SOURCE: Kamakura Corporation

Kamakura Corporation

January 05, 2011 10:00 ET

Kamakura Troubled Company Index Shows Another Strong Improvement in Credit Quality in December

Kamakura Troubled Company Index Down 0.65% to 4.45%

NEW YORK, NY--(Marketwire - January 5, 2011) - Kamakura Corporation reported Wednesday that the Kamakura index of troubled public companies showed significant improvement again in December, dropping 0.65% to 4.45%. On December 17, the index reached its 20-year low of 4.36%. The Kamakura troubled company index measures the percentage of 29,400 public firms in 37 countries that have annualized 1 month default risk over one percent. Beginning with the November 2010 index value, the Kamakura troubled company index is now based on the version 5.0 default models from Kamakura Risk Information Services. Previously, the index was reported using the KRIS version 4.1 models. The version 5 models were estimated over the period from January 1990 to December 2008 and therefore capture the key events of the credit crisis in the fall of 2008.

Kamakura's index had reached a recent peak of 22.25% in January, 2009. Credit conditions at the end of December were better than credit conditions in 99.6% of the months since the index's initiation in January 1990. This result, surprising to many, reflects the fact that companies in the "troubled category" are almost exclusively financial institutions or housing related firms, rather than a broad cross section of the economy.

The all-time high in the index was 27.41%, recorded on October 31, 2001. To follow the troubled company index and other risk commentary by Kamakura on a daily basis, see www.twitter.com/dvandeventer. For a detailed comparison of Versions 5.0 and 4.1 of the index, please see this recent blog entry:

http://www.kamakuraco.com/Blog/tabid/231/EntryId/241/Introducing-the-Kamakura-Troubled-Company-Index-Version-5.aspx

In December, the percentage of the global corporate universe with default probabilities between 1% and 5% was 3.89%, a decrease of 37 basis points. The percentage of companies with default probabilities between 5% and 10% was 0.40%, a decrease of 19 basis points. The percentage of the universe with default probabilities between 10% and 20% was 0.13% of the universe, down 7 basis points, while the percentage of companies with default probabilities over 20% was 0.03% of the total universe in December, a decrease of 2 basis points. 

David Boldon, Washington DC representative for Kamakura Corporation, said Wednesday, "Among the 1980 firms in the KRIS corporate universe with legacy ratings, only 4 firms showed increases in 1 month annualized default risk of more than one percent, and three of those firms were in Italy. The tremendous uncertainty about the state of the economy overall obscures the fact that, in the universe of public firms, default risk has hit its all time-low this month as measured by the troubled company index."

Beginning in November, 2010, the Kamakura index uses the annualized one month default probability produced by the KRIS version 5.0 Jarrow-Chava reduced form default probability model, 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, China, Denmark, Finland, France, Germany, Greece, Hong Kong, India, Indonesia, Ireland, Israel, Italy, Japan, Luxemburg, Malaysia, Mexico, the Netherlands, New Zealand, Norway, Poland, Russia, Singapore, South Africa, South Korea, Spain, Sweden, Switzerland, Taiwan, Thailand, 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 has taken Credit Technology Innovation Awards from Credit Magazine each year since 2008. In 2010, Kamakura was the only vendor to win 2 innovation awards, one each with distribution partners Fiserv and Thomson Reuters. 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 7.2, 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. KRIS default probabilities are displayed for 4000 corporates and sovereigns via the Reuters 3000 Xtra service and the Thomson Reuters Eikon service. 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 33 countries, including the United States, Canada, Germany, the Netherlands, France, Austria, Switzerland, the United Kingdom, Russia, the Ukraine, Eastern Europe, the Middle East, Africa, South America, Australia, Japan, China, Korea and many other countries in Asia.

Kamakura has world-wide distribution alliances with Fiserv (www.fiserv.com), Sumisho Computer Systems (http://www.scs.co.jp/english/), Unisys (www.unisys.com), and Zylog Systems (www.zsl.com) making Kamakura products available in almost every major city around the globe.

Contact Information