Kamakura’s troubled company index showed a new record for all-time best credit conditions on August 4, 2014. The massive credit...
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Stress Testing, Default Risk, and Bond Trading Volume
Stress testing-based risk management analysis is now a critical element of financial institutions’ financial strategy. Stress...
General Electric Capital Corporation: Bond Default Risk Falls but the Brand Name Premium Does Not
This analysis is an updated bond market view of General Electric Company (GE), one of the most complex conglomerates in the...
Best Practice Model Validation for Stress-Testing, Value at Risk, and Credit VAR
Last Friday, the Federal Reserve decried banks’ reliance on poor risk models as one of the major problems that has been exposed...
Primary Mortgage Yields Rise 0.11% and 30 Year Fixed Rate Mortgage Servicing Values Rise 0.36% This Week
Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgages this week show that the implied forward yields for...
Comparing the Marginal Cost of Funds for Berkshire Hathaway with BAC and WFC
On September 9, we compared the marginal cost of wholesale funding for Bank of America Corporation (BAC) with the U.S. Dollar...
Primary Mortgage Yields Rise 0.02% and 30 Year Fixed Rate Mortgage Servicing Values Rise 0.13% This Week
Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgagesthis week show that the implied forward yields for...
Bank of America: A Pre-Stress Test Credit Risk Report Shows Dramatic Progress
Yesterday we showed that the marginal cost of funding for Bank of America Corporation (BAC) was about 0.30% higher than the...
Bank of America and Its High Marginal Cost of Funds
Forty years ago I spent two summers working with an MIT-educated genius named Wm. Mack Terry, head of the Financial Analysis and...
Royal Dutch Shell Bond Issue Leads the 20 Best Value Bond Trades with Maturities of 1 Year or More
On September 5 in the U.S. bond market, there were 14,691 bond trades in 2,790 non-call fixed rate corporate bond issues...
Forward 1 Month T-bill Curve Twists, Jumps 0.16% to Peak at 3.33% in February, 2021
Forward 1 month T-bill rates twisted again this week, reversing last week’s fall and rising more than 0.13% for all forward...
Transfer Pricing and Valuation Yield Curves without Swap Data: A KeyBank and KeyCorp Example
A survey done a few years ago of the interest rate risk managers for the largest U.S. and Canadian banks confirmed some common...