SOURCE: Kamakura Corporation

Kamakura Corporation

February 02, 2010 10:00 ET

Kamakura Reports 9th Improvement in Corporate Credit Quality in Last 10 Months

Kamakura Troubled Company Index Declines Again to 10.23%

NEW YORK, NY--(Marketwire - February 2, 2010) - Kamakura Corporation announced Tuesday that the Kamakura index of troubled public companies improved in January for the ninth time in the last ten months. The index declined from 11.07% in December to 10.23% in January. Kamakura's index had reached a peak of 24.3% in March 2009. Kamakura defines a troubled company as a company whose short term default probability is in excess of 1%. Credit conditions are now better than credit conditions in 68.2% of the months since the index's initiation in January 1990, and the index is 3.50 percentage points better than the index's historical average of 13.73%. The all-time low in the index was 5.40%, recorded on May 11, 2006, while the all-time high in the index was 28.0%, recorded on September 28, 2001. The index is based on default probabilities for almost 27,000 companies in 30 countries. Both the index and daily updates on default probabilities for all 27,000 companies are now available starting from 8 a.m. in London and 3 a.m. in New York. To follow the troubled company index and other risk commentary by Kamakura on a daily basis, see www.twitter.com/dvandeventer.

In January, the percentage of the global corporate universe with default probabilities between 1% and 5% decreased by 0.39 percentage points to 6.95%. The percentage of companies with default probabilities between 5% and 10% was down 0.25 percentage points to 1.55%. The percentage of the universe with default probabilities between 10 and 20% was down 0.04 percentage points to 1.00% of the universe, while the percentage of companies with default probabilities over 20% was down significantly, decreasing 0.16 percentage points to 0.73% of the total universe in December.

Kamakura's President Warren A. Sherman said Tuesday, "The rated firms showing the largest increase in 1 month default risk in January included Blockbuster Inc., UBS AG, and Petroplus Holdings AG. Japan Airlines, which was one of the companies showing the largest default probability increase in December, filed for bankruptcy on January 18."

The Kamakura index uses the annualized one month default probability produced by the best performing credit model of the Kamakura Risk Information Services default and correlation service. The model used is the fourth generation Jarrow-Chava reduced form default probability, a formula that bases default predictions on a sophisticated combination of financial ratios, stock price history, and macro-economic factors. The countries currently covered by the index include Australia, Austria, Belgium, Brazil, Canada, Denmark, Finland, France, Germany, Hong Kong, India, Ireland, Israel, Italy, Japan, Luxembourg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, United Kingdom, and the United States.

About Kamakura Corporation

Founded in 1990, Honolulu-based Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura, along with its distributor Fiserv, was ranked number one in asset and liability management analysis and liquidity risk analysis in the RISK Technology Rankings in 2009. Kamakura Risk Manager, first sold commercially in 1993 and now in version 7.1, was also named in the top five for market risk assessment, Basel II capital calculations, and for "risk dashboard." Kamakura was also ranked in the RISK Technology Rankings 2008 as one of the world's top 3 risk information providers for its KRIS default probability service. The KRIS public firm default service was launched in 2002, and the KRIS sovereign default service, the world's first, was launched in 2008. Kamakura has served more than 200 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 32 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv (www.fiserv.com), Unisys (www.unisys.com), and Zylog Systems (www.zylog.co.in) making Kamakura products available in almost every major city around the globe.

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