Term premium Archives - Kamakura Corporation

ABOUT THE AUTHOR

Donald R. Van Deventer, Ph.D.

Don founded Kamakura Corporation in April 1990 and currently serves as its chairman and chief executive officer where he focuses on enterprise wide risk management and modern credit risk technology. His primary financial consulting and research interests involve the practical application of leading edge financial theory to solve critical financial risk management problems. Don was elected to the 50 member RISK Magazine Hall of Fame in 2002 for his work at Kamakura.

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SAS Weekly Forecast, December 2, 2022: Long-term Forward U.S. Treasury Peak Drops 0.25%

Dec 4, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The long-term 1-month forward U.S. Treasury yield now peaks at 4.75%, down 25 basis points from last week. As explained in Prof....

SAS Weekly Forecast, November 25, 2022: U.S. Treasury Forward Rates Flatten Out

Nov 27, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.00%, down 16 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 18, 2022: Peak in 1-Month Treasury Forward Rates Falls 0.35% to 5.16%

Nov 20, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.16%, down 35 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 10, 2022: Treasury Yields Plunge But Peak in Forward Rates Drops Just 0.09% to 5.51%

Nov 13, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.51%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, November 4, 2022: Most Likely 3-Month Treasury Yields in 10 Years within 1% to 2% Range

Nov 6, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.60%, up 14 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 28, 2022: Treasury 1-Month Forward Rate Peak Slides 0.20% to 5.46%

Oct 30, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.46%, down 20 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 21, 2022: Treasury 1-Month Forward Rate Peak Jumps 0.41% to 5.66%

Oct 23, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.66%, up 41 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, October 14, 2022: Treasury 1-Month Forward Rate Peak Up 0.32% to 5.25%

Oct 16, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The 1-month forward U.S. Treasury yield now peaks at 5.25%, up 32 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, September 30, 2022: Market Rate Expectations Step Up

Oct 2, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

Using daily Treasury data from 1962, this week’s simulation shows a step up in market expectations gleaned from a rational...

SAS Weekly Forecast, September 23, 2022: Peak in 1-month Forward Treasury Rates Falls 0.21% to 4.68% on Yield Curve Twist

Sep 26, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The Federal Reserve’s 75 basis point increase resulted in a yield curve twist, with shorter term Treasury yields shifting up and...

SAS Weekly Forecast, September 16, 2022: Peak in 1-month Forward Treasury Rates Falls 0.09% to 4.89%

Sep 18, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The forward 1-month U.S. Treasury yield now peaks at 4.89%, down 9 basis points from last week. As explained in Prof. Robert...

SAS Weekly Forecast, September 9, 2022: Peak in 1-month Forward Treasury Rates Steadies at 4.98%

Sep 11, 2022 | Donald R. Van Deventer, Ph.D., Press Releases

The forward 1-month U.S. Treasury yield now peaks at 4.98%, up 3 basis points from last week. As explained in Prof. Robert...