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Donald van Deventer

 
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  • Primary 30-Year Fixed Rate Mortgage All-In Yields Fall 0.12%, And Value Of Net Servicing Closes Up 0.16% For The Week [View article]
    Thanks for the kind words, much appreciated.
    Dec 22, 2014. 10:46 AM | Likes Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    You know, Ernie, that phrase says a lot about the writer's level of education and nothing about us. I'll let it stand at that!
    Dec 19, 2014. 03:03 PM | 1 Like Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    Thanks very much, NYer1. We get stumped a fair bit and we work hard not to get stumped by the same questions twice!
    Dec 19, 2014. 03:02 PM | Likes Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    Good suggestion. In our longer articles we've been calculating the "default adjusted dividend ratio" by discounting using the bond credit spreads. Will put that on the front burner for RIG. Thanks!
    Dec 19, 2014. 11:21 AM | Likes Like |Link to Comment
  • Primary 30-Year Fixed Rate Mortgage All-In Yields Fall 0.12%, And Value Of Net Servicing Closes Up 0.16% For The Week [View article]
    Thanks for asking M, yes, if you search on "Advanced Financial Risk Management" you'll see lots of offers to sell both individual chapters and the entire book. Personally, I think having the physical book is most helpful but others are 100% elecronic in their tastes. The government sponsored enterprises have picked up on the approach we've talked about here. Thanks for reading.
    Dec 18, 2014. 11:17 PM | 1 Like Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    Please don't read any special meaning into the "good luck." I would guess that you're in much better shape on the 2015s than the long bonds. Oil price movements will be the determinants.
    Dec 18, 2014. 06:34 PM | Likes Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    See column 6 in the final chart.
    Dec 18, 2014. 05:17 PM | Likes Like |Link to Comment
  • Transocean Default Risk Falls And Bond Trading Volume Tops The Charts [View article]
    Good luck, I hope it works out.
    Dec 18, 2014. 05:15 PM | 1 Like Like |Link to Comment
  • RadioShack Bonds Trade At 18.14%, Down From 22 Last Week, With 1 Year Default Probability At 47.15% [View article]
    This is definitely a mud pit for big boys.
    Dec 17, 2014. 11:06 AM | Likes Like |Link to Comment
  • Oil-Related Chaos In Junk Bonds Triggers Mini-Boom In Junk Bond Trading Volume [View instapost]
    June, statistically yes, it's one of the key risk factors in both our KRIS default probability product and in Kamakura Risk Manager simulations we do for clients. The actual loan-by-loan, name by name, transaction by transaction exposures are not public information. The regulators have increasing good information, but it's still not 100% accurate. I can assure you they're spending a lot of time on this right now.
    Dec 15, 2014. 01:00 PM | Likes Like |Link to Comment
  • What Does This Week's Big Twist In The U.S. Treasury Market Mean For The Next 10 Years? [View article]
    They use first class software and a lot of servers. The speed of the calculation changes linearly with the number of machines you throw at it. This is the kind of granular calculation that would have led investors to avoid CDOs and RMBS filled with junk (if the trustees had made disclosure of the underlying collateral).
    Dec 14, 2014. 02:46 PM | 1 Like Like |Link to Comment
  • What Does This Week's Big Twist In The U.S. Treasury Market Mean For The Next 10 Years? [View article]
    Dear Hat, thanks for the thoughts. The move up on the short end definitely is significant--this is the sector that the Fed has tried hardest to hold down. Let me think about how to structure those 5 sentences. That's a good suggestion but a hard one to do right.
    Dec 14, 2014. 02:43 PM | 1 Like Like |Link to Comment
  • What Does This Week's Big Twist In The U.S. Treasury Market Mean For The Next 10 Years? [View article]
    Your comment is a perfect summary of why we present forward rates (which result from all buy and sell trades in Treasuries) instead of one person's forecast, as explain in the paragraph "Forward rates are not a forecast."
    Dec 13, 2014. 02:06 PM | 1 Like Like |Link to Comment
  • What Does This Week's Big Twist In The U.S. Treasury Market Mean For The Next 10 Years? [View article]
    I have a lot of sympathy for your point, but there's a big difference today. With better financial math, more transparent trade volume and price data in fixed income, and vastly improved computer science, our best clients can be as close to real time as they wish. Our largest client processes a portfolio that contains 700 million transactions. Thanks for the thoughtful comment.
    Dec 13, 2014. 02:04 PM | 1 Like Like |Link to Comment
  • What Does This Week's Big Twist In The U.S. Treasury Market Mean For The Next 10 Years? [View article]
    Please read the paragraph "Forward rates are not a forecast." It's important. Thanks for your forecast.
    Dec 13, 2014. 02:01 PM | 1 Like Like |Link to Comment
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