SOURCE: Kamakura Corporation

May 01, 2008 10:00 ET

Kamakura Reports Continued Decline in Global Corporate Credit Quality in April

Kamakura Troubled Company Index Shows 13.7% of Corporates in Distress

HONOLULU, HI--(Marketwire - May 1, 2008) - Kamakura Corporation announced Thursday that its monthly index of troubled public companies increased again in April to 13.7%, up from 13.6% in March. The Kamakura troubled company index has declined only once in the last 10 months. At the 13.7% level, the index shows that credit conditions are better than only 40.6% of the monthly periods since the start of the index in January, 1990. Kamakura defines a troubled company as a company whose default probability is in excess of 1%. The index covers more than 20,000 public companies in 30 countries using the fourth generation version of Kamakura's advanced credit models.

"The troubled company index increased only slightly this month, but credit conditions remain well below average in quality," said Warren Sherman, Kamakura President and Chief Operating Officer. "In April, the percentage of the global corporate universe with default probabilities between 1% and 5% increased 0.1% to 9.3%. The percentage of companies with default probabilities between 5% and 10% was down 0.3% to 2.1% of the universe in April. The percentage of the universe with default probabilities between 10 and 20% was unchanged at 1.3% of the universe. The percentage of companies with default probabilities over 20% was up by 0.1% to 0.9% of the total universe in April."

Beginning in January 2006, Kamakura moved to a global index covering 30 countries using 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, Luxemburg, 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, Kamakura Corporation is a leading provider of risk management information, processing and software. Kamakura has been a provider of daily default probabilities and default correlations for listed companies since November, 2002. Kamakura launched its collateralized debt obligation (CDO) pricing service KRIS-CDO in April 2007. Kamakura is also the first company in the world to develop and install a fully integrated enterprise risk management system that analyzes credit risk, market risk, asset and liability management, transfer pricing, and capital allocation. Kamakura has served more than 185 clients ranging in size from $3 billion in assets to $1.6 trillion in assets. Kamakura's risk management products are currently used in 27 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, Eastern Europe, the Middle East, Africa, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has worldwide distribution alliances with IPS-Sendero ( and Unisys (, making Kamakura products available in almost every major city around the globe.

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