On October 20, we noted that the Federal Reserve’s decried banks’ reliance on poor risk models. The Fed’s comments were...
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U.S. Corporate Bond Statistics for October 21, 2014
Corporate bond trading activity on October 21 was led by Morgan Stanley (MS), the most heavily traded bond issuer on the day....
Forward 1 Month T-bill Rates Plunge Once Again, with Peak Down 0.17% at 3.11% in February, 2022
Forward 1 month T-bill rates fell again this week, dropping sharply at all but the very shortest maturities. The fall in implied...
Hewlett-Packard Company Bonds: Default Risk Drops Again
The dramatic announcement on October 5 that Hewlett-Packard Company (HPQ) would split in two has very important implications for...
Primary Fixed Rate Mortgage Yields Fall 0.06% and Mortgage Servicing Values Rise This Week
Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgages this week reflected the 0.06% fall in current 15...
Forward 1 Month T-bill Rates Fall Again, with Peak Down 0.10% at 3.39% in April, 2021
Forward 1 month T-bill rates fell again this week, dropping at every monthly maturity for the next 10 years. The fall in implied...
Citigroup Inc.: Default Risk Drops Sharply and Bonds Remain Solid Value
Kamakura’s troubled company index showed a new record for all-time best credit conditions on August 4, 2014. The massive credit...
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...