Today’s forecast for U.S. Treasury yields is based on the September 15, 2011 constant maturity Treasury yields that were...
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Inside the Kamakura Book of Yields: An Analysis of 50 Years Of Daily U.S. Treasury Forward Rates
On September 13, 2011 Kamakura Corporation released the study “Inside the Kamakura Book of Yields: A Pictorial History of 50...
September 9, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the September 8, 2011 constant maturity Treasury yields that were reported...
September 2, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the September 1, 2011 constant maturity Treasury yields that were reported...
Ranking of the 82 Borrowers under the Federal Reserve’s Commercial Paper Funding Facility (Updated August 30, 2011)
On August 25, we examined the Federal Reserve’s extensions of credit under the Commercial Paper Funding Facility (“CPFF”). We...
August 26, 2011 Friday Forecast
Today’s forecast for U.S. Treasury yields is based on the August 25, 2011 constant maturity Treasury yields that were reported...
In Which the Fed Uses $348.5 Billion of Funds from Joe and Mary Six Pack and Lends More Than Half of It to European Firms
On August 23, we explained how an enormous amount of the Federal Reserve’s loans in the form of “primary, secondary and other...
How Joe and Mary Six Pack Saved Wall Street, London, Frankfurt and Big Corporates in the USA and Europe
In our 20 part series on “Case Studies in Liquidity Risk,” we focused on the story of 20 firms who experienced a larger and...
August 19, 2011 Friday Forecast
10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads Today’s forecast for U.S. Treasury yields is...
August 12, 2011 Friday Forecast
10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads Today’s forecast for U.S. Treasury yields is...
August 5, 2011 Friday Forecast
10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads Today’s forecast for U.S. Treasury yields is...
Case Studies in Liquidity Risk: Royal Bank of Scotland PLC New York Branch
Today’s blog focuses on the U.S. dollar funding shortfall that took place at Royal Bank of Scotland PLC’s New York branch during...