SOURCE: Kamakura Corporation

Kamakura Corporation

October 05, 2010 10:00 ET

Kamakura Troubled Company Index Shows Second Consecutive Deterioration in September

Kamakura Troubled Company Index Up 0.08% to 9.93%

NEW YORK, NY--(Marketwire - October 5, 2010) -  Kamakura Corporation announced Tuesday that the Kamakura index of troubled public companies deteriorated for the second consecutive month in September, rising 0.08% to 9.93%. Kamakura's index had reached a recent peak of 24.3% in March 2009 and a post crisis low of 9.09% in April 2010. Kamakura defines a troubled company as a company whose short term annualized default probability is in excess of 1%. Credit conditions in September were better than credit conditions in 69.4% of the months since the index's initiation in January 1990. The index is 3.65 percentage points better than the index's historical average of 13.58%. 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 more than 29,400 companies in 33 countries. To follow the troubled company index and other risk commentary by Kamakura on a daily basis, see www.twitter.com/dvandeventer.

In September, the percentage of the global corporate universe with default probabilities between 1% and 5% was 6.71%, an increase of 6 basis points. The percentage of companies with default probabilities between 5% and 10% was 1.48%, a decrease of 4 basis points. The percentage of the universe with default probabilities between 10 and 20% was 1.01% of the universe, up 3 basis points, while the percentage of companies with default probabilities over 20% was 0.73% of the total universe in September, an increase of 3 basis points.

David Boldon, Washington DC representative for Kamakura Corporation, said Tuesday, "This month again showed a larger group of public firms with deteriorating short term default probabilities. National Bank of Greece, Sharp Holding Corporation, First Bancorp Puerto Rico, and Insight Health Services all showed increases in 1 month default risk of more than 1 percent."

The Kamakura index uses the annualized one month default probability produced by the KRIS 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, China, Denmark, Finland, France, Germany, Hong Kong, India, Indonesia, 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, 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 7.1.2, 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 2000 corporates and sovereigns via the Reuters 3000 Xtra 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.

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