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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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James McKeon
Director of USA Business Solutions
Phone: 215.932.0312

Andrew Zippan
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Phone: 647.405.0895
 
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Clement Ooi
President, Asia Pacific Operations
Phone: +65.6818.6336

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Andrew Cowton
Managing Director
Phone: +61.3.9563.6082

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Jim Moloney
Managing Director, EMEA
Phone: +49.17.33.430.184

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

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We last analyzed AT&T on August 27, 2013 and the headline read “not a ringing endorsement.” Then and now, the telecommunications sector around the world is experiencing enormous disruption. Just today, AT&T Inc. announced a nearly $5 billion deal by which Crown Castle International Corp. would have exclusive leasing rights on 9,000 AT&T Inc. wireless towers. In August, we noted that bond holders of AT&T Inc. were receiving a lower than average reward-to-risk ratio compared to investment grade bonds widely available in the marketplace.  In this note, we confirm that the AT&T Inc. bond reward-to-risk ratio has narrowed further, a surprising conclusion as the upheaval in telecommunications continues.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields down 0.01% to 0.07% from last week while fixed rate mortgage yields are 0.01% to 0.03% lower.  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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In the wake of the bankruptcy of Detroit, the intensity of investor focus on municipal bond risk has dramatically increased. In many municipal entities, the problems of both strategy and execution of public pension fund management are a major problem. Perhaps no municipal bonds are under more scrutiny than the various bonds issued by entities affiliated with the Commonwealth of Puerto Rico.  In this note we analyze the current market view of two key Puerto Rico bond issuing entities and show how that view has evolved since June 1, 2013.

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After the downgrade of Citigroup Inc. by Deutsche Bank on December 5, it is timely to do an update of our analysis of Citigroup Inc. bonds published on August 26, 2013. We did also did an extensive analysis of the credit crisis history of Citigroup borrowings from the Federal Reserve and the events leading up to those borrowings on June 6, 2011. Citigroup Inc. consolidated borrowings during the credit crisis peaked at $24.2 billion on March 5, 2009, and the firm had borrowings outstanding on 211 days according to Federal Reserve reports. With this history in mind, today’s study incorporates Citigroup bond price data as of December 5, 2013 to analyze the potential risk and return to bondholders of Citigroup Inc.

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The latest implied forward rate forecast from Kamakura Corporation shows projected 10 year U.S. Treasury yields up 0.10% to 0.19% from last week while fixed rate mortgage yields are 0.05% 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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