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10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the June 23, 2011 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 pm June 24, 2011. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the June 16, 2011 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 pm June 17, 2011. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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Today’s blog focuses on the U.S. dollar funding shortfall that took place at Barclays during the period from February 8, 2008 to March 16, 2009. Today’s blog contains a surprising conclusion.  Barclays ranked second in average borrowings from the Fed during the March-May 2008 crisis surrounding the collapse of Bear Stearns and its subsequent absorption by JPMorgan Chase, which we review in a subsequent blog. In spite of this semi-crisis, Barclays agreed on September 16, 2008 to take on $72 billion of the trading assets of Lehman Brothers and $68 billion of the trading liabilities. Although Barclays’ initial funding shortfall from this transaction was quite large, the bank’s ability to repay the borrowings was much more substantial than it appeared to be in the aftermath of the Bear Stearns collapse.

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10 Year Forecast of U.S. Treasury Yields And U.S. Dollar Interest Rate Swap Spreads
Today’s forecast for U.S. Treasury yields is based on the June 9, 2011 constant maturity Treasury yields that were reported by the Board of Governors of the Federal Reserve System in its H15 Statistical Release at 4:15 pm June 10, 2011. The “forecast” is the implied future coupon bearing U.S. Treasury yields derived using the maximum smoothness forward rate smoothing approach developed by Adams and van Deventer (Journal of Fixed Income, 1994) and corrected in van Deventer and Imai, Financial Risk Analytics (1996). For an electronic delivery of this interest rate data in Kamakura Risk Manager table format, please subscribe via info@kamakuraco.com.

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Today’s blog focuses on the funding shortfall that took place at Depfa Bank PLC New York Branch during the period from February 8, 2008 to March 16, 2009. During this period, Depfa was a subsidiary of Hypo Real Estate AG, which was nationalized by the German government rescue fund SoFFin on October 13, 2009. Today’s blog confirms that Depfa, through its New York Branch, was one of the largest borrowers from the Federal Reserve during the credit crisis, a fact that hasn’t received as much attention as it should. At its peak, Depfa was borrowing $47.8 billion from the Federal Reserve, almost double the funding shortfall at Lehman Brothers on September 15, 2008, the day after its bankruptcy filing. Depfa’s average borrowings from the Fed were $24 billion, second only to AIG among firms studied in this blog series so far.  Depfa’s average borrowings exceeded those of Morgan Stanley, Merrill Lynch, Bank of America in consolidation with Merrill Lynch and Countrywide, and Citigroup.

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