Kamakura Integrates All U.S. Corporate Bond Trades in
KRIS Default Probability Service
TRACE Bond Data Available for All Traded Issuers from 2007 Onward
President and COO
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NEW YORK, April 14, 2016: Kamakura Corporation reported Thursday that all corporate bond trades reported by the Financial Industry Regulatory Authority’s (“FINRA”) Trade Reporting and Compliance Engine (“TRACE”) system have been fully integrated into the Kamakura Risk Information System’s default probability service KRIS. The new data makes high quality credit spread data available for each of the more than 1200 bond issuers whose bonds are traded daily in the U.S. corporate bond market, including a wide array of international issuers. On a typical day there are more than 30,000 trades in 4,500 different bond issues. The data is updated nightly and is available to KRIS default probability clients who opt in for the bond data service.
Martin Zorn, President and Chief Operating Officer for Kamakura Corporation, said Thursday “While we understand the fascination of journalists with the credit default swap market, the U.S. corporate bond market is a far superior source of competitive market pricing for default sensitive instruments. Pricing is transparent, there are 500 more bond issuers traded daily than there are traded CDS reference names, and maturities range from near 0 to more than 80 years to maturity. By contrast 87% of credit default swap trades take place at maturities within 3 months of 5 years. Once actual traded CDS pricing is publically available then traded CDS data will also be made available in KRIS. CDS quotes that do not represent actual trades don’t have the information content that actual traded bond prices do.”
The traded bond price and credit spread data includes more than 7 million observations on corporate bond prices since January 1, 2007. Bond prices are updated daily, and credit spreads are available on both a matched maturity basis and on the traditional but inaccurate comparison using only on the run U.S. Treasuries. In the portfolio section of KRIS, for example, the most heavily traded bond issues on a given day are easily displayed, as in this example where Target Corporation’s bonds due 2046 were the most heavily traded issue:
Bond trading volume, both in dollar terms and number of trades, is available for every issue for which trades have occurred, as shown in this display for Chesapeake Energy:
For each bond issuer for which there have been bond trades, a daily term structure of credit spreads can be displayed, like this one for Wells Fargo & Company:
The credit spread history for all issues that have been traded in the U.S. corporate bond market since January 2007 is also available, as shown for the Deutsche Bank AG 4.50% Notes due April 1, 2025:
Default probabilities for every bond issue and 35,000 other public firms world-wide are also a key component of the KRIS default probability service. Kamakura’s KRIS and Kamakura Risk Manager clients use bond price and credit spread historical data for a wide variety of risk management calculations: credit portfolio management, market risk, funds transfer pricing, asset and liability management, IFRS 9, credit valuation adjustment, hedge effectiveness, capital adequacy, Basel and Solvency II risk assessments, and for a variety of model validation purposes.
For more information about the default probabilities and bond price and spread information available in the KRIS service, please contact firstname.lastname@example.org or your Kamakura Corporation representative.
About Kamakura Corporation
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Kamakura CEO Dr Donald van Deventer (www.twitter.com/dvandeventer),
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Kamakura’s official twitter account (www.twitter.com/KamakuraCo).
Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software.Kamakura was named to the World Finance 100 by the Editor and readers of World Finance magazine in 2012. In 2010, Kamakura was the only vendor to win 2 Credit Magazine innovation awards.Kamakura Risk Manager, first sold commercially in 1993 and now in version 8.1, is the first enterprise risk management system with users focused on credit risk, asset and liability management, market risk, stress testing, liquidity risk, counterparty credit risk, and capital allocation from a single software solution. The KRIS public firm default service was launched in 2002. The KRIS sovereign default service , the world’s first, was launched in 2008, and the KRIS non-public firm default service was offered beginning in 2011. Kamakura added its U.S. Bank default probability service in 2014. Kamakura has served more than 330 clients ranging in size from $1.5 billion to $1.6 trillion in assets. Kamakura’s risk management products are currently used in 43 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea, India and many other countries in Asia.
Kamakura has world-wide alliances with Fiserv (www.fiserv.com) and SCSK Corporation ( http://www.scsk.jp/index_en.html) making Kamakura products available in almost every major city around the globe.
For more information contact
2222 Kalakaua Avenue, Suite 1400, Honolulu, Hawaii 96815
Web site: www.kamakuraco.com