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Donald van Deventer
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Donald R. van Deventer founded the Kamakura Corporation in April, 1990 and is currently Chairman and Chief Executive Officer. Dr. van Deventer's emphasis at Kamakura Corporation is enterprise wide risk management and modern credit risk technology. The second edition of his newest book, Advanced... More
My company:
Kamakura Corporation
My blog:
Donald R. van Deventer's Kamakura Blog
My book:
Advanced Financial Risk Management, 2nd Edition 2013
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  • Back To Normal In Municipal CDS Market: 2 Trades For $2.6 Million On New Jersey

    (click to enlarge)nj

    The chart below ranks the reference names traded in the credit default swap market overall and in the municipal credit default swap market in the most recent week by the notional principal of credit default swaps traded on that reference name. The number of reference names traded, the total notional principal traded for all reference names, and the total number of trades are given at the top of the chart.

    The data is provided by Kamakura Risk Information Services. For more information please contact info@kamakuraco.com.

    (click to enlarge)mcds

    Tags: NXJ, MUJ, BNJ, MYJ, bonds
    Aug 26 1:48 PM | Link | Comment!
  • Glencore, Orange, And Credit Suisse Lead Corporate Credit Default Swap Trading Volume

    (click to enlarge)cds

    This chart ranks the reference names traded in the credit default swap market in the most recent week by the notional principal of credit default swaps traded on that reference name. The number of reference names traded, the total notional principal traded for all reference names, and the total number of trades are given at the top of the chart.

    The data is provided by Kamakura Risk Information Services. For more information please contact info@kamakuraco.com.

    Aug 26 1:45 PM | Link | Comment!
  • U.S. Dollar Cost Of Funds Index Rebounds To 1.309% At 5 Years On $633 Volume

    (click to enlarge)c

    The U.S. Dollar Cost of Funds IndexTM measures the trade-weighted cost of funds for the largest deposit-taking U.S. bank holding companies. The index is a credit spread, measured in percent and updated daily, over the matched maturity U.S. Treasury yield on the same day. The current bank holding companies used in determining the index are Bank of America Corporation (NYSE:BAC), Citigroup Inc. (NYSE:C), JPMorgan Chase & Co. (NYSE:JPM), and Wells Fargo & Company (NYSE:WFC). The index is an independent market-based alternative to the Libor-swap curve that has traditionally been used by many banks as an estimate of their marginal cost of funds. Kamakura Corporation is the calculation agent, and the underlying bond price data is provided by TRACE and the U.S. Department of the Treasury.

    Today's on the run values for the U.S. Dollar Cost of Funds Index are shown below.

    (click to enlarge)ct

    Tags: BAC, C, JPM, WFC, financials, bonds
    Aug 26 1:32 PM | Link | Comment!
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