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 Forecast, September 27, 2024: Moving Slowly Toward a Normal Yield Curve
Summary Treasury yields were unchanged at 2 years and were up 2 basis points at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread widened to positive 20 basis points, compared to 18 basis points a week earlier. The negative...
SAS Weekly Forecast, September 20, 2024: Long-term Treasury Forward Rates Up 0.28%
Treasury yields were down 2 basis points at 2 years and were up 7 basis points at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread widened to positive 18 basis points, compared to 9 basis points a week earlier. The negative...
SAS Weekly Forecast, September 13, 2024: Treasury Yield Declines Continue
Summary Treasury yields were down 9 basis points at 2 years and were down 6 basis points at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread widened to positive 9 basis points, compared to 6 basis points a week earlier. Negative...
SAS Weekly Forecast, September 6, 2024: 2-Year/10-Year Negative Treasury Streak is so Yesterday
Summary Treasury yields were down 25 basis points at 2 years and were down 19 basis points at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread widened to positive 6 basis points, compared to zero basis points a week earlier....
SAS Weekly Forecast, August 30, 2024: 2-Year/10-Year Negative Treasury Streak Ended August 26. What Now?
Summary The Treasury curve was up 1 basis point at 2 years and was up 10 basis points at 10 years over the last week. As a result, the current 2-year/10-year Treasury spread narrowed to zero this week, first on August 27 and again on August 30, compared to negative 9...
COMMENTARY
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...
In Times of Disruption, Focus on Fundamentals
NEW YORK, June 3, 2024: While markets continue to focus on inflation and anticipating the Federal Reserve’s next moves on interest rates, other fundamental issues are equally important. New home sales fell 4.7% in April and the median selling price increased 3.9%...