Treasury yields is based on the August 15, 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 Daylight Time August 16, 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.

Read More »