SAS and Kamakura
On June 27, 2022, SAS – the global AI and analytics leader – acquired Kamakura Corporation, a leading provider of risk management software, information and consulting. As a result of the acquisition we can now provide an unparalleled suite of integrated risk solutions, particularly concerning asset liability managment (ALM) and other essential solutions for the financial services industry. SAS has scaled resources to support Kamakura products, enabling SAS resources and selected specialized Partners. The Kamakura products are becoming an integrated part of the SAS Risk platform.
TROUBLED COMPANY INDEX®
The Troubled Company Index® measures the percentage of 41,500 public firms in 76 countries that have an annualized one- month default risk of over one percent.
DAILY
Kamakura Default Probabilities versus
Legacy Ratings
Kamakura Daily Bond Performance Attribution
KRIS Daily Default Probability and
Bond Cross-Validation
RESEARCH
SAS Weekly Bund Yield and Euro Forecast, November 1, 2024: Most Likely Range for 10-year Bund Yields in 2034? 2% to 3%
Summary The 2-year/10-year Bund spread closed the week at a positive 13.3 basis points, down from 15.1 basis points last week. As a result, today’s simulation shows that the maximum probability of a return to negative spreads is 1%, compared to 20.3% in the prior...
SAS Weekly Treasury Forecast, November 1, 2024: Implications of a Flat Yield Curve
Summary Over the last week, Treasury yields were up 0.10% at 2 years and up 0.12% at 10 years. As a result, the current 2-year/10-year Treasury spread was up 0.02% at 0.16%. The maximum probability that the 2-year/10-year Treasury spread is negative again in the...
SAS Weekly Japanese Government Bond and Yen Simulation, November 1, 2024: Tracking the 10-year Yield to the 2% to 3% Range in 2034
Summary The median level for the yen-U.S. dollar exchange rate is above 160 one year from now, up from 158 last week, according to this week’s 100,000 scenario simulation of JGB yields and the exchange rate. Beyond 10 years, the JGB term premium is similar to that...
SAS Weekly U.K. Gilt Yield and Pound Sterling Forecast, October 25, 2024: Peak in One Month Forward Rates Jumps 0.23%
Summary One-month forward Gilt rates peak at 5.60% this week, up 0.23% from the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at a positive 8.5 basis points, compared to 6.5 basis points one week prior. As a result, today’s simulation...
SAS Weekly Treasury Forecast, October 25, 2024: “Higher for Longer” is Back
Summary Over the last week, Treasury yields were up 0.16% at 2 years and up 0.17% at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread was up 0.01% at 0.14%. The negative 2-year/10-year Treasury spread streak which ended August 26 is...
COMMENTARY
Economic Trick or Treat?
NEW YORK: November 4,2024: Economic headlines—including those about employment, inflation, and the stock market--have been generally upbeat and positive lately. The S&P 500 has set 47 record highs thus far in 2024. Household net worth marked another all-time high...
The Abrupt End of an Era
NEW YORK: October 1, 2024: September 2024 was a month for the history books. The Fed started its long-anticipated easing cycle by cutting the federal funds rate for the first time in four years. Leading up to the FOMC meeting, expectations for the size of the cut were...
Reflections on Jackson Hole
NEW YORK: Sept. 3, 2024: Jackson Hole, Wyoming is a place of great beauty, as well as the site of the annual policy symposium hosted by the Federal Reserve Bank of Kansas City. This year’s focus on monetary policy is especially significant because inflation has...
Emotion, Momentum and the Markets
NEW YORK, August 2, 2024: July has been quite a month. The Democrats selected a new candidate for president, former Federal Reserve President Bill Dudley called for immediate rate cuts amid recession concerns, and volatility spiked. After a brief sell-off, the...
The Great Bifurcation Continues
NEW YORK, July 2, 2024: Markets ended in the black this quarter, with the S&P 500 up 4% for the quarter and 15.29% year-to-date. The S&P World Index was up 0.82% for the quarter and 6.75% for the year-to-date. The S&P 500 top 50 were up 9% in the second...