People here have recommended Blackmagic Intensity Shuttle, Magawell, AJA, etc. So, today, the only way to take a HDMI signal from a camcorder and capture it on a Mac is buy purchasing a $100+ HDMI-to-USB/USB3/Thunderbold (whichever target connector you need) capturing device, which will take that HDMI signal and convert it into a proper data stream that the computer can understand and capture. This is completely unrelated to the data traffic on Thunderbolt.
While there IS a thunderbolt-to-HDMI cable, its only purpose is to take the A/V component on the thunderbold port and convert it into HDMI for output to TV monitors. In other words, you can't simply connect HDMI-to-Thunderbolt cable and capture live A/V stream from that camcorder. Click the caret next to the red record button to pick your audio options. Click on File on the menu bar on the left side of the screen, and select New Screen Recording from the drop-down menu. Modern Macs now have USB and Thunderbolt data ports, but neither of these is actually compatible with HDMI. With it, you can record streaming video on Mac up to 2560x1440 at 30fps/60fps. HDMI flows only in one direction, so a HDMI port on a Mac is strictly an output port. However, HDMI is NOT a standard data communication protocol used by computers in a way that FireWire was used. With HD, the digital A/V streaming protocol was built on HDMI. Any application that provided video capturing services (QuickTime, Skype, iChat AV, iMovie, Premiere, etc) could see it as an AV source and use it. During the std-def years of DV, this worked beautifully you could hook up any standard DV camcorder via firewire to the Mac, and the computer would automatically recognise it as an audio/video input device (essentially, a webcam). Apple, the designer of FireWire, provided support for this data format inside Mac OS, which allowed Macintosh computers to natively understand DV stream coming via FireWire port.
It was essentially a data communications protocol, but in the late 90s, video industry adopted it as their standard protocol for streaming standard-definition digital video (DV), with a standardised data format.