Kamakura Releases 50 Years of U.S. Treasury Daily Par Coupon Bond Yield Curves

New York - 5 October 2011

Honolulu-based Kamakura Corporation announced Wednesday that it has released 50 years of daily U.S. Treasury par coupon bond yield curve data to clients and friends of the firm. The data is available on both a subscription basis via Kamakura Risk Information Services and in hard copy in a volume entitled “Inside the Kamakura Yield Book, Volume III: A Pictorial History of 50 Years of U.S. Treasury Par Coupon Bond Yields.” The par coupon yield data and related forward rate data and zero coupon bond yield curve data are available from January 2, 1962 through August 22, 2011 on a daily basis. “Inside the Kamakura Yield Book, Volume III” was authored by Kamakura’s Daniel T. Dickler, Professor Robert A. Jarrow, and Dr. Donald R. van Deventer.

The complete text of “Inside the Kamakura Yield Book, Volume III: A Pictorial History of 50 Years of U.S. Treasury Par Coupon Bond Yields”.

The full text of a second volume, “Inside the Kamakura Yield Book, Volume II: A Pictorial History of 50 Years of U.S. Treasury Zero Coupon Bond Yields”.

The third companion memorandum by Daniel T. Dickler, Robert A. Jarrow and Donald R. van Deventer is “Inside the Kamakura Yield Book: A Pictorial History of 50 Years of U.S. Treasury Forward Rates”.

“The third volume of ‘Inside the Kamakura Yield Book’ completes the most comprehensive study of yield curve movements of its kind,” said Kamakura Chief Administrative Officer Martin Zorn. “Kamakura believes that market participants need to be aware that existing academic models of yield curve movements have fallen short of the richness needed to replicate the 50 years of U.S. Treasury yield curve movements displayed in these three volumes. Kamakura Risk Manager is fully capable of replicating the multi-factor yield curve movements that these volumes illustrate so clearly. In this extremely dangerous low rate environment, that level of analytical power is essential to the safety and soundness of all financial institutions and portfolio managers with a large exposure to U.S. fixed income securities.”

The forward rate curves, zero coupon bond yield curves, and par coupon bond yield curves were derived from U.S. Treasury yield data provided by the Board of Governors of the Federal Reserve. The yield curve smoothing technique used was the “maximum smoothness forward rate” approach developed by Kamakura founder Dr. Donald R. van Deventer in 1994 with a co-author. The risk system used to generate the month forward rate data was Kamakura Risk Manager version 7.3. “Inside the Kamakura Yield Book, Volume III: A Pictorial History of 50 Years of U.S. Treasury Par Coupon Bond Yields” features one graph for each year from 1962 to the present showing U.S. Treasury semi-annual par coupon bond yields on each business day, like this graph for 2008.

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