Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgagesthis week show that the implied forward yields for...
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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...
More Evidence on the Funding “Subsidy” of the Too Big to Fail Banks
In this note, we update ourAugust 12 study with more evidence of whether or not there is a funding advantage for the “too big to...
Mortgage Servicing Rights Values Close Mixed for the Week as Current and Forward Mortgage Rates Drop 0.03%
Kamakura Corporation projections for U.S. Treasuries and fixed rate mortgages this week show that the implied forward yields for...
Five of Seven Regional Banks Trade at Credit Spreads Better than the Too Big to Fail Banks
In this note, we present some initial evidence of whether or not there is a funding advantage for the “too big to fail banks.”...
Kinder Morgan Energy Partners Leads the 20 Best Value Bond Trades with Maturities of 10 Years or More
We last ranked the best value 10 year fixed rate corporate bond issues on August 4, 2014. Today we rank the best value corporate...
Measuring the Funding Costs of the Too Big to Fail Banks: The U.S. Dollar Cost of Funds Index™
Measuring the marginal cost of funds for a financial institution is a critical calculation from both a management perspective...
Forward 1 Month T-Bill Rates Plunge 0.26% in 2 Years but Forward 10 Year U.S. Treasury Yield Drops Only 0.04% from Last Week
Long term implied forward 1 month Treasury bill rates more than reversed last week’s increases, plunging this week at...