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An Introduction to Derivative Securities, Financial Markets, and Risk ManagementAdvanced Financial Risk Management, 2nd ed.

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Transocean Ltd. (RIG) helps customers find and develop oil and natural gas reserves. On July 15, Transocean Ltd.’s fully guaranteed finance subsidiary Transocean Inc. was the 12th most heavily traded issuer of senior fixed rate debt in the United States bond market. In this note, we turn to the U.S. dollar bonds issued by Transocean Ltd. and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 15, 2014. A total of 70 trades were reported on 9 fixed-rate bond issues of Transocean Ltd. with July 15 trading volume of $56.1 million.

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The Walt Disney Company (DIS) ranks 17th on the Forbes ranking of the world’s most valuable brands. In this note, we turn to the U.S. dollar bonds issued by the Walt Disney Company and compare its current default probabilities and credit spreads with those on all heavily traded corporate fixed-rate bonds on July 11 and 14, 2014 . A total of 65 trades were reported on 8 fixed-rate bond issues of the Walt Disney Company with trading volume of $28.9 million on July 11. The Walt Disney Company was the 16 th most actively traded corporate bond issuer on July 11. On July 14, there were 45 trades in 10 bond issues for $5.8 million.

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Trading volume in the bond and credit default swap markets, particularly the sovereign credit default swap market, is one of the key drivers of profit for major dealers like Bank of America (BAC), Barclays Bank PLC, BNP Paribas (BNPZY), Citigroup (C), Credit Suisse (CS), Deutsche Bank (DB), Goldman Sachs (GS), HSBC Holdings (HSBC), JPMorgan Chase (JPM), Morgan Stanley (MS), The Royal Bank of Scotland Group PLC (RBS), and UBS AG (UBS). This update adds some details to the nice Wall Street Journal study “Where did Europe’s Sovereign CDS Trading Go?” which analyzes the European Commission’s ban on the short sales of sovereign credit default swaps.

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A number of authors have suggested that credit default swap pricing be used as a basis for setting deposit insurance premiums for banking firms. We re-examine this proposal in this note, the sixth of a semiannual series of reports on credit default swap trading in U.S. bank and bank holding company reference names. This note updates the prior Kamakura Corporation report on credit default swap trading on U.S. banks for the 181 weeks ended December 27, 2013. We find that MBIA Insurance Corporation and Bank of America Corporation were the institutions traded most heavily in the credit default swap market over the 2010 to 2014 period.

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We previously analyzed the trading volume of credit default swaps on international bank reference names on February 11, 2014 for the 181 weeks ending December 27, 2013. This note updates that analysis for the 207 weeks ended June 27, 2014. Of the 1,206 reference names on which credit default swaps were traded during this period, 111 were “international banks,” which we define as a non-U.S. financial institution. Out of the 177,974 observations reported by the Depository Trust & Clearing Corporation, there were 14,737 weekly observations in which an international bank had at least 1 credit default swap traded on its name.

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