TROUBLED COMPANY INDEX®
The Troubled Company Index® measures the percentage of 41,500 public firms in 76 countries that have an annualized one- month default risk of over one percent.
DAILY
Kamakura Default Probabilities versus
Legacy Ratings
Kamakura Daily Bond Performance Attribution
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KRIS Daily Default Probability and
Bond Cross-Validation
RESEARCH
SAS Weekly Japanese Government Bond and Yen Simulation, February 14, 2025: Measuring the Default Risk of Interest Rate Mismatches
Summary The median level for the yen-U.S. dollar exchange rate is 155.88 one year from now, compared to 160.71 last week, according to this week’s 100,000 scenario simulation of JGB yields and the exchange rate. Beyond 10 years, the JGB term premium is similar to...
SAS Weekly Treasury Simulation, February 14, 2024: Most Likely Range for 10-Year Yield is 2% to 3% in 2035
Summary Treasury 2-year yields moved to 4.26% this week from 4.31% last week. At 10 years, this week’s yield is 4.47%, compared with 4.52% last week. As a result, the current 2-year/10-year Treasury spread is now 0.21% compared to 0.21% last week. The maximum...
SAS Weekly Swedish Krona and Government Bond Yield Simulation, February 7, 2025: Measuring the Default Rate of Interest Rate Mismatches
Summary One-month forward Swedish Government Bond rates peaked at 2.50% this week, compared to 2.58% the previous week. The 2-year/10-year Swedish Government Bond spread closed the week at 0.271%, compared to 0.32% one week prior. The most likely one percent range for...
SAS Weekly U.K. Gilt Yield and Pound Sterling Simulation, February 7, 2025: Term Premium Continues at Wide Levels
Summary One-month forward Gilt rates peaked at 6.10% this week, compared to 6.06% the previous week. The 2-year/10-year United Kingdom Gilt spread closed the week at 0.317%, compared to 0.321% one week prior. As a result, today’s simulation shows that the peak...
Weekly Bund Yield and Euro Simulation, February 7, 2025: Median Euro/U.S. Dollar Exchange Rate 1.0362 One Year Forward
Summary The 2-year/10-year Bund spread closed the week at a positive 0.325%, a change from 0.339% last week. As a result, today’s simulation shows that the maximum probability of a return to negative spreads is 25.4%, compared to 25.5% in the prior week, in the 91-day...
COMMENTARY
Lead, Follow, or Buy Bonds?
NEW YORK: February 3, 2025: Bob Dylan famously sang, “You don’t need a weatherman to know which way the wind blows”. The market started the new year on a roller coaster, with the S&P 500 hitting an all-time high, then selling off on news of a new AI model from...
Dealing with Structural Evolution
Dealing with Structural Evolution NEW YORK: December 2, 2024: Equity markets have been behaving as if U.S. economic growth is the main theme. In fact, U.S. equities have been outperforming other asset classes for over a decade. As a result, the 90-day correlation...
Economic Trick or Treat?
NEW YORK: November 4,2024: Economic headlines—including those about employment, inflation, and the stock market--have been generally upbeat and positive lately. The S&P 500 has set 47 record highs thus far in 2024. Household net worth marked another all-time high...
The Abrupt End of an Era
NEW YORK: October 1, 2024: September 2024 was a month for the history books. The Fed started its long-anticipated easing cycle by cutting the federal funds rate for the first time in four years. Leading up to the FOMC meeting, expectations for the size of the cut were...
Reflections on Jackson Hole
NEW YORK: Sept. 3, 2024: Jackson Hole, Wyoming is a place of great beauty, as well as the site of the annual policy symposium hosted by the Federal Reserve Bank of Kansas City. This year’s focus on monetary policy is especially significant because inflation has...